Free Trial

US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JAN 2

EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
             USG    USH     TYG    TYH     FVG    FVH     EDF     EDH
Tue 1300    7.51%  7.56%   3.87%  3.98%   2.35%  2.42%   13.05%  11.85%
TUE OPEN    7.62%  7.51%   3.97%  4.02%   2.38%  2.45%   13.90%  11.35%
MON 1500    7.62%  7.55%   4.01%  4.05%   2.44%  2.45%   13.40%  11.50%
MON OPEN     N/A   7.25%    N/A   3.91%    N/A   2.37%   13.20%  11.90%
FRI 1500     N/A   7.25%    N/A   3.91%    N/A   2.37%   13.20%  11.90%
FRI OPEN     N/A   7.23%    N/A   3.94%    N/A   2.43%   12.25%  11.75%
THU 1500     N/A   7.47%    N/A   4.04%    N/A   2.45%   13.00%  12.10%
THU OPEN     N/A   7.47%    N/A   4.02%    N/A   2.45%   14.05%  12.45%
LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE
FEB20 10Y NOTE  129.50 C  197,365   +1,279   127.00 P  122,648   -1,030
MAR20 10Y NOTE  131.00 C   77,718     +605   117.50 P   66,948     UNCH
FEB20 5Y NOTE   119.25 C   53,573     +189   118.00 P   33,688     +338
MAR20 5Y NOTE   119.00 C   32,144     +621   111.00 P  252,174     UNCH
FEB20 2Y NOTE   107.75 C    6,090     UNCH   107.12 P   24,223     UNCH
MAR20 2Y NOTE   108.00 C   13,072   +4,249   105.75 P   55,165     UNCH
JAN20 EURODLR    98.50 C  126,858     UNCH    98.12 P  105,555   -4,000
MAR20 EURODLR    99.00 C  467,063     UNCH    98.25 P  536,535   -2,300
MAR21 1Y-MIDC    99.75 C  247,313     UNCH    98.25 P   80,687     +950
MAR22 2Y-MIDC    98.25 C   79,246     UNCH    97.37 P   96,133     UNCH
MAR23 3Y-MIDC    98.12 C   53,469     UNCH    97.62 P   29,500     UNCH
NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE
FEB20 10Y NOTE  128.00 C   17,609       +3   128.00 P   62,949   -1,067
FEB20 10Y NOTE  128.50 C  104,495     +711   128.50 P   49,268     +120
MAR20 10Y NOTE  128.00 C   11,842     +212   128.00 P   37,233   +1,774
MAR20 10Y NOTE  128.50 C   28,333      +72   128.50 P   24,115      +23
FEB20 5Y NOTE   118.25 C    8,182     UNCH   118.25 P   14,190      +68
FEB20 5Y NOTE   118.50 C   46,088     +250   118.50 P   18,575      +10
MAR20 5Y NOTE   118.25 C    2,536      +10   118.25 P    9,720     +660
MAR20 5Y NOTE   118.50 C   15,315   +2,823   118.50 P   17,250     -890
FEB20 2Y NOTE   107.62 C    2,352     UNCH   107.62 P    6,242     UNCH
FEB20 2Y NOTE   107.75 C    6,090     UNCH   107.75 P   12,298     UNCH
MAR20 2Y NOTE   107.62 C      565     UNCH   107.62 P    2,962     UNCH
MAR20 2Y NOTE   107.75 C    1,055     UNCH   107.75 P    2,726     UNCH
JAN20 EURODLR    98.25 C   75,313   +1,120    98.25 P   82,337   -1,576
JAN20 EURODLR    98.37 C   87,026   -3,097    98.37 P   25,287     UNCH
MAR20 EURODLR    98.25 C  377,134   +3,061    98.25 P  536,535   -2,300
MAR20 EURODLR    98.37 C  453,001   -2,500    98.37 P  270,788       +1
MAR21 1Y-MIDC    98.37 C   73,321     +550    98.37 P   73,350     +250
MAR21 1Y-MIDC    98.50 C   64,845     +686    98.50 P   50,900     UNCH
MAR22 2Y-MIDC    98.37 C   31,398     UNCH    98.37 P   29,737     +772
MAR22 2Y-MIDC    98.50 C   35,166     +275    98.50 P   30,540     -100
MAR23 3Y-MIDC    98.37 C    9,745     -754    98.37 P   15,276     -100
MAR23 3Y-MIDC    98.50 C   44,729     UNCH    98.50 P    7,719     UNCH
PUT/CALL RATIO FOR VOLUME CLEARED:
FEB20 10Y NOTE PUT/CALL RATIO   -- 0.10 (40,380 PUTS VS. 392,299 CALLS)
MAR20 10Y NOTE PUT/CALL RATIO   -- 0.78 (25,790 PUTS VS. 32,275 CALLS)
FEB20 5Y NOTE PUT/CALL RATIO    -- 0.31 (12,090 PUTS VS. 38,876 CALLS)
MAR20 5Y NOTE PUT/CALL RATIO    -- 0.57 (15,145 PUTS VS. 26,953 CALLS)
FEB20 2Y NOTE PUT/CALL RATIO    -- 4.16 (283 PUTS VS. 68 CALLS)
MAR20 2Y NOTE PUT/CALL RATIO    -- 0.22 (1,232 PUTS VS. 5,450 CALLS)
JAN20 EURODLRS PUT/CALL RATIO   -- 0.57 (15,600 PUTS VS. 26,658 CALLS)
MAR20 EURODLRS PUT/CALL RATIO   -- 0.12 (4,898 PUTS VS. 38,162 CALLS)
MAR21 1Y-MIDCRVE PUT/CALL RATIO -- 0.09 (4,046 PUTS VS. 43,341 CALLS)
MAR22 2Y-MIDCRVE PUT/CALL RATIO -- 1.76 (2,380 PUTS VS. 1,390 CALLS)
MAR23 3Y-MIDCRVE PUT/CALL RATIO -- 1.12 (1,850 PUTS VS. 1,600 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
Tue 1300    48.65    66.28    62.60    64.91    63.91     64.21
Tue Open    48.77    66.40    62.41    64.68    63.75     64.26
Mon 1500    47.53    66.33    62.29    64.65    63.75     64.31
Mon Open    48.53    63.11    61.81    63.97    63.64     64.27
Fri 1500    48.55    61.60    61.62    64.01    63.65     64.27
Fri Open    47.76    62.54    61.91    64.45    64.30     64.25
Thu 1500    48.11    62.76    62.20    64.64    64.50     64.72
Thu Open    48.32    63.03    62.25    64.64    64.49     64.70
--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.