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Free AccessUS TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR DEC 29
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USG USH TYG TYH FVG TUH EDF EDH
FRI CLSE 7.29% 7.53% 3.19% 3.47% 1.95% 2.12% 11.70% 14.87%
11:45 7.28% 7.49% 3.13% 3.43% 1.91% 2.05% 11.80% 14.57%
10:45 7.24% 7.52% 3.19% 3.47% 1.96% 2.09% 11.90% 14.86%
9:15 7.30% 7.50% 3.23% 3.46% 1.94% 2.10% 12.00% 14.47%
FRI OPEN 7.40% 7.55% 3.27% 3.50% 1.95% 2.08% 12.82% 14.77%
THU 3:00 7.37% 7.59% 3.26% 3.47% 1.91% 2.01% 12.25% 14.32%
THU OPEN 7.26% 7.59% 3.18% 3.42% 1.90% 2.07% 11.46% 14.95%
TUE 3:00 7.78% 7.87% 3.41% 3.55% 2.04% 2.15% 13.12% 14.88%
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%
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
FEB18 10Y NOTE 124.50 C 70,714 -4,362 123.00 P 100,879 +2,169
MAR18 10Y NOTE 126.00 C 46,361 +2,958 114.00 P 119,347 UNCH
FEB18 5Y NOTE 117.25 C 74,992 UNCH 115.50 P 67,430 +635
MAR18 5Y NOTE 117.25 C 14,308 UNCH 108.50 P 140,106 UNCH
FEB18 2Y NOTE 107.25 C 8,628 +4,960 106.75 P 20,876 UNCH
MAR18 2Y NOTE 107.38 C 20,821 -75 107.00 P 62,445 UNCH
JAN18 EURODLR 98.62 C 275,189 UNCH 98.25 P 286,834 UNCH
MAR18 EURODLR 98.50 C 474,885 UNCH 98.25 P 832,392 -1,225
MAR19 1Y-MIDC 98.25 C 219,654 UNCH 97.62 P 428,123 +1,002
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 26,081 +1,565 123.50 P 64,369 +14,350
FEB18 10Y NOTE 124.00 C 34,262 +389 124.00 P 67,601 -291
MAR18 10Y NOTE 123.50 C 12,369 +6 123.50 P 27,440 +466
MAR18 10Y NOTE 124.00 C 14,902 +345 124.00 P 38,223 +848
FEB18 5Y NOTE 115.75 C 315 UNCH 115.75 P 37,073 -67
FEB18 5Y NOTE 116.00 C 12,235 -134 116.00 P 17,163 -790
MAR18 5Y NOTE 115.75 C 1,217 +2 115.75 P 16,414 +10
MAR18 5Y NOTE 116.00 C 4,852 +100 116.00 P 7,729 +49
FEB18 2Y NOTE 107.00 C 1,227 UNCH 107.00 P 20,073 +20
FEB18 2Y NOTE 107.12 C 2,158 +194 107.12 P 3,572 UNCH
MAR18 2Y NOTE 107.00 C 3,160 UNCH 107.00 P 62,445 UNCH
MAR18 2Y NOTE 107.12 C 2,366 +49 107.12 P 19,443 UNCH
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 474,885 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 150,813 -173 98.12 P 70,031 UNCH
MAR19 1Y-MIDC 98.25 C 219,654 UNCH 98.25 P 36,397 UNCH
MAR20 2Y-MIDC 97.87 C 72,355 UNCH 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 48,930 +1,349 97.87 P 33,372 UNCH
PUT/CALL RATIO FOR VOLUME CLEARED:
FEB18 10Y NOTE PUT/CALL RATIO -- 2.05 (84,015 PUTS VS. 40,956 CALLS)
MAR18 10Y NOTE PUT/CALL RATIO -- 0.84 (30,566 PUTS VS. 36,291 CALLS)
FEB18 5Y NOTE PUT/CALL RATIO -- 0.58 (6,954 PUTS VS. 11,730 CALLS)
MAR18 5Y NOTE PUT/CALL RATIO -- 1.88 (3,215 PUTS VS. 1,748 CALLS)
FEB18 2Y NOTE PUT/CALL RATIO -- 0.03 (214 PUTS VS. 5,925 CALLS)
MAR18 2Y NOTE PUT/CALL RATIO -- 0.82 (395 PUTS VS. 469 CALLS)
JAN18 EURODLRS PUT/CALL RATIO -- 0.00 (0 PUTS VS. 0 CALLS)
MAR18 EURODLRS PUT/CALL RATIO -- 4.13 (30,633 PUTS VS. 7,378 CALLS)
MAR19 1Y-MIDCRVE PUT/CALL RATIO -- 33.1 (33,808 PUTS VS. 1,019 CALLS)
MAR20 2Y-MIDCRVE PUT/CALL RATIO -- 1.32 (2,050 PUTS VS. 1,550 CALLS)
MAR21 3Y-MIDCRVE PUT/CALL RATIO -- 1.06 (8,850 PUTS VS. 8,350 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 Clse 40.05 49.17 49.67 54.39 63.50 68.09
11:45 40.05 49.17 49.67 54.39 63.52 68.09
10:45 40.04 49.17 49.67 54.39 63.57 68.09
9:15 40.05 49.17 49.67 54.39 63.57 68.09
Fri Open 40.05 49.17 49.78 54.59 63.68 68.22
Thu 3:00 40.30 49.07 49.76 54.58 63.65 68.22
Thu Open 40.21 50.79 51.13 55.67 63.83 68.50
Tue 3:00 40.62 52.35 51.78 56.37 64.45 68.87
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
--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.