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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 FVH EDF EDH
0900 6.84% 7.18% 3.46% 3.84% 1.97% 2.32% 13.00% 11.10%
THU OPEN 6.90% 7.19% 3.52% 3.84% 2.00% 2.32% 12.79% 11.20%
WED 1500 6.81% 7.16% 3.37% 3.82% 2.03% 2.33% 13.50% 10.75%
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
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
JAN20 10Y NOTE 131.00 C 154,766 UNCH 128.00 P 97,117 +5,311
MAR20 10Y NOTE 131.00 C 63,802 +1,067 117.50 P 66,948 UNCH
JAN20 5Y NOTE 120.50 C 91,087 UNCH 118.25 P 49,268 -6,800
MAR20 5Y NOTE 128.00 C 21,291 UNCH 111.00 P 250,582 UNCH
JAN20 2Y NOTE 108.00 C 10,738 -500 107.62 P 14,526 UNCH
MAR20 2Y NOTE 110.37 C 7,692 UNCH 105.75 P 55,165 +129
JAN20 EURODLR 98.50 C 126,508 -3,169 98.12 P 121,672 -16,726
MAR20 EURODLR 99.00 C 460,823 UNCH 98.25 P 575,418 +5,847
MAR21 1Y-MIDC 99.75 C 247,313 +399 98.25 P 78,515 +1,000
MAR22 2Y-MIDC 98.25 C 79,246 +400 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 128.00 C 7,392 +105 128.00 P 97,117 +5,311
JAN20 10Y NOTE 128.50 C 34,323 -1,704 128.50 P 73,739 -3,440
MAR20 10Y NOTE 128.00 C 5,669 +523 128.00 P 28,206 +1,370
MAR20 10Y NOTE 128.50 C 20,968 +378 128.50 P 19,289 -991
JAN20 5Y NOTE 118.25 C 5,758 UNCH 118.25 P 49,268 -6,800
JAN20 5Y NOTE 118.50 C 34,731 +1,000 118.50 P 31,368 -366
MAR20 5Y NOTE 118.25 C 3,007 +1,027 118.25 P 7,519 +446
MAR20 5Y NOTE 118.50 C 9,381 +50 118.50 P 18,560 -100
JAN20 2Y NOTE 107.62 C 3,641 +497 107.62 P 14,526 UNCH
JAN20 2Y NOTE 107.75 C 6,260 +400 107.75 P 10,207 UNCH
MAR20 2Y NOTE 107.62 C 450 -50 107.62 P 3,047 +250
MAR20 2Y NOTE 107.75 C 1,055 -4 107.75 P 2,720 UNCH
JAN20 EURODLR 98.25 C 48,934 +1,818 98.25 P 94,765 -15,051
JAN20 EURODLR 98.37 C 60,738 -6,253 98.37 P 27,422 UNCH
MAR20 EURODLR 98.25 C 416,156 +31,127 98.25 P 575,418 +5,847
MAR20 EURODLR 98.37 C 409,737 +9,377 98.37 P 244,415 +2,681
MAR21 1Y-MIDC 98.37 C 72,433 UNCH 98.37 P 71,350 +100
MAR21 1Y-MIDC 98.50 C 63,289 +275 98.50 P 50,909 -250
MAR22 2Y-MIDC 98.37 C 29,823 UNCH 98.37 P 30,615 +739
MAR22 2Y-MIDC 98.50 C 35,011 UNCH 98.50 P 30,640 UNCH
MAR23 3Y-MIDC 98.37 C 10,499 UNCH 98.37 P 15,426 UNCH
MAR23 3Y-MIDC 98.50 C 44,729 -4,194 98.50 P 7,719 UNCH
PUT/CALL RATIO FOR VOLUME CLEARED:
JAN20 10Y NOTE PUT/CALL RATIO -- 0.88 (192,779 PUTS VS. 218,204 CALLS)
MAR20 10Y NOTE PUT/CALL RATIO -- 0.99 (51,008 PUTS VS. 51,163 CALLS)
JAN20 5Y NOTE PUT/CALL RATIO -- 0.52 (37,510 PUTS VS. 71,853 CALLS)
MAR20 5Y NOTE PUT/CALL RATIO -- 2.40 (10,174 PUTS VS. 4,195 CALLS)
JAN20 2Y NOTE PUT/CALL RATIO -- 0.47 (1,052 PUTS VS. 2,163 CALLS)
MAR20 2Y NOTE PUT/CALL RATIO -- 1.94 (3,619 PUTS VS. 1,859 CALLS)
JAN20 EURODLRS PUT/CALL RATIO -- 1.82 (75,176 PUTS VS. 41,252 CALLS)
MAR20 EURODLRS PUT/CALL RATIO -- 0.07 (66,686 PUTS VS. 850,330 CALLS)
MAR21 1Y-MIDCRVE PUT/CALL RATIO -- 0.06 (2,988 PUTS VS. 44,283 CALLS)
MAR22 2Y-MIDCRVE PUT/CALL RATIO -- 0.98 (6,644 PUTS VS. 6,755 CALLS)
MAR23 3Y-MIDCRVE PUT/CALL RATIO -- 1.41 (14,900 PUTS VS. 10,800 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
0900 46.22 60.06 60.35 63.28 64.08 64.66
Thu Open 46.28 60.10 60.25 63.40 64.18 64.65
Wed 1500 46.55 59.79 60.64 63.55 64.13 64.68
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
--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.