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Free AccessUS TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JAN 27
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USH USJ TYH TYJ FVH FVJ EDG EDH
MON 1500 8.62% 8.17% 4.59% 4.28% 2.84% 2.75% 16.05% 14.13%
1300 8.63% 8.20% 4.54% 4.30% 2.83% 2.75% 16.20% 14.36%
1100 8.71% 8.22% 4.61% 4.32% 2.85% 2.76% 16.65% 14.77%
MON OPEN 8.47% 8.08% 4.50% 4.25% 2.83% 2.74% 16.60% 14.89%
FRI 1500 7.59% N/A 3.90% N/A 2.44% N/A 12.25% 11.40%
FRI OPEN 7.17% N/A 3.70% N/A 2.35% N/A 11.57% 11.45%
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
MAR20 10Y NOTE 131.00 C 144,095 -8,207 128.00 P 140,429 -262
APR20 10Y NOTE 131.00 C 53,279 +1,009 127.00 P 57,587 +7
MAR20 5Y NOTE 119.00 C 46,250 -1 111.00 P 252,174 UNCH
APR20 5Y NOTE 119.25 C 11,738 +241 118.00 P 15,513 +400
MAR20 2Y NOTE 108.00 C 13,651 +50 105.75 P 55,165 UNCH
APR20 2Y NOTE 107.87 C 416 +127 106.00 P 536 UNCH
FEB20 EURODLR 99.12 C 164,000 UNCH 98.25 P 131,430 -50
MAR20 EURODLR 98.37 C 522,205 +1,378 98.25 P 533,605 -5,222
MAR21 1Y-MIDC 99.25 C 247,376 UNCH 98.37 P 83,722 -1,192
MAR22 2Y-MIDC 98.25 C 79,246 UNCH 98.25 P 103,859 -3,863
MAR23 3Y-MIDC 98.12 C 53,469 UNCH 98.12 P 37,506 -1,416
NEAREST ATM: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
MAR20 10Y NOTE 130.50 C 135,865 -10,992 130.50 P 7,766 +5,841
MAR20 10Y NOTE 131.00 C 144,095 -8,207 131.00 P 403 +123
APR20 10Y NOTE 130.50 C 12,089 +1,347 130.50 P 49 +41
APR20 10Y NOTE 131.00 C 53,279 +1,009 131.00 P 15 +12
MAR20 5Y NOTE 119.75 C 25,934 UNCH 119.75 P 31 -5
MAR20 5Y NOTE 120.00 C 22,784 -645 120.00 P 62 +2
APR20 5Y NOTE 120.00 C 5,159 +155 120.00 P 163 +150
APR20 5Y NOTE 120.25 C 5,337 UNCH 120.25 P 11 UNCH
MAR20 2Y NOTE 107.87 C 5,377 +303 107.87 P 4,679 UNCH
MAR20 2Y NOTE 108.00 C 13,651 +50 108.00 P 257 UNCH
APR20 2Y NOTE 107.87 C 416 +127 107.87 P 416 +127
APR20 2Y NOTE 108.00 C 125 UNCH 108.00 P 0 UNCH
FEB20 EURODLR 98.25 C 68,078 -49 98.25 P 131,430 -50
FEB20 EURODLR 98.37 C 92,030 -4,956 98.37 P 50,862 +875
MAR20 EURODLR 98.25 C 277,221 -4,254 98.25 P 533,605 -5,222
MAR20 EURODLR 98.37 C 522,205 +1,378 98.37 P 221,675 +235
MAR21 1Y-MIDC 98.37 C 118,087 UNCH 98.37 P 83,722 -1,192
MAR21 1Y-MIDC 98.50 C 156,725 -948 98.50 P 58,661 +300
MAR22 2Y-MIDC 98.37 C 31,398 UNCH 98.37 P 42,056 -637
MAR22 2Y-MIDC 98.50 C 34,919 -1,750 98.50 P 30,774 +500
MAR23 3Y-MIDC 98.37 C 10,870 UNCH 98.37 P 18,008 +2,356
MAR23 3Y-MIDC 98.50 C 45,784 UNCH 98.50 P 8,227 +50
PUT/CALL RATIO FOR VOLUME CLEARED:
MAR20 10Y NOTE PUT/CALL RATIO -- 0.48 (168,033 PUTS VS. 345,388 CALLS)
APR20 10Y NOTE PUT/CALL RATIO -- 0.78 (36,545 PUTS VS. 46,840 CALLS)
MAR20 5Y NOTE PUT/CALL RATIO -- 0.54 (36,324 PUTS VS. 66,012 CALLS)
APR20 5Y NOTE PUT/CALL RATIO -- 0.54 (6,172 PUTS VS. 11,087 CALLS)
MAP20 2Y NOTE PUT/CALL RATIO -- 2.07 (2,703 PUTS VS. 1,335 CALLS)
APR20 2Y NOTE PUT/CALL RATIO -- 0.77 (127 PUTS VS. 164 CALLS)
FEB20 EURODLRS PUT/CALL RATIO -- 0.56 (3,588 PUTS VS. 6,208 CALLS)
FEB20 EURODLRS PUT/CALL RATIO -- 0.20 (13,699 PUTS VS. 64,446 CALLS)
MAR21 1Y-MIDCRVE PUT/CALL RATIO -- 0.34 (14,426 PUTS VS. 41,720 CALLS)
MAR22 2Y-MIDCRVE PUT/CALL RATIO -- 2.33 (24,512 PUTS VS. 10,500 CALLS)
MAR23 3Y-MIDCRVE PUT/CALL RATIO -- 23.7 (10,942 PUTS VS. 460 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
Mon 1500 57.00 72.18 65.49 68.47 65.91 66.54
1300 57.02 72.21 65.51 68.50 65.92 66.53
1100 57.75 71.80 65.65 68.80 65.99 65.91
Mon Open 53.80 69.14 64.45 67.47 65.65 65.87
Fri 1500 51.37 64.82 62.48 65.45 64.76 65.58
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
--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.