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Free AccessUS TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR DEC 22
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USF USH TYF TYH FVF TUH EDF EDH
FRI OPEN 8.90% 7.75% 4.00% 3.63% 2.65% 2.17% 12.40% 13.21%
THU 3:00 7.13% 7.76% 3.26% 3.65% 2.34% 2.18% 13.42% 14.08%
THU OPEN 8.85% 7.75% 3.53% 3.60% 2.15% 2.14% 11.80% 14.10%
WED 3:00 8.12% 7.76% 3.76% 3.58% 2.09% 2.15% 11.39% 14.01%
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
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
JAN18 10Y NOTE 125.00 C 98,988 -120 124.00 P 90,460 -6,396
MAR18 10Y NOTE 126.00 C 42,823 +502 114.00 P 112,635 UNCH
JAN18 5Y NOTE 117.00 C 30,895 -81 116.00 P 25,492 -28
MAR18 5Y NOTE 117.25 C 14,625 -202 108.50 P 140,106 UNCH
JAN18 2Y NOTE 107.50 C 8,970 UNCH 107.00 P 2,236 UNCH
MAR18 2Y NOTE 107.38 C 20,893 +264 107.00 P 61,775 +25
JAN18 EURODLR 98.62 C 275,189 +10,000 98.25 P 290,584 UNCH
MAR18 EURODLR 98.50 C 475,185 UNCH 98.25 P 831,767 +100
MAR19 1Y-MIDC 98.25 C 207,618 +32,000 97.62 P 417,521 +4,248
MAR20 2Y-MIDC 98.50 C 145,426 UNCH 97.75 P 141,693 -2,800
MAR21 3Y-MIDC 98.12 C 63,259 UNCH 97.37 P 62,351 UNCH
NEAREST ATM: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
JAN18 10Y NOTE 124.50 C 41,803 +323 124.50 P 47,602 -26
JAN18 10Y NOTE 125.00 C 98,988 -120 125.00 P 27,066 -73
MAR18 10Y NOTE 124.50 C 30,064 -54 124.50 P 32,414 +32
MAR18 10Y NOTE 125.00 C 33,853 +3,008 125.00 P 19,981 -2
JAN18 5Y NOTE 116.75 C 24,046 UNCH 116.75 P 9,774 -6
JAN18 5Y NOTE 117.00 C 30,895 -81 117.00 P 8,297 UNCH
MAR18 5Y NOTE 116.75 C 4,440 +192 116.75 P 4,487 UNCH
MAR18 5Y NOTE 117.00 C 11,639 +12 117.00 P 3,255 UNCH
JAN18 2Y NOTE 107.00 C 0 UNCH 107.00 P 2,236 UNCH
JAN18 2Y NOTE 107.12 C 992 -186 107.12 P 1,601 -186
MAR18 2Y NOTE 107.00 C 810 +82 107.00 P 61,775 +25
MAR18 2Y NOTE 107.12 C 991 UNCH 107.12 P 18,859 +1,772
JAN18 EURODLR 98.50 C 163,430 +5,000 98.50 P 18,103 UNCH
JAN18 EURODLR 98.62 C 275,189 +10,000 98.62 P 0 UNCH
MAR18 EURODLR 98.50 C 475,185 UNCH 98.50 P 124,436 UNCH
MAR18 EURODLR 98.62 C 253,051 UNCH 98.62 P 28,813 UNCH
MAR19 1Y-MIDC 98.12 C 144,356 +10,327 98.12 P 70,031 UNCH
MAR19 1Y-MIDC 98.25 C 207,618 +32,000 98.25 P 36,397 UNCH
MAR20 2Y-MIDC 97.87 C 72,355 +8,156 97.87 P 50,975 UNCH
MAR20 2Y-MIDC 98.00 C 108,008 UNCH 98.00 P 72,318 -1,400
MAR21 3Y-MIDC 97.75 C 36,818 UNCH 97.75 P 25,612 UNCH
MAR21 3Y-MIDC 97.87 C 47,581 UNCH 97.87 P 33,372 UNCH
PUT/CALL RATIO FOR VOLUME CLEARED:
JAN18 10Y NOTE PUT/CALL RATIO -- 1.47 (64,497 PUTS VS. 43,583 CALLS)
MAR18 10Y NOTE PUT/CALL RATIO -- 1.48 (53,611 PUTS VS. 36,138 CALLS)
JAN18 5Y NOTE PUT/CALL RATIO -- 0.95 (23,377 PUTS VS. 24,377 CALLS)
MAR18 5Y NOTE PUT/CALL RATIO -- 13.1 (18,395 PUTS VS. 1,413 CALLS)
JAN18 2Y NOTE PUT/CALL RATIO -- 0.41 (186 PUTS VS. 454 CALLS)
MAR18 2Y NOTE PUT/CALL RATIO -- 8.85 (12,428 PUTS VS. 1,428 CALLS)
JAN18 EURODLRS PUT/CALL RATIO -- 0.80 (16,700 PUTS VS. 20,800 CALLS)
MAR18 EURODLRS PUT/CALL RATIO -- 20.0 (30,045 PUTS VS. 1,532 CALLS)
MAR19 1Y-MIDCRVE PUT/CALL RATIO -- 0.47 (25,300 PUTS VS. 52,950 CALLS)
MAR20 2Y-MIDCRVE PUT/CALL RATIO -- 3.75 (39,000 PUTS VS. 10,467 CALLS)
MAR21 3Y-MIDCRVE PUT/CALL RATIO -- 1.84 (3,597 PUTS VS. 1,985 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
Fri Open 39.53 52.31 51.31 56.04 64.46 68.95
Thu 3:00 39.11 52.44 51.24 56.11 64.43 68.86
Thu Open 38.67 51.64 50.89 55.51 63.79 68.71
Wed 3:00 38.50 51.38 50.72 55.28 63.88 68.68
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
--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.