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Free AccessUS TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR DEC 18
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USF USH TYF TYH FVF FVH EDF EDH
0930 6.68% 7.22% 3.45% 3.84% 2.01% 2.35% 12.80% 11.75%
WED OPEN 6.80% 7.19% 3.49% 3.83% 2.01% 2.34% 12.80% 11.20%
TUE 1500 6.80% 7.13% 3.55% 3.80% 2.03% 2.32% 11.55% 11.05%
TUE OPEN 6.60% 7.10% 3.45% 3.80% 2.05% 2.31% 12.15% 10.65%
MON 1500 7.04% 7.22% 3.67% 3.89% 2.15% 2.34% 12.30% 11.20%
MON OPEN 6.77% 7.09% 3.60% 3.83% 2.08% 2.33% 13.20% 11.70%
FRI 1500 7.01% 7.35% 3.63% 4.01% 2.17% 2.36% 20.37% N/A
FRI OPEN 8.37% 8.07% 4.63% 4.30% 2.75% 2.62% 21.60% N/A
THU 1500 8.37% 8.07% 4.63% 4.30% 2.75% 2.62% 21.60% N/A
THU OPEN 8.05% 8.03% 4.29% 4.21% 2.59% 2.62% 22.65% N/A
WED 1500 8.10% 8.15% 4.29% 4.30% 2.63% 2.64% 24.15% N/A
WED OPEN 8.40% 8.27% 4.50% 4.37% 2.67% 2.72% 24.40% N/A
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
JAN20 10Y NOTE 130.00 C 161,867 -420 128.00 P 91,697 -4,418
MAR20 10Y NOTE 131.00 C 62,735 -86 117.50 P 66,948 UNCH
JAN20 5Y NOTE 119.50 C 106,057 -104 118.25 P 56,068 -980
MAR20 5Y NOTE 128.00 C 21,291 UNCH 111.00 P 250,582 UNCH
JAN20 2Y NOTE 108.00 C 11,238 UNCH 107.62 P 14,526 UNCH
MAR20 2Y NOTE 110.37 C 7,692 UNCH 105.75 P 55,036 UNCH
JAN20 EURODLR 98.50 C 129,677 -331 98.12 P 138,395 UNCH
MAR20 EURODLR 99.00 C 460,823 UNCH 98.25 P 569,571 -150
MAR21 1Y-MIDC 99.75 C 246,914 UNCH 98.25 P 77,515 +500
MAR22 2Y-MIDC 98.25 C 78,846 UNCH 97.37 P 96,133 UNCH
MAR23 3Y-MIDC 98.12 C 53,469 UNCH 97.62 P 29,500 UNCH
NEAREST ATM: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
JAN20 10Y NOTE 128.50 C 36,027 +3,285 128.50 P 77,179 -1,657
JAN20 10Y NOTE 129.00 C 48,958 +1,231 129.00 P 62,950 -252
MAR20 10Y NOTE 128.50 C 20,590 +446 128.50 P 20,280 +1,663
MAR20 10Y NOTE 129.00 C 20,506 +764 129.00 P 26,035 UNCH
JAN20 5Y NOTE 118.50 C 33,731 +1,031 118.50 P 31,734 -336
JAN20 5Y NOTE 118.75 C 26,677 +3,684 118.75 P 51,811 -500
MAR20 5Y NOTE 118.50 C 9,331 +649 118.50 P 18,660 +2,080
MAR20 5Y NOTE 118.75 C 11,999 UNCH 118.75 P 10,966 -190
JAN20 2Y NOTE 107.75 C 5,860 +100 107.75 P 10,207 UNCH
JAN20 2Y NOTE 107.88 C 6,522 UNCH 107.88 P 8,170 UNCH
MAR20 2Y NOTE 107.75 C 1,059 UNCH 107.75 P 2,720 UNCH
MAR20 2Y NOTE 107.88 C 937 UNCH 107.88 P 4,509 UNCH
JAN20 EURODLR 98.25 C 47,116 -58 98.25 P 109,816 +1,405
JAN20 EURODLR 98.37 C 66,991 -350 98.37 P 27,422 UNCH
MAR20 EURODLR 98.25 C 385,029 +1,716 98.25 P 569,571 -150
MAR20 EURODLR 98.37 C 410,360 +14,605 98.37 P 241,734 UNCH
MAR21 1Y-MIDC 98.37 C 72,433 UNCH 98.37 P 71,250 -250
MAR21 1Y-MIDC 98.50 C 61,639 UNCH 98.50 P 51,159 UNCH
MAR22 2Y-MIDC 98.37 C 29,548 UNCH 98.37 P 29,876 -100
MAR22 2Y-MIDC 98.50 C 35,011 UNCH 98.50 P 30,640 -150
MAR23 3Y-MIDC 98.37 C 10,499 +325 98.37 P 26,202 UNCH
MAR23 3Y-MIDC 98.50 C 49,923 UNCH 98.50 P 10,895 UNCH
PUT/CALL RATIO FOR VOLUME CLEARED:
JAN20 10Y NOTE PUT/CALL RATIO -- 0.93 (44,650 PUTS VS. 47,746 CALLS)
MAR20 10Y NOTE PUT/CALL RATIO -- 1.26 (14,831 PUTS VS. 11,704 CALLS)
JAN20 5Y NOTE PUT/CALL RATIO -- 0.95 (19,884 PUTS VS. 20,785 CALLS)
MAR20 5Y NOTE PUT/CALL RATIO -- 3.40 (12,612 PUTS VS. 3,746 CALLS)
JAN20 2Y NOTE PUT/CALL RATIO -- 0.83 (500 PUTS VS. 600 CALLS)
MAR20 2Y NOTE PUT/CALL RATIO -- 3.84 (600 PUTS VS. 156 CALLS)
JAN20 EURODLRS PUT/CALL RATIO -- 0.73 (1,940 PUTS VS. 2,656 CALLS)
MAR20 EURODLRS PUT/CALL RATIO -- 0.29 (23,215 PUTS VS. 79,994 CALLS)
MAR21 1Y-MIDCRVE PUT/CALL RATIO -- 0.07 (1,055 PUTS VS. 13,631 CALLS)
MAR22 2Y-MIDCRVE PUT/CALL RATIO -- 0.37 (700 PUTS VS. 1,866 CALLS)
MAR23 3Y-MIDCRVE PUT/CALL RATIO -- 0.02 (400 PUTS VS. 17,800 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
0930 46.11 59.44 59.69 62.79 64.12 64.82
Wed Open 46.51 60.93 60.45 63.14 64.39 64.87
Tue 1500 47.07 63.06 60.47 63.33 64.34 64.86
Tue Open 45.74 63.20 60.17 63.08 64.51 64.76
Mon 1500 47.61 62.06 59.91 61.84 64.00 64.61
Mon Open 49.32 65.41 62.22 64.09 64.60 64.70
Fri 1500 49.40 64.61 62.37 63.98 64.57 64.61
Fri Open 50.05 68.20 65.30 67.47 65.49 65.05
Thu 1500 50.05 68.20 65.30 67.47 65.49 65.05
Thu Open 52.59 67.58 65.66 67.05 65.78 65.41
Wed 1500 53.85 68.14 66.31 67.61 65.94 65.64
Wed Open 55.35 71.08 68.44 69.80 66.84 66.16
--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.