Free Trial

US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR FEB 11

EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
             USH    USJ     TYH    TYJ     FVH    FVJ     EDG     EDH
MON OPEN    6.32%  6.44%   3.34%  3.54%   2.16%  2.30%   10.30%  8.65%
FRI 3:00    6.05%  6.35%   3.20%  3.48%   2.07%  2.24%   9.21%   7.11%
FRI OPEN    6.05%  6.40%   3.27%  3.54%   2.02%  2.28%    N/A    8.48%
THU 3:00    6.06%  6.38%   3.22%  3.50%   1.97%  2.25%    N/A    8.48%
THU OPEN    6.09%  6.35%   3.24%  3.44%   1.94%  2.23%    N/A    8.40%
WED 3:00    6.14%  6.34%   3.26%  3.39%   1.93%  2.21%   9.80%   6.30%
WED OPEN    6.05%  6.35%   3.24%  3.35%   1.97%  2.23%   8.88%   7.00%
TUE 3:00    6.02%  6.38%   3.24%  3.59%   1.98%  2.19%   10.05%  6.50%
TUE OPEN    6.14%  6.55%   3.28%  3.14%   2.05%  2.25%   7.98%   7.15%
MON 3:00    6.15%  6.30%   3.30%  3.49%   1.96%  2.20%   7.41%   6.10%
MON OPEN    6.11%  6.46%   3.31%  3.50%   2.19%  2.35%   7.71%   6.33%
LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE
MAR19 10Y NOTE  122.50 C  116,055   -6,960   106.50 P   97,647    UNCH
APR19 10Y NOTE  123.00 C   52,004  +10,448   121.00 P   43,838  +2,242
MAR19 5Y NOTE   114.50 C   35,104     -750   103.75 P  284,211    UNCH
APR19 5Y NOTE   115.50 C   29,794  +12,878   114.00 P   22,615  +1,001
MAR19 2Y NOTE   106.12 C    6,894      +58   105.62 P    8,781    UNCH
APR19 2Y NOTE   106.37 C    2,101     UNCH   103.75 P    3,022    UNCH
FEB19 EURODLR    97.37 C   49,473     +372    97.00 P   84,387    UNCH
MAR19 EURODLR    97.37 C  341,225  -29,658    97.00 P  886,549    UNCH
MAR19 1Y-MIDC    97.37 C  195,088     UNCH    96.62 P  790,236    UNCH
MAR20 2Y-MIDC    97.62 C  125,936   +1,436    96.62 P  220,789    UNCH
MAR21 3Y-MIDC    97.00 C   60,658     UNCH    97.00 P   64,675    UNCH
NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE
MAR19 10Y NOTE  121.50 C   39,597      +21   121.50 P   63,869  -4,006
MAR19 10Y NOTE  122.00 C   59,326     -888   122.00 P   43,541  +2,921
APR19 10Y NOTE  121.50 C    8,412      +37   121.50 P   43,651  +7,540
APR19 10Y NOTE  122.00 C   21,020     -316   122.00 P   25,492    +642
MAR19 5Y NOTE   114.00 C   17,392     UNCH   114.00 P   35,494    UNCH
MAR19 5Y NOTE   114.25 C   26,243       -2   114.25 P   70,295      -1
APR19 5Y NOTE   114.00 C    1,626     UNCH   114.00 P   22,615  +1,001
APR19 5Y NOTE   114.25 C    1,856       -1   114.25 P   14,068    -340
MAR19 2Y NOTE   105.87 C    2,768     UNCH   105.87 P    4,602    UNCH
MAR19 2Y NOTE   106.00 C    4,589     +154   106.00 P    4,510    +946
APR19 2Y NOTE   105.87 C        4     UNCH   105.87 P        7    UNCH
APR19 2Y NOTE   106.00 C      612     UNCH   106.00 P    1,061    +256
FEB19 EURODLR    97.25 C   34,977     UNCH    97.25 P   71,995    UNCH
FEB19 EURODLR    97.37 C   49,473     +372    97.37 P    5,470    UNCH
MAR19 EURODLR    97.25 C  337,562     -173    97.25 P  329,730  +7,250
MAR19 EURODLR    97.37 C  341,225  -29,658    97.37 P  131,225  +8,594
MAR20 1Y-MIDC    97.37 C  195,088     UNCH    97.37 P  117,879    -512
MAR20 1Y-MIDC    97.50 C  165,385   +1,920    97.50 P   44,883  -2,500
MAR21 2Y-MIDC    97.50 C   87,792     +764    97.50 P   58,194    UNCH
MAR21 2Y-MIDC    97.62 C  125,936   +1,436    97.62 P   21,251    +994
MAR22 3Y-MIDC    97.50 C   43,234     -850    97.50 P   15,591    +200
MAR22 3Y-MIDC    97.62 C   50,578   +8,254    97.62 P      850    UNCH
PUT/CALL RATIO FOR VOLUME CLEARED:
MAR19 10Y NOTE PUT/CALL RATIO  -- 0.71 (57,379 PUTS VS. 80,777 CALLS)
APR19 10Y NOTE PUT/CALL RATIO  -- 0.16 (53,653 PUTS VS. 323,193 CALLS)
MAR19 5Y NOTE PUT/CALL RATIO   -- 2.11 (14,628 PUTS VS. 6,913 CALLS)
APR19 5Y NOTE PUT/CALL RATIO   -- 0.16 (19,771 PUTS VS. 121,359 CALLS)
MAR19 2Y NOTE PUT/CALL RATIO   -- 4.60 (6,960 PUTS VS. 1,532 CALLS)
APR19 2Y NOTE PUT/CALL RATIO   -- 3.57 (100 PUTS VS. 28 CALLS)
FEB19 EURODLRS PUT/CALL RATIO  -- 0.00 (0 PUTS VS. 24,898 CALLS)
MAR19 EURODLRS PUT/CALL RATIO  -- 0.18 (24,454 PUTS VS. 134,400 CALLS)
MAR20 1Y-MIDCRVE PUT/CALL RATIO-- 0.74 (14,150 PUTS VS. 18,920 CALLS)
MAR21 2Y-MIDCRVE PUT/CALL RATIO-- 3.11 (39,215 PUTS VS. 12,650 CALLS)
MAR22 3Y-MIDCRVE PUT/CALL RATIO-- 0.24 (5,608 PUTS VS. 23,000 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
Mon Open    47.44    52.45    56.38    55.31    64.87     72.79
Fri 3:00    47.65    52.37    56.57    55.33    64.51     72.97
Fri Open    47.27    52.04    56.22    55.03    64.66     73.11
Thu 3:00    47.01    51.69    56.01    54.85    64.75     73.30
Thu Open    46.99    51.64    55.92    54.77    64.77     73.37
Wed 3:00    46.95    51.54    55.83    54.73    64.80     73.47
Wed Open    46.98    51.87    56.26    55.05    65.04     73.77
Tue 3:00    47.12    52.24    56.40    55.20    65.23     73.91
Tue Open    47.68    52.45    56.64    55.16    65.49     74.24
Mon 3:00    47.73    52.42    56.62    54.80    65.48     74.28
Mon Open    48.11    52.05    56.71    55.01    65.51     74.33
--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.