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Free AccessUS TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JAN 24
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USG USH TYG TYH FVG FVH EDG EDH
1300 N/A 7.57% N/A 3.85% N/A 2.44% 11.85% 11.35%
FRI OPEN N/A 7.17% N/A 3.70% N/A 2.35% 11.57% 11.45%
THU 1500 8.30% 7.20% 3.80% 3.75% 2.53% 2.37% 11.55% 11.50%
THU OPEN 9.00% 7.30% 4.55% 3.75% 2.91% 2.40% 11.35% 10.70%
WED 1500 7.97% 7.03% 3.90% 3.60% 2.22% 2.35% 9.95% 10.60%
WED OPEN 8.23% 7.00% 4.07% 3.52% 2.20% 2.35% 9.25% 10.05%
TUE 1500 8.04% 7.02% 4.05% 3.65% 2.39% 2.23% 9.10% 10.55%
TUE OPEN 7.45% 6.76% 3.62% 3.48% 2.17% 2.15% 9.18% 10.95%
FRI 1500 6.10% 6.72% 2.92% 3.40% 1.79% 2.09% 8.85% 10.25%
FRI OPEN 6.43% 6.76% 2.95% 3.43% 1.76% 2.13% 8.45% 9.70%
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
FEB20 10Y NOTE 129.00 C 120,105 -1,915 127.00 P 106,966 -108
MAR20 10Y NOTE 131.50 C 173,518 -3,318 128.00 P 140,691 +8,017
FEB20 5Y NOTE 119.00 C 61,188 -145 118.00 P 37,409 UNCH
MAR20 5Y NOTE 119.00 C 46,251 -5 111.00 P 252,174 UNCH
FEB20 2Y NOTE 107.75 C 4,123 -1,331 107.12 P 24,223 UNCH
MAR20 2Y NOTE 108.00 C 13,601 -1,395 105.75 P 55,165 UNCH
FEB20 EURODLR 99.12 C 164,000 UNCH 98.25 P 131,480 -1,775
MAR20 EURODLR 98.37 C 520,827 -5,956 98.25 P 131,480 -1,775
MAR21 1Y-MIDC 99.25 C 247,376 +5,788 98.37 P 84,914 +1,419
MAR22 2Y-MIDC 98.25 C 79,246 UNCH 98.25 P 107,722 -2,071
MAR23 3Y-MIDC 98.12 C 53,469 UNCH 98.12 P 38,922 -562
NEAREST ATM: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
FEB20 10Y NOTE 129.00 C 120,105 -1,915 129.00 P 96,098 +300
FEB20 10Y NOTE 129.50 C 72,358 -755 129.50 P 31,603 +3,849
MAR20 10Y NOTE 129.00 C 47,763 -248 129.00 P 92,938 +5,275
MAR20 10Y NOTE 129.50 C 48,892 -534 129.50 P 40,027 +9,573
FEB20 5Y NOTE 119.00 C 61,188 -145 119.00 P 24,163 -1,355
FEB20 5Y NOTE 119.25 C 51,769 -6,230 119.25 P 4,859 +2,337
MAR20 5Y NOTE 119.00 C 46,251 -5 119.00 P 18,851 +2,490
MAR20 5Y NOTE 119.25 C 38,257 -474 119.25 P 8,776 +1,900
FEB20 2Y NOTE 107.75 C 4,123 -1,331 107.75 P 6,331 UNCH
FEB20 2Y NOTE 107.87 C 3,604 -517 107.87 P 2,841 -143
MAR20 2Y NOTE 107.75 C 1,627 UNCH 107.75 P 5,195 UNCH
MAR20 2Y NOTE 107.87 C 5,074 -10 107.87 P 4,679 UNCH
FEB20 EURODLR 98.25 C 68,127 -618 98.25 P 131,480 -1,775
FEB20 EURODLR 98.37 C 96,986 -12,915 98.37 P 49,987 -96
MAR20 EURODLR 98.25 C 281,475 -2,863 98.25 P 131,480 -1,775
MAR20 EURODLR 98.37 C 520,827 -5,956 98.37 P 221,440 -19,750
MAR21 1Y-MIDC 98.37 C 118,087 UNCH 98.37 P 84,914 +1,419
MAR21 1Y-MIDC 98.50 C 157,673 -2,161 98.50 P 58,361 +647
MAR22 2Y-MIDC 98.37 C 31,398 UNCH 98.37 P 42,693 -2,652
MAR22 2Y-MIDC 98.50 C 36,669 -1,464 98.50 P 30,274 +1,019
MAR23 3Y-MIDC 98.37 C 10,870 UNCH 98.37 P 15,652 UNCH
MAR23 3Y-MIDC 98.50 C 45,784 +45 98.50 P 8,177 +595
PUT/CALL RATIO FOR VOLUME CLEARED:
FEB20 10Y NOTE PUT/CALL RATIO -- 1.03 (112,240 PUTS VS. 270,430 CALLS)
MAR20 10Y NOTE PUT/CALL RATIO -- 1.30 (180,993 PUTS VS. 327,840 CALLS)
FEB20 5Y NOTE PUT/CALL RATIO -- 1.15 (20,480 PUTS VS. 42,197 CALLS)
MAR20 5Y NOTE PUT/CALL RATIO -- 0.98 (48,538 PUTS VS. 44,825 CALLS)
FEB20 2Y NOTE PUT/CALL RATIO -- 0.11 (676 PUTS VS. 6,057 CALLS)
MAR20 2Y NOTE PUT/CALL RATIO -- 1.55 (346 PUTS VS. 2,111 CALLS)
FEB20 EURODLRS PUT/CALL RATIO -- 3.55 (3,588 PUTS VS. 43,550 CALLS)
FEB20 EURODLRS PUT/CALL RATIO -- 0.72 (62,941 PUTS VS. 221,804 CALLS)
MAR21 1Y-MIDCRVE PUT/CALL RATIO -- 0.91 (27,742 PUTS VS. 141,484 CALLS)
MAR22 2Y-MIDCRVE PUT/CALL RATIO -- 0.33 (16,029 PUTS VS. 35,223 CALLS)
MAR23 3Y-MIDCRVE PUT/CALL RATIO -- 1.00 (9,600 PUTS VS. 8,488 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
1300 50.95 63.72 61.44 64.54 64.57 65.45
Fri Open 48.88 58.87 59.96 62.87 64.03 65.29
Thu 1500 48.71 59.81 59.98 62.96 64.13 65.35
Thu Open 47.02 57.31 58.73 61.63 63.45 64.79
Wed 1500 46.72 57.41 58.32 61.20 63.41 64.83
Wed Open 47.89 58.03 58.36 61.49 63.49 64.86
Tue 1500 47.26 58.95 58.58 61.55 63.71 64.80
Tue Open 46.31 56.22 57.26 60.41 63.23 64.57
Fri 1500 46.45 55.47 57.65 60.73 63.45 64.61
Fri Open 46.50 55.58 57.62 60.60 63.36 64.75
--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.