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January 25, 2018 18:39 GMT
US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JAN 25
OI LEVELS NOT UPDATED, REFLECT MONDAY OPEN
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USG USH TYG TYH FVG TUH EDG EDH
1:30 9.00% 7.71% 4.17% 3.73% 3.05% 2.13% 11.90% 13.71%
12:45 9.04% 7.74% 4.59% 3.69% 3.60% 2.14% 12.10% 14.13%
11:15 9.26% 7.83% 4.50% 3.76% 3.41% 2.17% 11.00% 13.69%
9:30 10.07% 7.94% 5.23% 3.80% 3.75% 2.19% 11.25% 13.69%
THU OPEN 10.40% 8.22% 4.92% 3.85% 2.77% 2.24% 11.05% 13.45%
WED 3:00 10.40% 8.22% 4.92% 3.85% 2.77% 2.24% 11.70% 13.16%
WED OPEN 10.34% 8.12% 5.11% 3.88% 3.00% 2.28% 13.84% 13.92%
TUE 3:00 9.13% 7.93% 4.67% 3.79% 2.55% 2.19% 12.25% 13.39%
TUE OPEN 9.15% 7.76% 4.51% 3.66% 2.66% 2.15% 12.70% 13.63%
MON 3:00 9.80% 8.17% 4.54% 3.89% 2.75% 2.24% 11.50% 13.27%
MON OPEN 9.88% 8.33% 4.46% 3.85% 2.44% 2.19% 12.70% 12.89%
FRI 3:00 8.56% 8.08% 3.71% 3.63% 2.12% 2.13% 12.10% 13.78%
FRI OPEN 8.87% 8.01% 3.89% 3.69% 2.27% 2.12% 13.87% 12.99%
THU 3:00 8.16% 7.75% 3.44% 3.62% 2.04% 2.11% 14.44% 12.89%
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
FEB18 10Y NOTE 125.00 C 111,868 -221 123.00 P 75,755 -1,291
MAR18 10Y NOTE 126.00 C 126,422 +405 122.50 P 134,582 -2,457
FEB18 5Y NOTE 117.25 C 75,131 UNCH 115.50 P 42,670 UNCH
MAR18 5Y NOTE 115.50 C 45,376 +3,677 108.50 P 140,106 UNCH
FEB18 2Y NOTE 107.25 C 13,248 UNCH 106.87 P 30,370 UNCH
MAR18 2Y NOTE 107.38 C 20,745 UNCH 107.00 P 48,405 -1
FEB18 EURODLR 98.50 C 245,800 UNCH 98.12 P 267,212 -1,287
MAR18 EURODLR 98.50 C 493,040 UNCH 98.12 P 815,030 +4,500
MAR19 1Y-MIDC 98.25 C 216,085 UNCH 97.50 P 545,541 +6,041
MAR20 2Y-MIDC 98.50 C 145,426 UNCH 97.37 P 277,348 -6,235
MAR21 3Y-MIDC 98.12 C 63,218 UNCH 97.37 P 94,730 UNCH
NEAREST ATM: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
FEB18 10Y NOTE 123.50 C 49,119 -904 123.50 P 64,404 -1
FEB18 10Y NOTE 124.00 C 66,378 +1,249 124.00 P 40,728 -8
MAR18 10Y NOTE 123.50 C 70,794 +17,061 123.50 P 39,714 -264
MAR18 10Y NOTE 124.00 C 115,090 +4,307 124.00 P 38,146 -2,803
FEB18 5Y NOTE 115.75 C 21,735 -93 115.75 P 33,154 UNCH
FEB18 5Y NOTE 116.00 C 16,677 UNCH 116.00 P 19,392 UNCH
MAR18 5Y NOTE 115.75 C 38,858 +9,372 115.75 P 19,305 UNCH
MAR18 5Y NOTE 116.00 C 24,097 +2,973 116.00 P 7,945 UNCH
FEB18 2Y NOTE 107.00 C 2,888 UNCH 107.00 P 20,070 UNCH
FEB18 2Y NOTE 107.12 C 1,863 UNCH 107.12 P 3,849 UNCH
MAR18 2Y NOTE 107.00 C 3,682 +207 107.00 P 48,405 -1
MAR18 2Y NOTE 107.12 C 5,661 UNCH 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 493,040 UNCH 98.50 P 121,605 -2,000
MAR18 EURODLR 98.62 C 285,676 +2 98.62 P 21,066 -5,948
MAR19 1Y-MIDC 98.12 C 181,841 UNCH 98.12 P 62,124 UNCH
MAR19 1Y-MIDC 98.25 C 216,085 UNCH 98.25 P 33,396 UNCH
MAR20 2Y-MIDC 97.87 C 73,391 UNCH 97.87 P 51,374 UNCH
MAR20 2Y-MIDC 98.00 C 113,748 UNCH 98.00 P 73,233 UNCH
MAR21 3Y-MIDC 97.75 C 46,325 UNCH 97.75 P 25,729 UNCH
MAR21 3Y-MIDC 97.87 C 53,378 +1,980 97.87 P 33,372 UNCH
PUT/CALL RATIO FOR VOLUME CLEARED:
FEB18 10Y NOTE PUT/CALL RATIO -- 2.21 (107,290 PUTS VS. 48,479 CALLS)
MAR18 10Y NOTE PUT/CALL RATIO -- 0.90 (162,324 PUTS VS. 179,401 CALLS)
FEB18 5Y NOTE PUT/CALL RATIO -- 1.07 (28,552 PUTS VS. 26,477 CALLS)
MAR18 5Y NOTE PUT/CALL RATIO -- 0.24 (12,811 PUTS VS. 52,320 CALLS)
FEB18 2Y NOTE PUT/CALL RATIO -- 9.00 (9 PUTS VS. 1 CALLS)
MAR18 2Y NOTE PUT/CALL RATIO -- 37.6 (22,620 PUTS VS. 630 CALLS)
FEB18 EURODLRS PUT/CALL RATIO -- 0.22 (2,084 PUTS VS. 9,000 CALLS)
MAR18 EURODLRS PUT/CALL RATIO -- 2.56 (44,442 PUTS VS. 17,302 CALLS)
MAR19 1Y-MIDCRVE PUT/CALL RATIO -- 50.1 (180,550 PUTS VS. 3,650 CALLS)
MAR20 2Y-MIDCRVE PUT/CALL RATIO -- 4.37 (165,347 PUTS VS. 37,850 CALLS)
MAR21 3Y-MIDCRVE PUT/CALL RATIO -- 1.08 (14,453 PUTS VS. 13,350 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
1:30 40.20 58.63 52.88 61.06 66.21 68.33
12:45 40.27 59.14 53.13 61.28 66.23 68.30
11:15 40.19 60.63 53.11 61.36 66.15 68.28
9:30 40.19 60.63 53.11 61.36 66.15 68.28
Thu Open 40.18 60.44 53.12 61.39 66.11 68.25
Wed 3:00 40.22 60.39 53.13 61.43 66.09 68.20
Wed Open 39.85 59.64 52.40 60.54 65.64 68.01
Tue 3:00 39.89 60.12 51.85 59.70 65.16 67.75
Tue Open 39.92 60.11 51.72 58.63 65.12 67.83
Mon 3:00 40.11 60.28 51.90 58.82 65.32 68.05
Mon Open 40.42 61.50 52.37 59.12 65.40 68.18
Fri 3:00 39.53 55.99 50.61 57.04 64.27 67.74
Fri Open 38.81 54.24 49.81 55.91 63.87 67.61
Thu 3:00 38.49 53.02 49.45 55.37 63.52 67.64
--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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