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Free AccessUS TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JAN 14
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USG USH TYG TYH FVG FVH EDG EDH
0915 6.58% 6.78% 3.32% 3.48% 1.92% 2.14% 10.25% 10.65%
TUE OPEN 6.61% 6.79% 3.34% 3.49% 1.97% 2.15% 10.35% 10.15%
MON 1500 6.65% 6.82% 3.36% 3.51% 2.04% 2.17% 10.50% 9.95%
MON OPEN 7.17% 7.07% 3.62% 3.64% 2.05% 2.20% 9.65% 11.00%
FRI 1500 6.63% 6.96% 3.29% 3.54% 1.92% 2.18% 11.45% 10.75%
FRI OPEN 7.27% 7.27% 3.75% 3.80% 2.25% 2.35% N/A 11.00%
THU 1500 7.33% 7.32% 3.77% 3.80% 2.29% 2.39% N/A 11.07%
THU OPEN 7.60% 7.50% 3.94% 3.91% 2.39% 2.45% N/A 10.45%
WED 1500 7.82% 7.85% 4.02% 4.04% 2.51% 2.53% N/A 10.69%
WED OPEN 8.01% 7.92% 4.01% 4.07% 2.55% 2.55% N/A 12.65%
TUE 1500 7.85% 7.80% 4.00% 4.10% 2.47% 2.52% N/A 13.54%
TUE OPEN 8.02% 7.90% 4.09% 4.19% 2.55% 2.55% N/A 13.15%
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
FEB20 10Y NOTE 129.50 C 209,452 +1,110 127.00 P 110,310 -43
MAR20 10Y NOTE 131.50 C 177,619 +50 128.00 P 95,032 +3,533
FEB20 5Y NOTE 119.50 C 57,144 -16 118.00 P 38,125 -95
MAR20 5Y NOTE 119.00 C 33,448 +2,767 111.00 P 252,174 UNCH
FEB20 2Y NOTE 107.75 C 6,754 +1,020 107.12 P 24,223 UNCH
MAR20 2Y NOTE 108.00 C 14,528 +500 105.75 P 55,165 UNCH
FEB20 EURODLR 98.50 C 150,157 +2 98.25 P 127,094 +100
MAR20 EURODLR 98.37 C 494,363 +11,328 98.25 P 518,817 -1,314
MAR21 1Y-MIDC 99.75 C 247,313 UNCH 98.37 P 87,052 +222
MAR22 2Y-MIDC 98.25 C 79,246 UNCH 98.25 P 99,214 +7,497
MAR23 3Y-MIDC 98.12 C 53,469 UNCH 98.25 P 36,833 UNCH
NEAREST ATM: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
FEB20 10Y NOTE 129.00 C 110,533 +736 129.00 P 38,694 -124
FEB20 10Y NOTE 129.50 C 209,452 +1,110 129.50 P 26,759 +1,150
MAR20 10Y NOTE 129.00 C 32,411 -423 129.00 P 33,392 +51
MAR20 10Y NOTE 129.50 C 36,441 +718 129.50 P 11,665 +289
FEB20 5Y NOTE 119.00 C 49,283 +197 119.00 P 16,091 -50
FEB20 5Y NOTE 119.25 C 56,830 -1,611 119.25 P 2,284 -2
MAR20 5Y NOTE 119.00 C 33,448 +2,767 119.00 P 11,815 +109
MAR20 5Y NOTE 119.25 C 29,570 +238 119.25 P 6,186 +1
FEB20 2Y NOTE 107.75 C 6,754 +1,020 107.75 P 8,045 UNCH
FEB20 2Y NOTE 107.87 C 3,816 +958 107.87 P 2,993 UNCH
MAR20 2Y NOTE 107.75 C 1,332 +200 107.75 P 3,512 UNCH
MAR20 2Y NOTE 107.87 C 3,042 UNCH 107.87 P 4,507 UNCH
FEB20 EURODLR 98.25 C 69,455 -288 98.25 P 127,094 +100
FEB20 EURODLR 98.37 C 108,009 +348 98.37 P 53,373 -100
MAR20 EURODLR 98.25 C 283,520 +4,866 98.25 P 518,817 -1,314
MAR20 EURODLR 98.37 C 494,363 +11,328 98.37 P 244,885 -999
MAR21 1Y-MIDC 98.37 C 81,523 -150 98.37 P 87,052 +222
MAR21 1Y-MIDC 98.50 C 87,599 +750 98.50 P 56,224 -1,500
MAR22 2Y-MIDC 98.37 C 31,398 UNCH 98.37 P 34,164 +350
MAR22 2Y-MIDC 98.50 C 38,983 UNCH 98.50 P 33,746 +1,350
MAR23 3Y-MIDC 98.37 C 10,546 +601 98.37 P 15,302 UNCH
MAR23 3Y-MIDC 98.50 C 45,639 -600 98.50 P 7,582 UNCH
PUT/CALL RATIO FOR VOLUME CLEARED:
FEB20 10Y NOTE PUT/CALL RATIO -- 0.98 (50,594 PUTS VS. 51,532 CALLS)
MAR20 10Y NOTE PUT/CALL RATIO -- 1.50 (66,990 PUTS VS. 44,448 CALLS)
FEB20 5Y NOTE PUT/CALL RATIO -- 1.58 (7,978 PUTS VS. 5,099 CALLS)
MAR20 5Y NOTE PUT/CALL RATIO -- 1.12 (8,382 PUTS VS. 7,474 CALLS)
FEB20 2Y NOTE PUT/CALL RATIO -- 0.66 (3,020 PUTS VS. 4,525 CALLS)
MAR20 2Y NOTE PUT/CALL RATIO -- 0.71 (500 PUTS VS. 700 CALLS)
FEB20 EURODLRS PUT/CALL RATIO -- 0.44 (2,200 PUTS VS. 5,076 CALLS)
FEB20 EURODLRS PUT/CALL RATIO -- 0.48 (30,856 PUTS VS. 62,410 CALLS)
MAR21 1Y-MIDCRVE PUT/CALL RATIO -- 0.25 (4,492 PUTS VS. 17,552 CALLS)
MAR22 2Y-MIDCRVE PUT/CALL RATIO -- 1.40 (35,934 PUTS VS. 25,250 CALLS)
MAR23 3Y-MIDCRVE PUT/CALL RATIO -- 0.00 (0 PUTS VS. 100 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
0915 46.57 58.15 57.74 60.44 62.73 64.57
Tue Open 46.62 58.31 57.77 60.50 62.91 64.61
Mon 1500 46.73 58.87 57.95 60.71 63.10 64.70
Mon Open 47.24 58.38 57.64 60.28 63.29 64.72
Fri 1500 49.04 59.21 60.16 62.64 63.75 64.77
Fri Open 50.20 63.20 62.31 64.60 64.75 64.85
Thu 1500 50.25 63.28 62.44 64.69 64.77 64.86
Thu Open 52.41 66.64 64.16 66.21 65.43 65.23
Wed 1500 51.91 66.64 64.21 66.15 65.46 65.32
Wed Open 54.05 67.05 65.05 67.00 65.30 65.10
Tue 1500 53.90 68.70 64.96 66.58 65.31 65.11
Tue Open 54.08 68.19 65.24 66.97 65.13 64.90
--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.