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Free AccessUS TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR AUG 9
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USU USV TYU TYV FVU FVV EDQ EDU
TUE 3:00 7.41% 7.59% 3.57% 3.83% 1.95% 2.24% N/A 14.02%
TUE OPEN 7.34% 7.46% 3.48% 3.73% 1.97% 2.28% N/A 14.27%
MON 3:00 7.39% 7.44% 3.51% 3.70% 1.89% 2.18% N/A 13.90%
MON OPEN 7.51% 7.41% 3.68% 3.71% 1.99% 2.22% N/A 12.28%
FRI 3:00 7.15% 7.30% 3.32% 3.66% 1.93% 2.08% N/A 14.25%
FRI OPEN 7.18% 7.74% 3.46% 3.69% 2.01% 2.24% N/A 15.72%
THU 3:00 7.47% 7.66% 3.47% 3.75% 2.11% 2.31% N/A 15.60%
THU OPEN 7.56% 7.53% 3.58% 3.77% 2.08% 2.10% 14.71% 15.59%
WED 3:00 7.56% 8.04% 3.64% 3.84% 1.99% 2.25% 16.81% 14.20%
WED OPEN 8.20% 7.92% 3.81% 3.74% 2.20% 2.08% 16.89% 15.99%
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
SEP17 10Y NOTE 127.00 C 171,003 -2,297 111.00 P 165,472 UNCH
OCT17 10Y NOTE 127.50 C 31,761 +116 124.50 P 32,162 +173
SEP17 5Y NOTE 118.25 C 37,859 -12 109.25 P 252,442 UNCH
OCT17 5Y NOTE 118.50 C 10,557 -194 117.00 P 16,660 UNCH
AUG17 EURODLR 98.62 C 99,858 UNCH 98.50 P 144,360 UNCH
SEP17 EURODLR 98.75 C 346,244 +3,331 98.37 P 750,745 -120
SEP18 1Y-MIDC 98.37 C 142,691 +21,950 98.12 P 273,929 +677
SEP19 2Y-MIDC 98.75 C 133,187 UNCH 97.12 P 192,279 UNCH
SEP20 3Y-MIDC 97.62 C 43,731 UNCH 97.50 P 48,307 -500
NEAREST ATM: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
SEP17 10Y NOTE 125.50 C 53,763 -2,462 125.50 P 73,580 +1,365
SEP17 10Y NOTE 126.00 C 70,566 -139 126.00 P 50,407 -469
OCT17 10Y NOTE 125.50 C 14,910 +369 125.50 P 14,994 +2,386
OCT17 10Y NOTE 126.00 C 14,972 +3,634 126.00 P 9,094 +863
SEP17 5Y NOTE 117.75 C 5,970 UNCH 117.75 P 19,014 +1,353
SEP17 5Y NOTE 118.00 C 20,466 +41 118.00 P 26,998 +1,616
OCT17 5Y NOTE 117.75 C 3,813 +333 117.75 P 7,072 +387
OCT17 5Y NOTE 118.00 C 2,167 +35 118.00 P 1,566 +24
AUG17 EURODLR 98.62 C 99,858 UNCH 98.62 P 95,865 UNCH
AUG17 EURODLR 98.75 C 58,105 UNCH 98.75 P 3,484 UNCH
SEP17 EURODLR 98.62 C 258,300 +5,950 98.62 P 236,937 -30
SEP17 EURODLR 98.75 C 346,244 +3,331 98.75 P 107,287 UNCH
SEP18 1Y-MIDC 98.37 C 142,691 +21,950 98.37 P 77,615 +628
SEP18 1Y-MIDC 98.50 C 130,885 +6,500 98.50 P 15,350 +680
SEP19 2Y-MIDC 98.00 C 65,921 UNCH 98.00 P 118,601 +27,000
SEP19 2Y-MIDC 98.12 C 125,574 +3,634 98.12 P 69,240 +66
SEP20 3Y-MIDC 97.75 C 27,133 UNCH 97.75 P 33,635 +150
SEP20 3Y-MIDC 97.87 C 25,669 UNCH 97.87 P 26,605 +318
PUT/CALL RATIO FOR VOLUME CLEARED:
SEP17 10Y NOTE PUT/CALL RATIO -- 1.74 (109,051 PUTS VS. 62,450 CALLS)
OCT17 10Y NOTE PUT/CALL RATIO -- 3.78 (48,555 PUTS VS. 12,879 CALLS)
SEP17 5Y NOTE PUT/CALL RATIO -- 4.16 (30,779 PUTS VS. 7,418 CALLS)
OCT17 5Y NOTE PUT/CALL RATIO -- 3.91 (4,381 PUTS VS. 1,178 CALLS)
AUG17 EURODLRS PUT/CALL RATIO -- 0.00 (0 PUTS VS. 0 CALLS)
SEP17 EURODLRS PUT/CALL RATIO -- 0.09 (740 PUTS VS. 8,019 CALLS)
SEP18 1Y-MIDCRVE PUT/CALL RATIO -- 0.79 (26,250 PUTS VS. 33,000 CALLS)
SEP19 2Y-MIDCRVE PUT/CALL RATIO -- 2.53 (79,350 PUTS VS. 31,350 CALLS)
SEP20 3Y-MIDCRVE PUT/CALL RATIO -- 1.00 (9,600 PUTS VS. 9,600 CALLS)
(VOLUME, OPEN INTEREST, PUT/CALL RATIOS FOR VOLUME CLEARED 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
Tue 3:00 39.22 55.91 55.45 60.51 73.54 78.67
Tue Open 39.12 55.79 55.18 60.12 73.38 78.95
Mon 3:00 39.00 54.85 54.87 59.96 73.38 78.91
Mon Open 39.00 54.24 54.85 59.91 73.41 78.92
Fri 3:00 38.90 54.13 54.76 59.94 73.36 78.86
Fri Open 38.52 54.41 54.53 59.72 73.41 78.90
Thu 3:00 38.67 54.77 54.75 59.98 73.48 79.08
Thu Open 39.00 57.04 55.53 60.65 73.89 79.19
Wed 3:00 39.22 57.08 54.89 60.44 73.95 78.84
Wed Open 39.02 58.06 54.92 60.44 74.02 79.24
--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
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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.