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Free AccessUS TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR FEB 12
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USH USJ TYH TYJ FVH FVJ EDG EDH
1300 7.82% 7.82% 4.04% 4.11% 2.44% 2.67% N/A 15.38%
1145 7.85% 7.82% 4.08% 4.08% 2.46% 2.65% N/A 16.05%
0930 7.82% 7.81% 4.07% 4.09% 2.42% 2.65% N/A 16.11%
WED OPEN 7.81% 7.81% 4.05% 4.10% 2.41% 2.65% N/A 16.35%
TUE 1500 8.28% 7.99% 4.25% 4.25% 2.69% 2.72% N/A 18.10%
TUE OPEN 8.54% 7.65% 4.38% 4.36% 2.69% 2.71% N/A 17.15%
MON 1500 8.82% 8.36% 4.50% 4.40% 2.88% 2.80% N/A 18.45%
MON OPEN 8.84% 8.17% 4.43% 4.27% 2.80% 2.72% N/A 17.27%
THU 1500 7.52% 7.35% 3.78% 3.94% 2.40% 2.50% N/A 17.25%
THU OPEN 8.25% 7.70% 4.14% 4.10% 2.57% 2.65% N/A 17.50%
WED 1500 8.21% 7.70% 4.16% 4.12% 2.54% 2.64% N/A 17.00%
WED OPEN 8.33% 7.75% 4.23% 4.12% 2.65% 2.62% N/A 15.88%
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
MAR20 10Y NOTE 131.00 C 117,616 -1,891 128.00 P 130,992 UNCH
APR20 10Y NOTE 132.00 C 74,362 +1,287 129.00 P 90,423 +19,564
MAR20 5Y NOTE 119.00 C 45,743 -2 111.00 P 252,174 UNCH
APR20 5Y NOTE 121.50 C 48,883 +16 119.50 P 52,596 -270
MAR20 2Y NOTE 108.00 C 9,427 -137 105.75 P 55,165 UNCH
APR20 2Y NOTE 108.50 C 3,402 UNCH 108.00 P 3,794 +18
FEB20 EURODLR 99.12 C 164,000 UNCH 98.25 P 105,859 UNCH
MAR20 EURODLR 98.50 C 542,822 -148 98.12 P 409,730 -4,500
MAR21 1Y-MIDC 99.75 C 238,047 UNCH 98.37 P 203,531 +4,240
MAR22 2Y-MIDC 98.25 C 78,546 UNCH 98.25 P 100,183 UNCH
MAR23 3Y-MIDC 98.12 C 53,469 UNCH 98.12 P 38,842 UNCH
NEAREST ATM: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
MAR20 10Y NOTE 130.50 C 102,648 -4 130.50 P 78,245 -221
MAR20 10Y NOTE 131.00 C 117,616 -1,891 131.00 P 49,347 +3,914
APR20 10Y NOTE 130.50 C 34,806 +74 130.50 P 31,786 -170
APR20 10Y NOTE 131.00 C 69,376 +876 131.00 P 25,386 +1,752
MAR20 5Y NOTE 119.75 C 19,882 UNCH 119.75 P 16,759 +221
MAR20 5Y NOTE 120.00 C 36,913 -763 120.00 P 11,947 -2
APR20 5Y NOTE 120.00 C 8,348 +175 120.00 P 13,962 +5,347
APR20 5Y NOTE 120.25 C 7,332 +1,019 120.25 P 4,835 +1,571
MAR20 2Y NOTE 107.88 C 5,053 UNCH 107.88 P 10,279 +2,306
MAR20 2Y NOTE 108.00 C 9,427 -137 108.00 P 1,347 -3,246
APR20 2Y NOTE 107.88 C 416 UNCH 107.88 P 3,470 +100
APR20 2Y NOTE 108.00 C 146 UNCH 108.00 P 3,794 +18
FEB20 EURODLR 98.25 C 64,929 UNCH 98.25 P 105,859 UNCH
FEB20 EURODLR 98.37 C 100,641 -500 98.37 P 41,183 +250
MAR20 EURODLR 98.25 C 247,433 +752 98.25 P 374,910 -92,934
MAR20 EURODLR 98.37 C 437,324 +819 98.37 P 169,982 +1,920
MAR21 1Y-MIDC 98.37 C 113,716 -4,371 98.37 P 203,531 +4,240
MAR21 1Y-MIDC 98.50 C 146,163 -6,328 98.50 P 159,655 +2,341
MAR22 2Y-MIDC 98.37 C 31,398 UNCH 98.37 P 42,185 -1,445
MAR22 2Y-MIDC 98.50 C 34,628 UNCH 98.50 P 39,151 +750
MAR23 3Y-MIDC 98.37 C 10,870 UNCH 98.37 P 26,682 +1,673
MAR23 3Y-MIDC 98.50 C 44,909 UNCH 98.50 P 17,018 +1,689
PUT/CALL RATIO FOR VOLUME CLEARED:
MAR20 10Y NOTE PUT/CALL RATIO -- 0.88 (70,399 PUTS VS. 80,067 CALLS)
APR20 10Y NOTE PUT/CALL RATIO -- 2.47 (104,336 PUTS VS. 42,230 CALLS)
MAR20 5Y NOTE PUT/CALL RATIO -- 0.46 (9,010 PUTS VS. 19,279 CALLS)
APR20 5Y NOTE PUT/CALL RATIO -- 1.65 (13,961 PUTS VS. 8,425 CALLS)
MAP20 2Y NOTE PUT/CALL RATIO -- 0.01 (10,388 PUTS VS. 653 CALLS)
APR20 2Y NOTE PUT/CALL RATIO -- 0.00 (850 PUTS VS. 0 CALLS)
FEB20 EURODLRS PUT/CALL RATIO -- 0.10 (272 PUTS VS. 2,762 CALLS)
MAR20 EURODLRS PUT/CALL RATIO -- 2.28 (144,558 PUTS VS. 63,150 CALLS)
MAR21 1Y-MIDCRVE PUT/CALL RATIO -- 0.26 (21,751 PUTS VS. 79,788 CALLS)
MAR22 2Y-MIDCRVE PUT/CALL RATIO -- 2.61 (13,832 PUTS VS. 5,063 CALLS)
MAR23 3Y-MIDCRVE PUT/CALL RATIO -- 0.00 (11,762 PUTS VS. 0 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
1300 57.88 68.43 64.94 66.20 64.97 65.42
1145 57.73 68.42 64.84 66.16 64.96 65.47
0930 58.11 68.57 64.97 66.27 64.93 65.31
Wed Open 58.90 68.98 65.09 66.54 64.86 65.27
Tue 1500 60.35 69.41 65.88 67.31 65.28 65.60
Tue Open 61.56 72.04 67.06 68.07 65.43 65.54
Mon 1500 61.14 72.89 67.51 68.90 65.52 65.58
Mon Open 59.25 70.43 65.55 67.65 65.25 65.46
Thu 1500 55.84 66.48 61.92 63.96 64.36 64.83
Thu Open 56.65 68.52 63.70 64.84 64.34 65.12
Wed 1500 56.90 67.62 64.15 65.39 64.64 65.66
Wed Open 58.07 71.60 65.38 66.66 64.90 65.84
--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.