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Free AccessUS TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR AUG 8
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USU USV TYU TYV FVU FVV EDQ EDU
THU OPEN 9.71% 9.02% 5.24% 5.13% 3.50% 3.40% 32.10% 28.75%
WED 1500 10.42% 10.55% 5.61% 5.35% 3.72% 3.55% 31.85% 29.20%
WED OPEN 10.44% 9.55% 5.60% 5.05% 3.70% 3.55% 30.40% 27.39%
TUE 1500 8.97% 8.77% 4.90% 4.81% 3.38% 3.29% 28.22% 26.49%
TUE OPEN 9.42% 8.79% 5.29% 4.92% 3.58% 3.33% 31.60% 27.25%
MON 1500 9.76% 8.29% 5.35% 5.08% 3.58% 3.39% 30.60% 27.85%
MON OPEN 9.80% 8.64% 5.39% 5.01% 3.60% 3.42% 27.85% 26.05%
MON OPEN 7.93% 7.78% 4.32% 4.45% 2.95% 3.04% 24.11% 22.40%
FRI 1500 7.93% 7.78% 4.32% 4.45% 2.95% 3.04% 24.11% 22.40%
FRI OPEN 7.79% 8.00% 4.50% 4.35% 3.01% 3.10% 28.00% 21.70%
THU 1500 7.68% 7.75% 4.30% 4.35% 2.91% 3.00% 27.01% 21.05%
THU OPEN 6.68% 6.70% 3.77% 3.91% 2.67% 2.65% 20.10% 19.25%
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
SEP19 10Y NOTE 129.00 C 134,076 -3,726 126.50 P 178,287 -292
OCT19 10Y NOTE 131.00 C 40,609 +2,507 128.00 P 46,619 -317
SEP19 5Y NOTE 118.00 C 49,357 -201 114.75 P 125,029 UNCH
OCT19 5Y NOTE 121.00 C 20,558 +14,482 118.50 P 51,314 +10,339
SEP19 2Y NOTE 108.25 C 9,475 UNCH 107.00 P 31,451 UNCH
OCT19 2Y NOTE 107.75 C 2,618 UNCH 107.50 P 14,313 +8,682
AUG19 EURODLR 98.25 C 369,112 -258,857 97.87 P 238,560 -10,423
SEP19 EURODLR 97.87 C 488,751 -8,250 97.50 P 547,731 UNCH
SEP20 1Y-MIDC 98.12 C 139,910 UNCH 98.25 P 220,748 +4,500
SEP21 2Y-MIDC 98.12 C 96,800 UNCH 97.12 P 74,826 UNCH
SEP22 3Y-MIDC 98.00 C 125,432 UNCH 98.00 P 54,667 +2,500
NEAREST ATM: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
SEP19 10Y NOTE 129.00 C 134,076 -3,726 129.00 P 44,117 +13,293
SEP19 10Y NOTE 129.50 C 52,249 -3,725 129.50 P 38,207 +18,862
OCT19 10Y NOTE 129.50 C 8,202 -156 129.50 P 7,586 +2,203
OCT19 10Y NOTE 130.00 C 24,906 +475 130.00 P 17,684 +8,896
SEP19 5Y NOTE 118.75 C 14,043 -922 118.75 P 6,837 +2,228
SEP19 5Y NOTE 119.00 C 45,081 +227 119.00 P 3,721 +2,138
OCT19 5Y NOTE 119.00 C 6,498 +14 119.00 P 4,830 +3,418
OCT19 5Y NOTE 119.25 C 2,874 +251 119.25 P 9,937 +8,035
SEP19 2Y NOTE 107.62 C 5,126 -74 107.62 P 926 -8
SEP19 2Y NOTE 107.75 C 6,712 -146 107.75 P 367 -41
OCT19 2Y NOTE 107.75 C 2,618 UNCH 107.75 P 3,217 +2,913
