Free Trial

US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR FEB 22

OPEN INTEREST LEVELS NOT UPDATED
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
            USH    USJ     TYH    TYJ     FVH    TUJ     EDH     EDJ
THU OPEN   10.39% 8.50%   5.02%  4.43%   2.71%  2.86%   16.80%  15.70%
WED 3:00   11.03% 8.75%   5.56%  4.49%   3.16%  2.94%   16.10%  15.45%
WED OPEN   9.19%  8.34%   4.78%  4.32%   3.05%  2.89%   16.25%  12.58%
TUE 3:00   9.02%  8.34%   4.89%  4.36%   2.58%  2.89%   19.10%  14.20%
TUE OPEN   9.17%  8.39%   4.74%  4.41%   2.74%  2.85%   17.22%  13.10%
FRI 3:00   7.77%  8.21%   4.06%  4.38%   2.30%  2.83%   18.20%   N/A
FRI OPEN   7.70%  8.38%   4.11%  4.46%   2.62%  2.81%   18.50%   N/A
THU 3:00   8.24%  8.77%   4.17%  4.61%   2.68%  2.88%   18.10%   N/A
THU OPEN   9.12%  9.17%   4.55%  4.82%   3.00%  2.95%   18.00%   N/A
LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE
MAR18 10Y NOTE  126.00 C  121,296     UNCH   114.00 P  118,592    UNCH
APR18 10Y NOTE  122.50 C   69,882   +8,490   118.00 P  203,644    -327
MAR18 5Y NOTE   115.00 C   90,054       +9   108.50 P  140,106    UNCH
APR18 5Y NOTE   115.00 C   39,802   +1,449   111.50 P   23,865    UNCH
MAR18 2Y NOTE   106.87 C   67,109     UNCH   107.00 P   26,594    UNCH
APR18 2Y NOTE   107.12 C   13,970     UNCH   106.25 P    3,775    UNCH
MAR18 EURODLR    98.50 C  484,605     UNCH    98.25 P  301,872    UNCH
APR18 EURODLR    98.50 C  235,881     UNCH    98.00 P  270,386    UNCH
MAR19 1Y-MIDC    98.25 C  217,995     UNCH    97.50 P  281,175  -7,347
MAR20 2Y-MIDC    98.50 C  145,426     UNCH    97.25 P  202,213    UNCH
MAR21 3Y-MIDC    97.50 C   96,513   +9,242    97.37 P   91,800    UNCH
NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE
MAR18 10Y NOTE  121.00 C   30,922   +4,237   121.00 P   76,086  +3,324
MAR18 10Y NOTE  121.50 C   59,400     -668   121.50 P   78,995    -564
APR18 10Y NOTE  120.00 C   16,331   +3,074   120.00 P   72,621  +3,708
APR18 10Y NOTE  120.50 C   62,407     -806   120.50 P   43,501    +301
MAR18 5Y NOTE   114.50 C   11,141      -25   114.50 P   34,788  +1,541
MAR18 5Y NOTE   114.75 C   21,860   +4,233   114.75 P   21,238     -11
APR18 5Y NOTE   114.25 C   11,931   +1,597   114.25 P   10,787      -6
APR18 5Y NOTE   114.50 C   38,571     +915   114.50 P    5,385  +1,115
MAR18 2Y NOTE   106.50 C      240      +75   106.50 P    6,598    -491
MAR18 2Y NOTE   106.62 C    3,195     -180   106.62 P   11,780    +140
APR18 2Y NOTE   106.38 C    1,307     UNCH   106.38 P      848    UNCH
APR18 2Y NOTE   106.50 C    4,093     -600   106.50 P    1,906    UNCH
MAR18 EURODLR    97.87 C   16,570   +1,750    97.87 P  203,845  +4,393
MAR18 EURODLR    98.00 C   66,107  +16,049    98.00 P  266,898  -2,450
APR18 EURODLR    97.75 C    2,250   +1,750    97.75 P  178,790    -250
APR18 EURODLR    97.87 C   68,612     -498    97.87 P  246,375  -2,015
MAR19 1Y-MIDC    97.38 C    8,533     UNCH    97.38 P  211,124  +7,634
MAR19 1Y-MIDC    97.50 C  110,005  +13,042    97.50 P  281,175  -7,347
MAR20 2Y-MIDC    97.00 C   10,024   +1,000    97.00 P  179,383  +1,778
MAR20 2Y-MIDC    97.12 C   14,195     +100    97.12 P  149,717    +580
MAR21 3Y-MIDC    96.87 C        0     UNCH    96.87 P   49,306    +200
MAR21 3Y-MIDC    97.00 C    8,850     UNCH    97.00 P   86,256  -1,100
PUT/CALL RATIO FOR VOLUME CLEARED:
MAR18 10Y NOTE PUT/CALL RATIO   -- 1.66 (151,527 PUTS VS. 90,822 CALLS)
APR18 10Y NOTE PUT/CALL RATIO   -- 0.77 (75,672 PUTS VS. 97,532 CALLS)
MAR18 5Y NOTE PUT/CALL RATIO    -- 1.08 (36,988 PUTS VS. 34,129 CALLS
APR18 5Y NOTE PUT/CALL RATIO    -- 0.65 (23,374 PUTS VS. 35,606 CALLS)
MAR18 2Y NOTE PUT/CALL RATIO    -- 0.63 (1,892 PUTS VS. 3,071 CALLS)
APR18 2Y NOTE PUT/CALL RATIO    -- 0.17 (2,839 PUTS VS. 16,386 CALLS)
MAR18 EURODLRS PUT/CALL RATIO   -- 1.02 (129,530 PUTS VS. 126,212 CALLS)
Apr18 EURODLRS PUT/CALL RATIO   -- 2.76 (59,512 PUTS VS. 21,526 CALLS)
MAR19 1Y-MIDCRVE PUT/CALL RATIO -- 4.80 (82,201 PUTS VS. 17,150 CALLS)
MAR20 2Y-MIDCRVE PUT/CALL RATIO -- 1.04 (7,630 PUTS VS. 7,360 CALLS)
MAR21 3Y-MIDCRVE PUT/CALL RATIO -- 0.61 (6,800 PUTS VS. 11,050 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
Thu Open     50.04    67.73    63.87    66.92    71.04    73.16
Wed 3:00     48.85    66.15    63.26    66.17    70.96    73.26
Wed Open     49.05    67.50    63.78    67.20    71.60    73.61
Tue 3:00     49.18    67.90    62.81    67.32    72.04    73.79
Tue Open     49.97    69.49    63.50    68.30    73.38    74.96
Fri 3:00     50.14    69.28    64.10    69.16    73.80    75.16
Fri Open     51.21    72.65    66.28    72.24    75.15    75.69
Thu 3:00     51.77    74.78    67.14    73.27    75.47    75.75
Thu Open     52.33    77.55    68.22    74.45    75.85    76.04
--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.