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Free AccessUS TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR DEC 20
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USF USH TYF TYH FVF TUH EDF EDH
1:45 8.02% 7.64% 3.74% 3.58% 2.20% 2.13% 11.41% 13.82%
12:00 8.09% 7.58% 3.59% 3.53% 2.01% 2.14% 11.22% 14.10%
10:30 8.92% 7.69% 4.02% 3.58% 2.23% 2.14% 11.40% 13.60%
9:15 8.59% 7.69% 4.22% 3.61% 2.27% 2.16% 12.33% 13.60%
WED OPEN 8.85% 7.59% 4.19% 3.52% 2.34% 2.14% 13.14% 13.97%
TUE 3:00 10.03% 7.55% 4.41% 3.53% 3.15% 2.11% 11.20% 13.75%
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
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
JAN18 10Y NOTE 125.00 C 99,188 +2,203 124.00 P 107,965 -23,473
MAR18 10Y NOTE 126.00 C 44,096 +84 114.00 P 112,635 +2,473
JAN18 5Y NOTE 117.00 C 30,976 +428 116.00 P 26,181 -797
MAR18 5Y NOTE 117.25 C 14,085 +79 108.50 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 20,629 +359 107.00 P 61,805 +25
JAN18 EURODLR 98.62 C 245,189 UNCH 98.25 P 291,364 +20,999
MAR18 EURODLR 98.50 C 475,185 +5,860 98.25 P 825,230 +26,609
MAR19 1Y-MIDC 98.50 C 188,459 UNCH 97.62 P 404,323 +7,442
MAR20 2Y-MIDC 98.50 C 145,426 UNCH 97.75 P 144,493 +1,998
MAR21 3Y-MIDC 98.12 C 63,259 UNCH 97.37 P 60,403 -350
NEAREST ATM: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
JAN18 10Y NOTE 124.50 C 44,893 -2,390 124.50 P 47,807 -314
JAN18 10Y NOTE 125.00 C 99,188 +2,203 125.00 P 27,190 +6
MAR18 10Y NOTE 124.50 C 29,956 +200 124.50 P 32,321 UNCH
MAR18 10Y NOTE 125.00 C 26,623 +337 125.00 P 20,041 UNCH
JAN18 5Y NOTE 116.75 C 22,564 +86 116.75 P 9,774 UNCH
JAN18 5Y NOTE 117.00 C 30,976 +428 117.00 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 7,773 -76 117.00 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 UNCH 107.12 P 1,912 UNCH
MAR18 2Y NOTE 107.00 C 232 UNCH 107.00 P 61,805 +25
MAR18 2Y NOTE 107.12 C 991 UNCH 107.12 P 17,087 -140
JAN18 EURODLR 98.50 C 148,462 +250 98.50 P 18,103 UNCH
JAN18 EURODLR 98.62 C 245,189 UNCH 98.62 P 0 UNCH
MAR18 EURODLR 98.50 C 475,185 +5,860 98.50 P 124,655 -650
MAR18 EURODLR 98.62 C 253,051 UNCH 98.62 P 28,813 UNCH
MAR19 1Y-MIDC 98.12 C 133,229 -750 98.12 P 70,031 UNCH
MAR19 1Y-MIDC 98.25 C 175,618 UNCH 98.25 P 36,397 UNCH
MAR20 2Y-MIDC 97.87 C 57,256 UNCH 97.87 P 50,975 UNCH
MAR20 2Y-MIDC 98.00 C 108,008 -3,500 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 -- 2.11 (117,678 PUTS VS. 55,634 CALLS)
MAR18 10Y NOTE PUT/CALL RATIO -- 1.77 (110,082 PUTS VS. 61,957 CALLS)
JAN18 5Y NOTE PUT/CALL RATIO -- 1.16 (14,561 PUTS VS. 12,570 CALLS)
MAR18 5Y NOTE PUT/CALL RATIO -- 4.96 (16,520 PUTS VS. 3,326 CALLS)
JAN18 2Y NOTE PUT/CALL RATIO -- 0.00 (0 PUTS VS. 32 CALLS)
MAR18 2Y NOTE PUT/CALL RATIO -- 1.01 (783 PUTS VS. 771 CALLS)
JAN18 EURODLRS PUT/CALL RATIO -- 1.37 (38,089 PUTS VS. 27,720 CALLS)
MAR18 EURODLRS PUT/CALL RATIO -- 3.88 (431,133 PUTS VS. 111,096 CALLS)
MAR19 1Y-MIDCRVE PUT/CALL RATIO -- 9.15 (72,300 PUTS VS. 7,900 CALLS)
MAR20 2Y-MIDCRVE PUT/CALL RATIO -- 17.8 (110,812 PUTS VS. 6,200 CALLS)
MAR21 3Y-MIDCRVE PUT/CALL RATIO -- 0.00 (1,758 PUTS VS. 0 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
1:45 38.50 51.38 50.72 55.28 63.88 68.68
12:00 38.50 51.89 50.72 55.28 63.88 68.70
10:30 38.40 51.70 50.64 55.16 63.60 68.68
9:15 38.10 51.83 50.32 54.66 63.37 68.87
Wed Open 38.14 51.01 49.99 54.09 63.35 68.84
Tue 3:00 38.14 50.32 49.67 53.74 63.37 68.88
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
--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.