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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)
USG USH TYG TYH FVG TUH EDF EDH
TUE OPEN 7.90% 7.88% 3.47% 3.63% 2.06% 2.18% 12.95% 15.02%
FRI 1:00 N/A 7.82% N/A 3.60% N/A 2.18% 11.94% 14.70%
FRI OPEN N/A 7.75% N/A 3.63% N/A 2.17% 12.40% 13.21%
THU 3:00 N/A 7.76% N/A 3.65% N/A 2.18% 13.42% 14.08%
THU OPEN N/A 7.75% N/A 3.60% N/A 2.14% 11.80% 14.10%
WED 3:00 N/A 7.76% N/A 3.58% N/A 2.15% 11.39% 14.01%
WED OPEN N/A 7.59% N/A 3.52% N/A 2.14% 13.14% 13.97%
TUE 3:00 N/A 7.55% N/A 3.53% N/A 2.11% 11.20% 13.75%
TUE OPEN N/A 7.38% N/A 3.40% N/A 2.10% 11.08% 12.59%
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
FEB18 10Y NOTE 126.00 C 70,065 +1,340 123.00 P 97,274 +514
MAR18 10Y NOTE 126.00 C 43,046 +223 114.00 P 116,945 +4,310
FEB18 5Y NOTE 117.25 C 74,992 -1 115.50 P 66,686 +968
MAR18 5Y NOTE 117.25 C 14,314 -311 108.50 P 140,106 UNCH
FEB18 2Y NOTE 107.75 C 5,000 UNCH 106.75 P 20,886 +116
MAR18 2Y NOTE 107.38 C 20,895 +2 107.00 P 62,346 +571
JAN18 EURODLR 98.62 C 275,189 UNCH 98.25 P 290,584 UNCH
MAR18 EURODLR 98.50 C 475,185 UNCH 98.25 P 831,917 +150
MAR19 1Y-MIDC 98.25 C 205,717 -1,901 97.62 P 425,678 +8,157
MAR20 2Y-MIDC 98.50 C 145,426 UNCH 97.75 P 141,693 UNCH
MAR21 3Y-MIDC 98.12 C 63,259 UNCH 97.37 P 62,351 UNCH
NEAREST ATM: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
FEB18 10Y NOTE 123.50 C 23,340 +2,923 123.50 P 49,466 +2,025
FEB18 10Y NOTE 124.00 C 32,588 +3,314 124.00 P 69,440 -487
MAR18 10Y NOTE 123.50 C 11,330 +2,305 123.50 P 26,664 +463
MAR18 10Y NOTE 124.00 C 14,152 +727 124.00 P 37,612 -150
FEB18 5Y NOTE 115.75 C 76 +19 115.75 P 36,771 -25
FEB18 5Y NOTE 116.00 C 12,617 +2,172 116.00 P 19,399 +2,994
MAR18 5Y NOTE 115.75 C 1,215 UNCH 115.75 P 17,404 +2,001
MAR18 5Y NOTE 116.00 C 4,196 +1,871 116.00 P 7,953 +169
FEB18 2Y NOTE 107.00 C 767 +119 107.00 P 20,068 +30
FEB18 2Y NOTE 107.12 C 2,169 +109 107.12 P 3,572 +58
MAR18 2Y NOTE 107.00 C 3,160 +2,650 107.00 P 62,346 +571
MAR18 2Y NOTE 107.12 C 2,263 +1,272 107.12 P 19,401 +542
JAN18 EURODLR 98.50 C 163,430 UNCH 98.50 P 18,103 UNCH
JAN18 EURODLR 98.62 C 275,189 UNCH 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 UNCH 98.12 P 70,031 UNCH
MAR19 1Y-MIDC 98.25 C 205,717 -1,901 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 UNCH
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:
FEB18 10Y NOTE PUT/CALL RATIO -- 1.09 (76,872 PUTS VS. 70,166 CALLS)
MAR18 10Y NOTE PUT/CALL RATIO -- 1.14 (31,855 PUTS VS. 27,715 CALLS)
FEB18 5Y NOTE PUT/CALL RATIO -- 0.98 (12,045 PUTS VS. 12,239 CALLS)
MAR18 5Y NOTE PUT/CALL RATIO -- 0.53 (8,502 PUTS VS. 15,890 CALLS)
FEB18 2Y NOTE PUT/CALL RATIO -- 1.50 (482 PUTS VS. 325 CALLS)
MAR18 2Y NOTE PUT/CALL RATIO -- 0.82 (7,634 PUTS VS. 9,228 CALLS)
JAN18 EURODLRS PUT/CALL RATIO -- 0.00 (0 PUTS VS. 400 CALLS)
MAR18 EURODLRS PUT/CALL RATIO -- 1.11 (6,031 PUTS VS. 5,452 CALLS)
MAR19 1Y-MIDCRVE PUT/CALL RATIO -- 3.44 (28,947 PUTS VS. 8,450 CALLS)
MAR20 2Y-MIDCRVE PUT/CALL RATIO -- 1.00 (2,450 PUTS VS. 2,450 CALLS)
MAR21 3Y-MIDCRVE PUT/CALL RATIO -- 1.00 (300 PUTS VS. 300 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 Open 40.93 52.33 52.16 56.72 64.39 68.96
Fri 1:00 40.65 51.53 51.93 56.49 64.41 68.93
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
--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.