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Free AccessUS TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR DEC 11
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USF USH TYJ TYH FVF FVH EDZ EDF
1130 8.24% 8.19% 4.33% 4.30% 2.63% 2.66% N/A 23.65%
1000 8.20% 8.18% 4.36% 4.30% 2.61% 2.67% N/A 24.20%
WED OPEN 8.40% 8.27% 4.50% 4.37% 2.67% 2.72% N/A 24.40%
TUE 1500 8.43% 8.32% 4.53% 4.42% 2.70% 2.75% N/A 23.20%
TUE OPEN 8.87% 8.43% 4.83% 4.48% 2.93% 2.88% N/A 22.95%
MON 1500 8.61% 8.35% 4.62% 4.45% 2.87% 2.79% N/A 22.65%
MON OPEN 8.40% 8.30% 4.69% 4.41% 2.78% 2.75% 15.30% 25.20%
WED 1500 8.12% 7.93% 4.40% 4.25% 2.73% 2.67% 13.38% 23.50%
WED OPEN 8.23% 8.01% 4.35% 4.27% 2.75% 2.71% 14.01% 23.71%
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
JAN20 10Y NOTE 130.00 C 207,304 +37,887 128.50 P 99,167 -3,615
MAR20 10Y NOTE 134.50 C 51,442 UNCH 117.50 P 66,948 UNCH
JAN20 5Y NOTE 119.50 C 107,490 +100 118.75 P 52,793 -7,979
MAR20 5Y NOTE 128.00 C 21,291 UNCH 111.00 P 250,582 UNCH
JAN20 2Y NOTE 108.00 C 11,338 +307 107.62 P 15,225 +335
MAR20 2Y NOTE 110.37 C 7,692 UNCH 105.75 P 55,036 UNCH
DEC19 EURODLR 98.25 C 642,166 UNCH 97.25 P1,065,828 UNCH
JAN20 EURODLR 98.50 C 129,806 UNCH 98.12 P 141,541 -20,676
DEC20 1Y-MIDC 98.75 C 186,866 -199 97.50 P 171,536 UNCH
DEC21 2Y-MIDC 98.00 C 80,700 -549 97.37 P 125,829 UNCH
DEC22 3Y-MIDC 98.75 C 51,661 -2,000 97.37 P 63,651 UNCH
NEAREST ATM: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
JAN20 10Y NOTE 129.00 C 46,406 +2,761 129.00 P 76,993 -2,375
JAN20 10Y NOTE 129.50 C 64,062 -165 129.50 P 61,106 -248
MAR20 10Y NOTE 129.00 C 17,824 +1,790 129.00 P 21,580 +3,139
MAR20 10Y NOTE 129.50 C 15,007 -373 129.50 P 12,168 +100
JAN20 5Y NOTE 118.75 C 18,669 +2,246 118.75 P 52,793 -7,979
JAN20 5Y NOTE 119.00 C 18,689 -50 119.00 P 20,420 -29
MAR20 5Y NOTE 118.75 C 6,884 -79 118.75 P 7,785 +154
MAR20 5Y NOTE 119.00 C 19,329 UNCH 119.00 P 9,485 -28
JAN20 2Y NOTE 107.75 C 1,525 +1 107.75 P 10,573 -1
JAN20 2Y NOTE 107.88 C 8,282 -447 107.88 P 8,768 -2
MAR20 2Y NOTE 107.75 C 1,059 UNCH 107.75 P 2,720 UNCH
MAR20 2Y NOTE 107.88 C 481 UNCH 107.88 P 4,509 +2,374
DEC19 EURODLR 98.00 C 323,341 -1,455 98.00 P 305,219 -5
DEC19 EURODLR 98.12 C 548,126 -4,717 98.12 P 246,135 +5,208
JAN20 EURODLR 98.25 C 43,567 -196 98.25 P 134,857 -2,930
JAN20 EURODLR 98.37 C 69,937 +72 98.37 P 26,671 UNCH
DEC20 1Y-MIDC 98.50 C 81,493 -3,882 98.50 P 84,588 -6,066
DEC20 1Y-MIDC 98.62 C 106,524 -2,791 98.62 P 49,298 +27
DEC21 2Y-MIDC 98.50 C 72,376 -1,053 98.50 P 65,790 -352
DEC21 2Y-MIDC 98.62 C 41,041 -10,173 98.62 P 23,951 +25
DEC22 3Y-MIDC 98.50 C 24,316 +8,385 98.50 P 18,661 UNCH
DEC22 3Y-MIDC 98.62 C 47,365 -1,500 98.62 P 18,440 UNCH
PUT/CALL RATIO FOR VOLUME CLEARED:
JAN20 10Y NOTE PUT/CALL RATIO -- 0.79 (122,406 PUTS VS. 154,902 CALLS)
MAR20 10Y NOTE PUT/CALL RATIO -- 1.01 (18,331 PUTS VS. 18,048 CALLS)
JAN20 5Y NOTE PUT/CALL RATIO -- 2.36 (52,199 PUTS VS. 22,158 CALLS)
MAR20 5Y NOTE PUT/CALL RATIO -- 1.28 (13,129 PUTS VS. 10,237 CALLS)
JAN20 2Y NOTE PUT/CALL RATIO -- 1.31 (2,948 PUTS VS. 2,202 CALLS)
MAR20 2Y NOTE PUT/CALL RATIO -- 2.16 (9,361 PUTS VS. 4,301 CALLS)
DEC19 EURODLRS PUT/CALL RATIO -- 0.46 (14,209 PUTS VS. 30,396 CALLS)
JAN20 EURODLRS PUT/CALL RATIO -- 8.87 (63,005 PUTS VS. 7,140 CALLS)
DEC20 1Y-MIDCRVE PUT/CALL RATIO -- 1.25 (44,650 PUTS VS. 35,065 CALLS)
DEC21 2Y-MIDCRVE PUT/CALL RATIO -- 0.17 (4,950 PUTS VS. 28,848 CALLS)
DEC22 3Y-MIDCRVE PUT/CALL RATIO -- 0.18 (6,764 PUTS VS. 35,814 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
1130 54.75 68.86 67.04 68.44 66.44 65.84
1000 54.98 69.51 67.48 68.77 66.65 65.94
Wed Open 55.35 71.08 68.44 69.80 66.84 66.16
Tue 1500 55.68 72.82 68.49 69.85 67.13 66.19
Tue Open 56.53 72.19 68.50 69.74 67.53 66.59
Mon 1500 56.56 71.97 68.83 69.83 67.77 66.79
Mon Open 56.74 70.71 68.51 69.14 67.62 66.66
Wed 1500 58.10 67.36 66.66 67.36 66.95 66.81
Wed Open 58.55 68.40 67.99 67.45 67.00 66.73
--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.