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Free AccessUS TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR DEC 15
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USF USH TYF TYH FVF TUH EDZ EDF
FRI OPEN 7.02% 7.29% 3.21% 3.42% 1.80% 2.11% N/A 10.80%
THU 3:00 6.89% 7.24% 3.28% 3.40% 1.84% 2.08% N/A 11.25%
THU OPEN 6.80% 7.16% 3.32% 3.39% 2.13% 2.13% N/A 11.50%
WED 3:00 7.24% 7.10% 3.48% 3.40% 2.11% 2.10% N/A 11.70%
WED OPEN 8.15% 7.35% 4.07% 3.52% 2.45% 2.17% N/A 13.30%
TUE 3:00 7.99% 7.40% 3.98% 3.53% 2.34% 2.17% N/A 13.20%
TUE OPEN 8.08% 7.51% 3.85% 3.54% 2.26% 2.17% N/A 13.30%
MON 3:00 7.90% 7.47% 3.82% 3.55% 2.36% 2.16% N/A 12.50%
MON OPEN 8.26% 7.61% 3.95% 3.57% 2.35% 2.21% 12.51% 13.09%
FRI 3:00 7.39% 7.44% 3.55% 3.52% 2.17% 2.14% 12.30% 12.56%
FRI OPEN 7.77% 7.51% 3.90% 3.63% 2.39% 2.24% 13.78% 13.25%
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
JAN18 10Y NOTE 125.00 C 99,938 +3,424 124.00 P 133,756 -22,804
MAR18 10Y NOTE 126.00 C 43,105 +3,020 114.00 P 110,162 UNCH
JAN18 5Y NOTE 117.00 C 30,732 +158 116.25 P 32,652 -877
MAR18 5Y NOTE 117.25 C 14,060 -338 108.50 P 140,106 UNCH
JAN18 2Y NOTE 107.50 C 8,970 UNCH 107.00 P 2,286 UNCH
MAR18 2Y NOTE 107.38 C 20,276 UNCH 107.00 P 61,715 +210
DEC17 EURODLR 98.75 C 743,367 UNCH 98.37 P 879,000 +4,925
JAN18 EURODLR 98.62 C 245,189 UNCH 98.25 P 267,932 +4,475
DEC18 1Y-MIDC 98.00 C 273,958 UNCH 98.00 P 495,458 -250
DEC19 2Y-MIDC 98.25 C 148,204 UNCH 97.62 P 167,258 +105
DEC20 3Y-MIDC 97.87 C 75,541 UNCH 97.75 P 110,549 -4,376
NEAREST ATM: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
JAN18 10Y NOTE 124.50 C 46,787 -1,599 124.50 P 49,011 -1,194
JAN18 10Y NOTE 125.00 C 99,938 +3,424 125.00 P 27,742 -1,146
MAR18 10Y NOTE 124.50 C 27,324 +2,807 124.50 P 31,307 +1,507
MAR18 10Y NOTE 125.00 C 26,375 +560 125.00 P 19,941 -275
JAN18 5Y NOTE 116.75 C 21,768 +299 116.75 P 9,774 UNCH
JAN18 5Y NOTE 117.00 C 30,732 +158 117.00 P 8,297 UNCH
MAR18 5Y NOTE 116.75 C 4,345 -50 116.75 P 4,487 UNCH
MAR18 5Y NOTE 117.00 C 7,302 +2,627 117.00 P 3,255 UNCH
JAN18 2Y NOTE 107.00 C 0 UNCH 107.00 P 2,286 UNCH
JAN18 2Y NOTE 107.12 C 1,177 +50 107.12 P 1,912 UNCH
MAR18 2Y NOTE 107.00 C 231 -1 107.00 P 61,715 +210
MAR18 2Y NOTE 107.12 C 991 +160 107.12 P 17,227 +967
DEC17 EURODLR 98.50 C 460,588 UNCH 98.50 P 486,578 -720
DEC17 EURODLR 98.62 C 740,638 UNCH 98.62 P 210,686 UNCH
JAN18 EURODLR 98.50 C 148,212 UNCH 98.50 P 18,103 -250
JAN18 EURODLR 98.62 C 245,189 UNCH 98.62 P 0 UNCH
DEC18 1Y-MIDC 98.12 C 253,681 UNCH 98.12 P 271,691 UNCH
DEC18 1Y-MIDC 98.25 C 259,813 UNCH 98.25 P 169,370 UNCH
DEC19 2Y-MIDC 97.87 C 121,632 UNCH 97.87 P 101,629 -7,923
DEC19 2Y-MIDC 98.00 C 143,134 UNCH 98.00 P 152,292 -13,612
DEC20 3Y-MIDC 97.75 C 69,365 +2,803 97.75 P 110,549 -4,376
DEC20 3Y-MIDC 97.87 C 75,541 UNCH 97.87 P 61,366 -9,290
PUT/CALL RATIO FOR VOLUME CLEARED:
JAN18 10Y NOTE PUT/CALL RATIO -- 1.35 (103,614 PUTS VS. 76,318 CALLS)
MAR18 10Y NOTE PUT/CALL RATIO -- 0.55 (26,329 PUTS VS. 47,150 CALLS)
JAN18 5Y NOTE PUT/CALL RATIO -- 0.17 (7,067 PUTS VS. 39,645 CALLS)
MAR18 5Y NOTE PUT/CALL RATIO -- 0.15 (1,677 PUTS VS. 10,179 CALLS)
JAN18 2Y NOTE PUT/CALL RATIO -- 0.07 (50 PUTS VS. 668 CALLS)
MAR18 2Y NOTE PUT/CALL RATIO -- 4.62 (3,711 PUTS VS. 767 CALLS)
DEC17 EURODLRS PUT/CALL RATIO -- 17.9 (35,946 PUTS VS. 2,027 CALLS)
JAN18 EURODLRS PUT/CALL RATIO -- 2.83 (28,304 PUTS VS. 10,004 CALLS)
DEC18 1Y-MIDCRVE PUT/CALL RATIO -- 53.4 (288,675 PUTS VS. 5,390 CALLS)
DEC19 2Y-MIDCRVE PUT/CALL RATIO -- 3.81 (52,583 PUTS VS. 13,833 CALLS)
DEC20 3Y-MIDCRVE PUT/CALL RATIO -- 10.0 (72,056 PUTS VS. 7,200 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
Fri Open 37.39 47.17 47.75 51.29 63.37 69.32
Thu 3:00 37.19 46.60 48.18 52.04 63.53 69.76
Thu Open 37.31 47.65 48.38 52.40 64.26 70.34
Wed 3:00 38.05 48.55 48.72 52.90 64.32 70.51
Wed Open 37.81 50.22 49.45 53.85 65.17 71.44
Tue 3:00 37.57 51.29 49.76 53.92 65.65 71.45
Tue Open 37.66 51.32 49.97 54.18 65.88 71.75
Mon 3:00 38.04 51.05 50.24 54.22 65.75 71.82
Mon Open 38.04 50.85 50.28 54.39 65.81 71.79
Fri 3:00 38.08 50.27 50.47 54.57 65.87 71.70
Fri Open 39.05 52.35 51.21 55.40 66.14 72.06
--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.