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Free AccessUS TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JAN 28
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USH USJ TYH TYJ FVH FVJ EDG EDH
1:15 6.22% 6.49% 3.49% 3.66% 2.32% 2.47% 8.87% 8.56%
10:30 6.15% 6.06% 3.53% 3.57% 2.35% 2.32% 9.75% 8.55%
MON OPEN 6.22% 6.12% 3.56% 3.50% 2.35% 2.37% 9.72% 8.94%
FRI 3:00 5.04% 5.30% 3.14% 3.30% 2.23% N/A 9.12% 8.32%
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
MAR19 10Y NOTE 127.00 C 90,507 +498 121.00 P 102,435 +19,461
APR19 10Y NOTE 122.00 C 11,365 -46 120.50 P 16,550 +2,120
MAR19 5Y NOTE 115.50 C 35,136 +205 103.75 P 284,111 UNCH
APR19 5Y NOTE 116.50 C 11,760 UNCH 113.25 P 3,842 +3,741
MAR19 2Y NOTE 106.12 C 7,112 -100 105.62 P 8,724 UNCH
APR19 2Y NOTE 106.12 C 700 UNCH 103.75 P 3,022 UNCH
FEB19 EURODLR 97.37 C 40,521 +9,520 97.00 P 84,387 UNCH
MAR19 EURODLR 97.37 C 379,741 -3,892 97.00 P 885,881 -150
MAR19 1Y-MIDC 97.37 C 159,106 +17,646 96.62 P 803,696 UNCH
MAR20 2Y-MIDC 97.50 C 108,764 -5,268 96.62 P 220,789 UNCH
MAR21 3Y-MIDC 97.00 C 60,658 UNCH 97.00 P 63,850 UNCH
NEAREST ATM: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
MAR19 10Y NOTE 121.50 C 40,465 +3,373 121.50 P 56,227 +1,289
MAR19 10Y NOTE 122.00 C 68,681 +1,953 122.00 P 38,925 -1,098
APR19 10Y NOTE 121.50 C 6,642 -357 121.50 P 14,804 +3,481
APR19 10Y NOTE 122.00 C 11,365 -46 122.00 P 9,948 +2
MAR19 5Y NOTE 114.00 C 17,292 UNCH 114.00 P 35,799 -55
MAR19 5Y NOTE 114.25 C 26,796 +548 114.25 P 53,915 +940
APR19 5Y NOTE 114.00 C 1,530 +117 114.00 P 3,640 +2,789
APR19 5Y NOTE 114.25 C 2,146 UNCH 114.25 P 1,426 +283
MAR19 2Y NOTE 105.87 C 2,769 +82 105.87 P 5,999 -5
MAR19 2Y NOTE 106.00 C 3,636 +849 106.00 P 2,314 UNCH
APR19 2Y NOTE 105.87 C 0 UNCH 105.87 P 7 UNCH
APR19 2Y NOTE 106.00 C 101 UNCH 106.00 P 269 +50
FEB19 EURODLR 97.25 C 35,477 UNCH 97.25 P 67,189 +7,446
FEB19 EURODLR 97.37 C 40,521 +9,520 97.37 P 5,470 +2,750
MAR19 EURODLR 97.25 C 334,378 -3,060 97.25 P 231,318 +8,900
MAR19 EURODLR 97.37 C 379,741 -3,892 97.37 P 120,256 UNCH
MAR20 1Y-MIDC 97.37 C 159,106 +17,646 97.37 P 99,532 -800
MAR20 1Y-MIDC 97.50 C 146,369 +15,520 97.50 P 32,248 UNCH
MAR21 2Y-MIDC 97.50 C 108,764 -5,268 97.50 P 57,990 -89
MAR21 2Y-MIDC 97.62 C 91,455 -15 97.62 P 17,338 UNCH
MAR22 3Y-MIDC 97.50 C 37,321 UNCH 97.50 P 21,844 +144
MAR22 3Y-MIDC 97.62 C 30,433 UNCH 97.62 P 600 UNCH
PUT/CALL RATIO FOR VOLUME CLEARED:
MAR19 10Y NOTE PUT/CALL RATIO -- 0.71 (140,254 PUTS VS. 197,719 CALLS)
APR19 10Y NOTE PUT/CALL RATIO -- 1.69 (12,386 PUTS VS. 7,287 CALLS)
MAR19 5Y NOTE PUT/CALL RATIO -- 1.72 (27,635 PUTS VS. 16,028 CALLS)
APR19 5Y NOTE PUT/CALL RATIO -- 1.53 (9,694 PUTS VS. 6,364 CALLS)
MAR19 2Y NOTE PUT/CALL RATIO -- 0.01 (57 PUTS VS. 6,394 CALLS)
APR19 2Y NOTE PUT/CALL RATIO -- 1.00 (50 PUTS VS. 50 CALLS)
FEB19 EURODLRS PUT/CALL RATIO -- 1.00 (12,500 PUTS VS. 12,500 CALLS)
MAR19 EURODLRS PUT/CALL RATIO -- 0.76 (10,451 PUTS VS. 13,604 CALLS)
MAR20 1Y-MIDCRVE PUT/CALL RATIO-- 0.34 (13,988 PUTS VS. 40,500 CALLS)
MAR21 2Y-MIDCRVE PUT/CALL RATIO-- 1.07 (40,471 PUTS VS. 37,500 CALLS)
MAR22 3Y-MIDCRVE PUT/CALL RATIO-- 7.67 (4,603 PUTS VS. 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
1:15 53.50 52.85 58.93 56.42 67.29 75.25
10:30 53.56 53.25 58.98 56.48 67.39 75.33
Mon Open 54.42 54.64 59.81 57.21 67.66 75.62
FRI 3:00 54.25 54.00 59.85 57.14 67.57 75.69
--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.