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Free AccessUS TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR DEC 9
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USF USH TYJ TYH FVF FVH EDZ EDF
1145 8.52% 8.39% 4.60% 4.48% 2.86% 2.80% 15.80% 23.90%
0930 8.52% 8.37% 4.53% 4.46% 2.81% 2.81% 15.16% 23.85%
MON OPEN 8.40% 8.30% 4.69% 4.41% 2.78% 2.75% 15.30% 25.20%
WED 1500 8.12% 7.93% 4.40% 4.25% 2.73% 2.67% 13.38% 23.50%
WED OPEN 8.23% 8.01% 4.35% 4.27% 2.75% 2.71% 14.01% 23.71%
TUE 1500 8.36% 8.00% 4.33% 4.27% 2.75% 2.72% 14.45% 23.80%
TUE OPEN 8.05% 7.94% 4.34% 4.33% 2.74% 2.73% 14.45% 23.35%
MON 1500 7.76% 7.77% 4.10% 4.19% 2.62% 2.65% 14.55% 22.27%
MON OPEN 7.80% 7.75% 4.15% 4.17% 2.62% 2.64% 13.85% 22.85%
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
JAN20 10Y NOTE 130.00 C 157,719 +77,998 128.00 P 95,850 -917
MAR20 10Y NOTE 134.50 C 51,442 UNCH 117.50 P 66,948 +2,003
JAN20 5Y NOTE 119.50 C 87,373 +29,904 118.25 P 67,953 -15
MAR20 5Y NOTE 128.00 C 21,291 UNCH 111.00 P 250,582 UNCH
JAN20 2Y NOTE 108.00 C 10,838 UNCH 107.62 P 14,666 +1,131
MAR20 2Y NOTE 110.37 C 7,692 UNCH 105.75 P 55,033 UNCH
DEC19 EURODLR 98.25 C 642,166 -87 97.25 P1,065,828 UNCH
JAN20 EURODLR 98.50 C 129,806 UNCH 98.12 P 161,837 +1,500
DEC20 1Y-MIDC 98.75 C 187,065 +4,103 97.50 P 171,536 UNCH
DEC21 2Y-MIDC 98.00 C 81,249 UNCH 97.37 P 125,829 UNCH
DEC22 3Y-MIDC 98.75 C 53,661 -22,109 98.25 P 64,249 +800
NEAREST ATM: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
JAN20 10Y NOTE 129.00 C 40,948 +3,116 129.00 P 77,070 +4,415
JAN20 10Y NOTE 129.50 C 61,764 +824 129.50 P 62,645 -2,897
MAR20 10Y NOTE 129.00 C 16,614 +5,349 129.00 P 13,843 +2,326
MAR20 10Y NOTE 129.50 C 15,607 +970 129.50 P 12,246 +70
JAN20 5Y NOTE 118.75 C 15,343 +2,263 118.75 P 60,051 -1,698
JAN20 5Y NOTE 119.00 C 19,238 +275 119.00 P 20,972 -679
MAR20 5Y NOTE 118.75 C 7,050 +905 118.75 P 7,568 +472
MAR20 5Y NOTE 119.00 C 19,329 UNCH 119.00 P 9,353 -2
JAN20 2Y NOTE 107.75 C 1,398 UNCH 107.75 P 10,513 +56
JAN20 2Y NOTE 107.88 C 8,729 +438 107.88 P 8,770 UNCH
MAR20 2Y NOTE 107.75 C 1,106 +202 107.75 P 2,739 -1
MAR20 2Y NOTE 107.88 C 556 UNCH 107.88 P 2,135 UNCH
DEC19 EURODLR 98.00 C 325,659 +1,990 98.00 P 305,224 +1
DEC19 EURODLR 98.12 C 553,063 +1,155 98.12 P 240,926 +2,851
JAN20 EURODLR 98.25 C 43,763 +400 98.25 P 138,287 +20,650
JAN20 EURODLR 98.37 C 68,270 +1,600 98.37 P 26,421 UNCH
DEC20 1Y-MIDC 98.50 C 87,814 -2,406 98.50 P 90,654 UNCH
DEC20 1Y-MIDC 98.62 C 110,053 -18,338 98.62 P 49,271 UNCH
DEC21 2Y-MIDC 98.50 C 79,077 UNCH 98.50 P 66,417 -956
DEC21 2Y-MIDC 98.62 C 55,918 -460 98.62 P 23,926 +220
DEC22 3Y-MIDC 98.50 C 15,931 -22,093 98.50 P 18,753 UNCH
DEC22 3Y-MIDC 98.62 C 48,865 +392 98.62 P 18,440 UNCH
PUT/CALL RATIO FOR VOLUME CLEARED:
JAN20 10Y NOTE PUT/CALL RATIO -- 0.53 (130,815 PUTS VS. 243,391 CALLS)
MAR20 10Y NOTE PUT/CALL RATIO -- 1.58 (38,140 PUTS VS. 24,158 CALLS)
JAN20 5Y NOTE PUT/CALL RATIO -- 0.62 (52,919 PUTS VS. 83,183 CALLS)
MAR20 5Y NOTE PUT/CALL RATIO -- 2.83 (15,287 PUTS VS. 5,427 CALLS)
JAN20 2Y NOTE PUT/CALL RATIO -- 0.30 (6,001 PUTS VS. 2,068 CALLS)
MAR20 2Y NOTE PUT/CALL RATIO -- 0.56 (2,308 PUTS VS. 4,180 CALLS)
DEC19 EURODLRS PUT/CALL RATIO -- 0.14 (5,047 PUTS VS. 34,199 CALLS)
JAN20 EURODLRS PUT/CALL RATIO -- 3.74 (32,250 PUTS VS. 8,650 CALLS)
DEC20 1Y-MIDCRVE PUT/CALL RATIO -- 0.19 (21,402 PUTS VS. 107,972 CALLS)
DEC21 2Y-MIDCRVE PUT/CALL RATIO -- 14.6 (11,463 PUTS VS. 780 CALLS)
DEC22 3Y-MIDCRVE PUT/CALL RATIO -- 0.15 (7,280 PUTS VS. 45,170 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
1145 56.81 71.00 68.56 69.20 67.74 66.69
0930 56.73 70.79 68.54 69.19 67.63 66.69
Mon Open 56.74 70.71 68.51 69.14 67.62 66.66
Wed 1500 58.10 67.36 66.66 67.36 66.95 66.81
Wed Open 58.55 68.40 67.99 67.45 67.00 66.73
Tue 1500 58.95 69.07 67.14 67.46 67.00 66.73
Tue Open 54.12 63.44 64.46 64.75 66.23 66.16
Mon 1500 54.50 63.20 64.82 64.92 66.45 66.46
Mon Open 54.54 61.36 64.24 64.40 66.92 67.15
--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.