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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 FVH EDF EDH
1245 5.90% 7.14% 2.95% 3.86% 1.65% 2.32% 12.35% 11.10%
1100 5.80% 7.11% 3.02% 3.83% 1.65% 2.32% 12.20% 10.85%
0915 6.30% 7.13% 3.34% 3.83% 1.80% 2.29% 12.60% 10.75%
FRI OPEN 6.35% 7.12% 3.28% 3.85% 1.87% 2.31% 11.65% 10.75%
THU 1500 6.47% 7.14% 3.35% 3.82% 1.88% 2.34% 13.30% 10.50%
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
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
JAN20 10Y NOTE 131.00 C 154,691 -75 128.00 P 92,699 -4,616
MAR20 10Y NOTE 131.00 C 69,671 +5,869 117.50 P 66,948 UNCH
JAN20 5Y NOTE 120.50 C 71,087 UNCH 118.75 P 50,072 +418
MAR20 5Y NOTE 119.00 C 25,344 +6,002 111.00 P 251,174 +1,592
JAN20 2Y NOTE 108.00 C 10,738 UNCH 107.62 P 13,676 -350
MAR20 2Y NOTE 110.37 C 7,692 UNCH 105.75 P 55,165 UNCH
JAN20 EURODLR 98.50 C 126,858 +350 98.12 P 117,699 -4,003
MAR20 EURODLR 99.00 C 460,823 UNCH 98.25 P 584,669 +9,251
MAR21 1Y-MIDC 99.75 C 247,313 UNCH 98.25 P 79,737 +1,222
MAR22 2Y-MIDC 98.25 C 79,246 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 128.00 C 11,529 +4,137 128.00 P 92,699 -4,616
JAN20 10Y NOTE 128.50 C 34,852 +529 128.50 P 74,152 +413
MAR20 10Y NOTE 128.00 C 7,197 +1,458 128.00 P 30,733 +2,527
MAR20 10Y NOTE 128.50 C 20,900 -68 128.50 P 19,038 -251
JAN20 5Y NOTE 118.25 C 4,497 -1,261 118.25 P 49,546 +278
JAN20 5Y NOTE 118.50 C 31,908 -2,823 118.50 P 31,689 +321
MAR20 5Y NOTE 118.25 C 2,852 -155 118.25 P 7,876 +357
MAR20 5Y NOTE 118.50 C 9,411 +30 118.50 P 19,180 +620
JAN20 2Y NOTE 107.62 C 3,641 UNCH 107.62 P 13,676 -350
JAN20 2Y NOTE 107.75 C 6,260 UNCH 107.75 P 9,858 -349
MAR20 2Y NOTE 107.62 C 450 UNCH 107.62 P 3,047 UNCH
MAR20 2Y NOTE 107.75 C 1,055 UNCH 107.75 P 2,720 UNCH
JAN20 EURODLR 98.25 C 48,725 -209 98.25 P 94,477 -288
JAN20 EURODLR 98.37 C 61,735 +997 98.37 P 27,422 UNCH
MAR20 EURODLR 98.25 C 418,158 +2,002 98.25 P 584,669 +9,251
MAR20 EURODLR 98.37 C 418,785 +9,048 98.37 P 246,121 +1,706
MAR21 1Y-MIDC 98.37 C 72,433 UNCH 98.37 P 71,406 +56
MAR21 1Y-MIDC 98.50 C 63,289 UNCH 98.50 P 50,900 -9
MAR22 2Y-MIDC 98.37 C 29,423 -400 98.37 P 30,215 -400
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 15,376 -50
MAR23 3Y-MIDC 98.50 C 44,729 UNCH 98.50 P 7,719 UNCH
PUT/CALL RATIO FOR VOLUME CLEARED:
JAN20 10Y NOTE PUT/CALL RATIO -- 2.02 (156,855 PUTS VS. 77,811 CALLS)
MAR20 10Y NOTE PUT/CALL RATIO -- 0.78 (66,596 PUTS VS. 84,640 CALLS)
JAN20 5Y NOTE PUT/CALL RATIO -- 1.24 (31,043 PUTS VS. 25,859 CALLS)
MAR20 5Y NOTE PUT/CALL RATIO -- 1.16 (14,066 PUTS VS. 12,179 CALLS)
JAN20 2Y NOTE PUT/CALL RATIO -- 10.6 (11,729 PUTS VS. 1,125 CALLS)
MAR20 2Y NOTE PUT/CALL RATIO -- 10.3 (8,031 PUTS VS. 847 CALLS)
JAN20 EURODLRS PUT/CALL RATIO -- 2.45 (24,508 PUTS VS. 10,553 CALLS)
MAR20 EURODLRS PUT/CALL RATIO -- 0.09 (27,475 PUTS VS. 288,796 CALLS)
MAR21 1Y-MIDCRVE PUT/CALL RATIO -- 1.59 (7,552 PUTS VS. 4,758 CALLS)
MAR22 2Y-MIDCRVE PUT/CALL RATIO -- 0.10 (1,450 PUTS VS. 13,350 CALLS)
MAR23 3Y-MIDCRVE PUT/CALL RATIO -- 2.40 (2,400 PUTS VS. 1,050 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
1245 46.45 60.46 60.35 63.37 64.08 64.60
1100 46.45 60.47 60.35 63.38 64.07 64.60
0915 46.62 60.44 60.37 63.42 64.15 64.67
Fri Open 46.63 60.53 60.39 63.45 64.15 64.67
Thu 1500 46.13 59.85 60.32 63.34 63.92 64.50
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
--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.