Free Trial
EGB OPTIONS

Schatz short cover

USD

More broad base buying

COMMODITIES

Crude Falls on Global Growth Concerns

FOREX

FX OPTION EXPIRY

Real-time Actionable Insight

Get the latest on Central Bank Policy and FX & FI Markets to help inform both your strategic and tactical decision-making.

Free Access
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
             USJ    USM     TYJ    TYM     FVH    FVJ     EDH     EDJ
WED OPEN    9.97%  8.92%   5.13%  4.65%   3.41%  3.11%   25.05%  48.45%
TUE 1500    10.29% 9.15%   5.36%  4.94%   3.52%  3.20%   24.85%  51.95%
TUE OPEN    10.08% 9.13%   5.30%  4.90%   3.45%  3.16%   21.40%  49.48%
LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE
APR20 10Y NOTE  132.00 C   97,245   -3,512   129.50 P   99,233   -6,261
JUN20 10Y NOTE  134.00 C   55,879     -225   128.50 P   68,776   -1,989
APR20 5Y NOTE   121.25 C   46,972     +840   119.50 P   90,483   +2,263
JUN20 5Y NOTE   121.50 C   14,603   +2,720   113.00 P  198,722     +112
APR20 2Y NOTE   108.75 C    5,000     UNCH   107.50 P   23,000     UNCH
JUN20 2Y NOTE   111.00 C    5,699     UNCH   106.50 P   41,091     -100
MAR20 EURODLR    98.50 C  561,774   -1,781    98.00 P  396,944     UNCH
APR20 EURODLR    98.62 C  180,446     -553    98.25 P  249,278   -2,000
MAR21 1Y-MIDC    99.75 C  235,547     UNCH    98.37 P  165,011     UNCH
MAR22 2Y-MIDC    98.25 C   71,920     -500    98.25 P   98,983     UNCH
MAR23 3Y-MIDC    98.12 C   53,469     UNCH    98.12 P   38,842     UNCH
NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE
APR20 10Y NOTE  132.50 C   75,299  +17,407   132.50 P   19,110   +7,880
APR20 10Y NOTE  133.00 C   80,901   +6,482   133.00 P   14,732  +11,490
JUN20 10Y NOTE  132.50 C   19,559   +4,895   132.50 P   14,872  +10,584
JUN20 10Y NOTE  133.00 C   48,072   +1,817   133.00 P   10,556  +10,284
APR20 5Y NOTE   121.25 C   46,972     +840   121.25 P    5,472     +469
APR20 5Y NOTE   121.50 C   16,384     +580   121.50 P    3,100   +3,016
JUN20 5Y NOTE   121.25 C    8,350     +280   121.25 P    8,728      -20
JUN20 5Y NOTE   121.50 C   14,603   +2,720   121.50 P    5,743   +5,739
APR20 2Y NOTE   108.38 C    1,645     UNCH   108.38 P      215     +214
APR20 2Y NOTE   108.50 C    4,255      +10   108.50 P        0     UNCH
JUN20 2Y NOTE   108.38 C      150     UNCH   108.38 P      461     U+341
JUN20 2Y NOTE   108.50 C    1,738     UNCH   108.50 P      256     +221
MAR20 EURODLR    98.37 C  394,794  -28,229    98.37 P  154,714     -435
MAR20 EURODLR    98.50 C  561,774   -1,781    98.50 P   35,251     -561
APR20 EURODLR    98.50 C   99,540   -4,537    98.50 P   80,887     -896
APR20 EURODLR    98.62 C  180,446     -553    98.62 P    5,250     +250
MAR21 1Y-MIDC    98.75 C  124,810   +1,049    98.75 P   53,308   -3,276
MAR21 1Y-MIDC    98.88 C   97,696   -3,800    98.88 P   30,940   +6,489
MAR22 2Y-MIDC    98.88 C   33,294   -1,387    98.88 P    3,391   +1,167
MAR22 2Y-MIDC    99.00 C   21,970     -160    99.00 P    1,500   +1,500
MAR23 3Y-MIDC    98.88 C   17,095      -10    98.88 P    1,050     +250
MAR23 3Y-MIDC    99.00 C   45,758   -4,998    99.00 P        0     UNCH
PUT/CALL RATIO FOR VOLUME CLEARED:
MAR20 10Y NOTE PUT/CALL RATIO   -- 1.14 (275,401 PUTS VS. 241,575 CALLS)
APR20 10Y NOTE PUT/CALL RATIO   -- 1.94 (191,836 PUTS VS. 98,114 CALLS)
MAR20 5Y NOTE PUT/CALL RATIO    -- 2.23 (38,237 PUTS VS. 17,851 CALLS)
APR20 5Y NOTE PUT/CALL RATIO    -- 1.62 (57,543 PUTS VS. 35,950 CALLS)
MAP20 2Y NOTE PUT/CALL RATIO    -- 5.70 (4,495 PUTS VS. 788 CALLS)
APR20 2Y NOTE PUT/CALL RATIO    -- 7.01 (21,335 PUTS VS. 3,557 CALLS)
MAR20 EURODLRS PUT/CALL RATIO   -- 0.09 (45,320 PUTS VS. 465,986 CALLS)
APR20 EURODLRS PUT/CALL RATIO   -- 0.19 (20,358 PUTS VS. 107,300 CALLS)
MAR21 1Y-MIDCRVE PUT/CALL RATIO -- 0.15 (28,256 PUTS VS. 186,093 CALLS)
MAR22 2Y-MIDCRVE PUT/CALL RATIO -- 0.53 (3,542 PUTS VS. 6,622 CALLS)
MAR23 3Y-MIDCRVE PUT/CALL RATIO -- 0.31 (2,596 PUTS VS. 8,015 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
Wed Open    74.74    88.10    76.67    76.62    67.46     66.60
Tue 1500    77.10    89.38    77.51    77.40    67.84     67.28
Tue Open    74.58    90.02    76.76    78.25    68.59     67.97
--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

Why Subscribe to

MarketNews.com

MNI is the leading provider

of news and intelligence specifically for the Global Foreign Exchange and Fixed Income Markets, providing timely, relevant, and critical insight for market professionals and those who want to make informed investment decisions. We offer not simply news, but news analysis, linking breaking news to the effects on capital markets. Our exclusive information and intelligence moves markets.

Our credibility

for delivering mission-critical information has been built over three decades. The quality and experience of MNI's team of analysts and reporters across America, Asia and Europe truly sets us apart. Our Markets team includes former fixed-income specialists, currency traders, economists and strategists, who are able to combine expertise on macro economics, financial markets, and political risk to give a comprehensive and holistic insight on global markets.