OCT19 2Y NOTE 107.88 C 52 UNCH 107.88 P 709 +702
AUG19 EURODLR 98.00 C 138,512 -10,251 98.00 P 70,661 +127
AUG19 EURODLR 98.12 C 214,837 -9,490 98.12 P 17,500 +200
SEP19 EURODLR 98.00 C 398,619 -2,890 98.00 P 139,165 -12,932
SEP19 EURODLR 98.12 C 369,179 -24,182 98.12 P 11,540 +536
SEP20 1Y-MIDC 98.50 C 97,172 -907 98.50 P 61,943 +7,712
SEP20 1Y-MIDC 98.62 C 92,997 -296 98.62 P 11,957 +475
SEP21 2Y-MIDC 98.62 C 28,563 -1,500 98.62 P 16,691 +4,425
SEP21 2Y-MIDC 98.75 C 43,610 +1,400 98.75 P 2,660 +1,885
SEP22 3Y-MIDC 98.50 C 47,927 UNCH 98.50 P 8,692 +1,850
SEP22 3Y-MIDC 98.62 C 2,599 -100 98.62 P 850 UNCH
PUT/CALL RATIO FOR VOLUME CLEARED:
SEP19 10Y NOTE PUT/CALL RATIO -- 0.59 (171,413 PUTS VS. 289,102 CALLS)
OCT19 10Y NOTE PUT/CALL RATIO -- 0.73 (86,536 PUTS VS. 117,360 CALLS)
SEP19 5Y NOTE PUT/CALL RATIO -- 0.85 (34,863 PUTS VS. 40,220 CALLS)
OCT19 5Y NOTE PUT/CALL RATIO -- 0.76 (36,806 PUTS VS. 47,424 CALLS)
OCT19 2Y NOTE PUT/CALL RATIO -- 2.64 (7,454 PUTS VS. 2,873 CALLS)
SEP19 2Y NOTE PUT/CALL RATIO -- 39.1 (35,366 PUTS VS. 903 CALLS)
AUG19 EURODLRS PUT/CALL RATIO -- 0.00 (23,542 PUTS VS. 477,124 CALLS)
SEP19 EURODLRS PUT/CALL RATIO -- 0.25 (101,275 PUTS VS. 401,924 CALLS)
JUN20 1Y-MIDCRVE PUT/CALL RATIO -- 1.32 (41,275 PUTS VS. 30,980 CALLS)
JUN21 2Y-MIDCRVE PUT/CALL RATIO -- 3.86 (13,900 PUTS VS. 3,600 CALLS)
JUN22 3Y-MIDCRVE PUT/CALL RATIO -- 0.68 (8,327 PUTS VS. 12,270 CALLS)
(VOLUME, OPEN INTEREST, RATIOS ALL REFLECT PRIOR SESSION'S DATA)
Swaption BP/Vol Via Bloomberg:
Time (ET) 3M/2Y 1M/10Y 3M/5Y 3M/10Y 2Y/10Y 5Y/5Y
Thu Open 84.44 78.71 81.47 75.75 66.50 68.96
Wed 1500 84.80 81.52 82.31 75.90 67.40 69.12
Wed Open 86.91 78.77 80.25 73.61 66.25 68.30
Tue 1500 82.57 73.52 77.18 70.31 65.56 67.60
Tue Open 88.93 76.78 81.51 74.11 66.66 68.81
Mon 1500 90.39 77.41 82.38 74.36 66.78 68.74
Mon Open 75.48 67.52 72.48 67.43 64.29 66.06
Fri 1500 73.80 63.80 69.72 64.29 63.05 65.22
Fri Open 72.43 62.87 67.89 62.57 63.38 65.58
Thu 1500 69.51 60.12 66.35 59.92 61.76 63.96
Thu Open 64.11 57.25 62.98 57.99 61.47 63.81
--MNI Chicago Bureau; tel: +1 312-431-0089; email: bill.sokolis@marketnews.com
[TOPICS: MTABLE,M$U$$$,M$$FI$,MN$FI$]
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Why MNI
MNI is the leading provider
of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.