Free Trial

US 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$]

To read the full story

Close

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.