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Free AccessUS TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JAN 29
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USH USJ TYH TYJ FVH TUJ EDG EDH
1:45 8.49% 8.62% 4.12% 4.38% 2.46% 2.77% 16.50% 14.31%
12:15 8.79% 8.86% 4.36% 4.39% 2.53% 2.72% 18.95% 14.30%
10:45 8.94% 9.24% 4.30% 4.43% 2.54% 2.61% 15.70% 14.29%
9:15 8.96% 9.55% 4.46% 4.61% 2.59% 2.92% 14.20% 14.28%
MON OPEN 9.27% 9.20% 4.53% 4.60% 2.60% 2.83% 12.10% 14.28%
FRI 3:00 8.25% N/A 3.94% N/A 2.29% N/A 13.00% 13.13%
FRI OPEN 7.84% N/A 3.93% N/A 2.23% N/A 10.10% 14.15%
THU 3:00 7.72% N/A 3.68% N/A 2.13% N/A 11.00% 13.71%
THU OPEN 8.22% N/A 3.85% N/A 2.24% N/A 11.05% 13.45%
WED 3:00 8.22% N/A 3.85% N/A 2.24% N/A 11.70% 13.16%
WED OPEN 8.12% N/A 3.88% N/A 2.28% N/A 13.84% 13.92%
TUE 3:00 7.93% N/A 3.79% N/A 2.19% N/A 12.25% 13.39%
TUE OPEN 7.76% N/A 3.66% N/A 2.15% N/A 12.70% 13.63%
MON 3:00 8.17% N/A 3.89% N/A 2.24% N/A 11.50% 13.27%
MON OPEN 8.33% N/A 3.85% N/A 2.19% N/A 12.70% 12.89%
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
MAR18 10Y NOTE 126.00 C 126,589 -5,105 122.00 P 152,752 -4,501
APR18 10Y NOTE 125.00 C 43,244 +45 120.00 P 32,364 +789
MAR18 5Y NOTE 115.75 C 48,331 +112 108.50 P 140,106 UNCH
APR18 5Y NOTE 116.00 C 19,304 UNCH 114.50 P 17,582 +404
MAR18 2Y NOTE 107.38 C 20,745 UNCH 107.00 P 48,297 -100
APR18 2Y NOTE 106.62 C 1,348 UNCH 106.50 P 1,906 +6
FEB18 EURODLR 98.50 C 245,800 UNCH 98.12 P 196,296 -14,320
MAR18 EURODLR 98.50 C 493,040 UNCH 98.12 P 806,699 +150
MAR19 1Y-MIDC 98.25 C 217,995 +1,910 97.50 P 512,834 -29,041
MAR20 2Y-MIDC 98.50 C 145,426 UNCH 97.37 P 218,807 -11,564
MAR21 3Y-MIDC 98.12 C 63,218 UNCH 97.37 P 92,369 UNCH
NEAREST ATM: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
MAR18 10Y NOTE 122.00 C 22,463 +4,259 122.00 P 152,752 -4,501
MAR18 10Y NOTE 122.50 C 41,297 +3,425 122.50 P 113,848 +2,615
APR18 10Y NOTE 121.50 C 7,691 +3,357 121.50 P 31,121 +2,779
APR18 10Y NOTE 122.00 C 15,603 +1,459 122.00 P 17,213 -380
MAR18 5Y NOTE 114.75 C 6,216 +6,214 114.75 P 15,966 +5,043
MAR18 5Y NOTE 115.00 C 3,374 +1,201 115.00 P 53,449 +2,725
APR18 5Y NOTE 114.50 C 0 UNCH 114.50 P 17,582 +404
APR18 5Y NOTE 114.75 C 2,967 +995 114.75 P 4,427 +1,714
MAR18 2Y NOTE 106.50 C 0 UNCH 106.50 P 2,507 +298
MAR18 2Y NOTE 106.62 C 24 +1 106.62 P 17,920 +39
APR18 2Y NOTE 106.38 C 40 +22 106.38 P 2 UNCH
APR18 2Y NOTE 106.50 C 406 +10 106.50 P 1,906 +6
FEB18 EURODLR 98.00 C 5 UNCH 98.00 P 1,872 UNCH
FEB18 EURODLR 98.12 C 8,528 +250 98.12 P 196,296 -14,320
MAR18 EURODLR 98.00 C 21,207 UNCH 98.00 P 283,552 +6,500
MAR18 EURODLR 98.12 C 33,262 +400 98.12 P 806,699 +150
MAR19 1Y-MIDC 97.50 C 6,435 +100 97.50 P 512,834 -29,041
MAR19 1Y-MIDC 97.62 C 40,273 -350 97.62 P 236,710 -5,775
MAR20 2Y-MIDC 97.37 C 39,561 -524 97.37 P 218,807 -11,564
MAR20 2Y-MIDC 97.50 C 32,116 +3,752 97.50 P 115,551 UNCH
MAR21 3Y-MIDC 97.25 C 46,529 +1,374 97.25 P 68,448 +2,129
MAR21 3Y-MIDC 97.37 C 26,346 +1,487 97.37 P 92,369 UNCH
PUT/CALL RATIO FOR VOLUME CLEARED:
MAR18 10Y NOTE PUT/CALL RATIO -- 1.85 (263,769 PUTS VS. 142,046 CALLS)
APR18 10Y NOTE PUT/CALL RATIO -- 3.25 (46,187 PUTS VS. 14,236 CALLS)
AMR18 5Y NOTE PUT/CALL RATIO -- 0.57 (30,958 PUTS VS. 53,885 CALLS)
APR18 5Y NOTE PUT/CALL RATIO -- 4.96 (28,825 PUTS VS. 5,779 CALLS)
MAR18 2Y NOTE PUT/CALL RATIO -- 0.23 (3,910 PUTS VS. 16,961 CALLS)
APR18 2Y NOTE PUT/CALL RATIO -- 0.16 (7 PUTS VS. 43 CALLS)
FEB18 EURODLRS PUT/CALL RATIO -- 176.6 (88,337 PUTS VS. 500 CALLS)
MAR18 EURODLRS PUT/CALL RATIO -- 8.77 (38,613 PUTS VS. 4,388 CALLS)
MAR19 1Y-MIDCRVE PUT/CALL RATIO -- 4.08 (107,547 PUTS VS. 26,330 CALLS)
MAR20 2Y-MIDCRVE PUT/CALL RATIO -- 7.36 (101,655 PUTS VS. 13,780 CALLS)
MAR21 3Y-MIDCRVE PUT/CALL RATIO -- 10.2 (24,588 PUTS VS. 2,450 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
1:45 42.08 65.36 58.33 65.31 70.54 71.22
12:15 42.21 65.91 58.72 65.81 70.49 71.01
10:45 42.56 67.06 58.95 65.87 69.86 70.20
9:15 42.31 65.04 57.25 64.59 69.01 69.98
Mon Open 42.08 64.88 57.23 64.63 68.93 69.44
Fri 3:00 40.45 59.86 54.27 62.16 67.32 68.99
Fri Open 39.93 58.57 52.77 60.85 66.27 68.37
Thu 3:00 39.91 57.86 52.61 60.71 66.21 68.34
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
--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
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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.