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Free AccessUS TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR DEC 19
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USF USH TYF TYH FVF TUH EDF EDH
TUE 3:00 10.03% 7.55% 4.41% 3.53% 3.15% 2.11% 11.20% 13.75%
1:45 9.85% 7.56% 4.55% 3.52% 3.12% 2.14% 11.80% 13.20%
12:30 9.59% 7.54% 4.66% 3.66% 3.01% 2.16% 12.10% 13.90%
11:00 9.11% 7.43% 3.99% 3.44% 2.28% 2.13% 12.26% 13.36%
9:30 8.66% 7.71% 3.71% 3.41% 2.35% 2.11% 11.77% 12.88%
TUE OPEN 8.31% 7.38% 3.69% 3.40% 2.41% 2.10% 11.08% 12.59%
MON 3:00 8.13% 7.33% 3.79% 3.45% 2.32% 2.11% 11.67% 13.48%
MON OPEN 8.26% 7.43% 3.81% 3.47% 2.36% 2.11% 12.66% 13.65%
FRI 3:00 6.80% 7.36% 3.06% 3.42% 1.98% 2.10% 11.10% N/A
FRI OPEN 7.02% 7.29% 3.21% 3.42% 1.80% 2.11% 10.80% N/A
THU 3:00 6.89% 7.24% 3.28% 3.40% 1.84% 2.08% 11.25% N/A
THU OPEN 6.80% 7.16% 3.32% 3.39% 2.13% 2.13% 11.50% N/A
WED 3:00 7.24% 7.10% 3.48% 3.40% 2.11% 2.10% 11.70% N/A
WED OPEN 8.15% 7.35% 4.07% 3.52% 2.45% 2.17% 13.30% N/A
TUE 3:00 7.99% 7.40% 3.98% 3.53% 2.34% 2.17% 13.20% N/A
TUE OPEN 8.08% 7.51% 3.85% 3.54% 2.26% 2.17% 13.30% N/A
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
JAN18 10Y NOTE 125.00 C 96,985 +300 124.00 P 131,438 -3,220
MAR18 10Y NOTE 126.00 C 44,012 +296 114.00 P 110,162 UNCH
JAN18 5Y NOTE 117.00 C 30,548 -102 116.00 P 26,978 -994
MAR18 5Y NOTE 117.25 C 14,006 -54 108.50 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 20,270 UNCH 107.00 P 61,780 +20
JAN18 EURODLR 98.62 C 245,189 UNCH 98.25 P 270,365 UNCH
MAR18 EURODLR 98.50 C 469,325 UNCH 98.25 P 798,621 -1
MAR19 1Y-MIDC 98.50 C 188,459 UNCH 97.62 P 396,881 UNCH
MAR20 2Y-MIDC 98.50 C 145,426 UNCH 97.75 P 142,495 +1,900
MAR21 3Y-MIDC 98.12 C 63,259 -1,500 97.37 P 60,753 +2,228
NEAREST ATM: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
JAN18 10Y NOTE 124.50 C 47,283 +1,143 124.50 P 48,121 -25
JAN18 10Y NOTE 125.00 C 96,985 +300 125.00 P 27,184 -301
MAR18 10Y NOTE 124.50 C 29,756 +700 124.50 P 32,321 +83
MAR18 10Y NOTE 125.00 C 26,286 -97 125.00 P 20,041 UNCH
JAN18 5Y NOTE 116.75 C 22,478 +568 116.75 P 9,774 UNCH
JAN18 5Y NOTE 117.00 C 30,548 -102 117.00 P 8,297 UNCH
MAR18 5Y NOTE 116.75 C 4,342 UNCH 116.75 P 4,487 UNCH
MAR18 5Y NOTE 117.00 C 7,849 +547 117.00 P 3,255 UNCH
JAN18 2Y NOTE 107.00 C 0 UNCH 107.00 P 2,286 UNCH
JAN18 2Y NOTE 107.12 C 1,178 +1 107.12 P 1,912 UNCH
MAR18 2Y NOTE 107.00 C 232 +1 107.00 P 61,780 +20
MAR18 2Y NOTE 107.12 C 991 UNCH 107.12 P 17,227 UNCH
JAN18 EURODLR 98.50 C 148,212 UNCH 98.50 P 18,103 UNCH
JAN18 EURODLR 98.62 C 245,189 UNCH 98.62 P 0 UNCH
MAR18 EURODLR 98.50 C 469,325 UNCH 98.50 P 125,305 UNCH
MAR18 EURODLR 98.62 C 253,051 +389 98.62 P 28,813 UNCH
MAR19 1Y-MIDC 98.12 C 133,979 UNCH 98.12 P 70,031 UNCH
MAR19 1Y-MIDC 98.25 C 175,618 +4,000 98.25 P 36,397 UNCH
MAR20 2Y-MIDC 97.87 C 57,256 -3,500 97.87 P 50,975 UNCH
MAR20 2Y-MIDC 98.00 C 111,508 +250 98.00 P 73,178 UNCH
MAR21 3Y-MIDC 97.75 C 34,828 UNCH 97.75 P 25,612 UNCH
MAR21 3Y-MIDC 97.87 C 46,791 UNCH 97.87 P 33,372 UNCH
PUT/CALL RATIO FOR VOLUME CLEARED:
JAN18 10Y NOTE PUT/CALL RATIO -- 1.01 (35,800 PUTS VS. 35,621 CALLS)
MAR18 10Y NOTE PUT/CALL RATIO -- 1.06 (11,436 PUTS VS. 10,764 CALLS)
JAN18 5Y NOTE PUT/CALL RATIO -- 2.33 (11,247 PUTS VS. 4,841 CALLS)
MAR18 5Y NOTE PUT/CALL RATIO -- 0.88 (1,573 PUTS VS. 1,689 CALLS)
JAN18 2Y NOTE PUT/CALL RATIO -- 0.00 (0 PUTS VS. 17 CALLS)
MAR18 2Y NOTE PUT/CALL RATIO -- 0.24 (152 PUTS VS. 626 CALLS)
JAN18 EURODLRS PUT/CALL RATIO -- 0.08 (3,584 PUTS VS. 39,096 CALLS)
MAR18 EURODLRS PUT/CALL RATIO -- 0.28 (2,981 PUTS VS. 10,150 CALLS)
MAR19 1Y-MIDCRVE PUT/CALL RATIO -- 0.97 (8,040 PUTS VS. 8,250 CALLS)
MAR20 2Y-MIDCRVE PUT/CALL RATIO -- 6.46 (9,700 PUTS VS. 1,500 CALLS)
MAR21 3Y-MIDCRVE PUT/CALL RATIO -- 0.84 (3,877 PUTS VS. 4,500 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 38.14 50.32 49.67 53.74 63.37 68.88
1:45 38.14 50.01 49.62 53.69 63.35 68.88
12:30 37.79 49.55 49.43 53.33 63.33 68.95
11:00 37.62 49.30 49.24 53.13 62.65 68.61
9:30 37.88 48.99 49.11 52.88 62.81 68.77
Tue Open 38.05 48.67 48.69 52.32 63.06 68.90
Mon 3:00 38.05 48.02 48.63 52.11 63.06 69.02
Mon Open 37.73 47.20 48.64 52.50 63.27 69.17
Fri 3:00 37.31 47.35 48.66 52.50 63.28 69.17
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
--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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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.