Free Trial

US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JAN 16

EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
            USG    USH     TYG    TYH     FVG    TUH     EDG     EDH
9:00       7.14%  7.07%   3.18%  3.39%   1.91%  1.93%   12.00%  13.05%
TUE OPEN   7.23%  7.21%   3.22%  3.45%   1.94%  1.98%   11.10%  13.41%
THU 3:00   7.28%  7.40%   3.42%  3.48%   1.91%  2.02%    N/A    13.67%
THU OPEN   7.36%  7.43%   3.50%  3.52%   2.00%  2.04%    N/A    13.63%
WED 3:00   7.57%  7.54%   3.53%  3.49%   2.04%  2.03%    N/A    13.10%
WED OPEN   7.80%  7.84%   3.78%  3.79%   2.15%  2.21%    N/A    13.90%
TUE 3:00   7.31%  7.33%   3.26%  3.40%   1.89%  2.06%    N/A    13.60%
TUE OPEN   7.17%  7.16%   3.24%  3.32%   1.85%  2.02%    N/A    12.20%
LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE
FEB18 10Y NOTE  125.00 C  112,645     -531   123.00 P   97,499 -13,209
MAR18 10Y NOTE  126.00 C  106,482  +10,029   123.00 P  154,701  -6,354
FEB18 5Y NOTE   117.25 C   75,131     UNCH   115.50 P   44,890  -2,276
MAR18 5Y NOTE   116.25 C   21,204     +273   108.50 P  140,106    UNCH
FEB18 2Y NOTE   107.25 C   13,246     UNCH   106.87 P   30,590    UNCH
MAR18 2Y NOTE   107.38 C   20,745     UNCH   107.00 P   48,407    UNCH
FEB18 EURODLR    98.50 C  245,800     UNCH    98.12 P  285,298  -5,588
MAR18 EURODLR    98.50 C  489,553   +1,100    98.12 P  800,752  +7,619
MAR19 1Y-MIDC    98.25 C  215,751     UNCH    97.62 P  428,845 -20,249
MAR20 2Y-MIDC    98.50 C  145,426     UNCH    97.37 P  218,303 +69,386
MAR21 3Y-MIDC    98.12 C   63,218     UNCH    97.37 P   95,371  +7,885
NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE
FEB18 10Y NOTE  123.50 C   41,877   +7,259   123.50 P   65,067    +152
FEB18 10Y NOTE  124.00 C   54,762   +8,182   124.00 P   51,267    -126
MAR18 10Y NOTE  123.50 C   38,693   +1,186   123.50 P   41,115     +24
MAR18 10Y NOTE  124.00 C   47,290     -220   124.00 P   41,897    +179
FEB18 5Y NOTE   115.75 C   22,108     -264   115.75 P   41,609  -1,394
FEB18 5Y NOTE   116.00 C   17,077     -457   116.00 P   20,233    +498
MAR18 5Y NOTE   115.75 C    7,317   +2,030   115.75 P   19,307    +122
MAR18 5Y NOTE   116.00 C   14,727   -1,024   116.00 P    8,569    +225
FEB18 2Y NOTE   107.00 C    2,884     -383   107.00 P   20,069    UNCH
FEB18 2Y NOTE   107.12 C    1,863     UNCH   107.12 P    3,849    UNCH
MAR18 2Y NOTE   107.00 C    4,533     +100   107.00 P   48,393    UNCH
MAR18 2Y NOTE   107.12 C    5,661   +1,133   107.12 P   19,443    UNCH
FEB18 EURODLR    98.50 C  245,800     UNCH    98.50 P    1,872    UNCH
FEB18 EURODLR    98.62 C   31,216     UNCH    98.62 P        0    UNCH
MAR18 EURODLR    98.50 C  489,553   +1,100    98.50 P  124,436    UNCH
MAR18 EURODLR    98.62 C  253,276     UNCH    98.62 P   28,813    UNCH
MAR19 1Y-MIDC    98.12 C  196,596     UNCH    98.12 P   62,124  -3,850
MAR19 1Y-MIDC    98.25 C  215,751     UNCH    98.25 P   35,781    -616
MAR20 2Y-MIDC    97.87 C   73,244   +2,000    97.87 P   51,374    -112
MAR20 2Y-MIDC    98.00 C  111,748     +956    98.00 P   73,233    +300
MAR21 3Y-MIDC    97.75 C   46,182     +300    97.75 P   25,729    UNCH
MAR21 3Y-MIDC    97.87 C   50,497     UNCH    97.87 P   33,372    UNCH
PUT/CALL RATIO FOR VOLUME CLEARED:
FEB18 10Y NOTE PUT/CALL RATIO   -- 1.19 (148,019 PUTS VS. 124,302 CALLS)
MAR18 10Y NOTE PUT/CALL RATIO   -- 3.02 (249,067 PUTS VS. 82,275 CALLS)
FEB18 5Y NOTE PUT/CALL RATIO    -- 1.39 (43,250 PUTS VS. 30,966 CALLS)
MAR18 5Y NOTE PUT/CALL RATIO    -- 1.24 (55,309 PUTS VS. 44,382 CALLS)
FEB18 2Y NOTE PUT/CALL RATIO    -- 0.08 (354 PUTS VS. 4,053 CALLS)
MAR18 2Y NOTE PUT/CALL RATIO    -- 3.00 (4,128 PUTS VS. 1,405 CALLS)
FEB18 EURODLRS PUT/CALL RATIO   -- 0.88 (10,250 PUTS VS. 11,500 CALLS)
MAR18 EURODLRS PUT/CALL RATIO   -- 0.32 (71,255 PUTS VS. 223,650 CALLS)
MAR19 1Y-MIDCRVE PUT/CALL RATIO -- 1.12 (135,848 PUTS VS. 12,000 CALLS)
MAR20 2Y-MIDCRVE PUT/CALL RATIO -- 15.2 (182,148 PUTS VS. 12,000 CALLS)
MAR21 3Y-MIDCRVE PUT/CALL RATIO -- 5.09 (15,870 PUTS VS. 3,100 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
9:00         39.84    53.30    50.14    54.89    63.69    68.04
Tue Open     40.03    53.47    50.24    54.99    63.78    68.04
Thu 3:00     40.78    53.09    50.85    54.97    63.96    68.29
Thu Open     40.98    53.69    51.23    55.29    64.22    68.41
Wed 3:00     41.22    54.99    51.93    56.10    64.51    68.48
Wed Open     41.59    54.82    51.77    55.75    64.60    68.35
Tue 3:00     40.25    52.27    49.78    53.83    63.74    68.22
Tue Open     39.76    50.32    49.02    53.03    63.53    68.11
--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.