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Free AccessUS TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JAN 30
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USH USJ TYH TYJ FVH TUJ EDG EDH
11:45 8.85% 8.56% 4.20% 4.16% 2.45% 2.45% 14.30% 13.65%
10:30 8.79% 8.55% 4.13% 4.00% 2.42% 2.41% 14.80% 15.72%
TUE OPEN 8.84% 8.30% 4.25% 4.04% 2.50% 2.48% 14.50% 13.63%
MON 3:00 8.51% 8.24% 4.06% 4.25% 2.42% 2.75% 16.10% 14.32%
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%
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
MAR18 10Y NOTE 126.00 C 126,731 +142 122.00 P 145,733 -7,019
APR18 10Y NOTE 125.00 C 43,235 -9 120.00 P 33,318 +954
MAR18 5Y NOTE 115.75 C 48,582 +251 108.50 P 140,106 UNCH
APR18 5Y NOTE 116.00 C 19,328 +24 114.50 P 17,031 -551
MAR18 2Y NOTE 107.38 C 20,745 UNCH 107.00 P 48,297 UNCH
APR18 2Y NOTE 106.62 C 6,311 +4,963 106.50 P 1,906 UNCH
FEB18 EURODLR 98.50 C 245,800 UNCH 98.12 P 187,202 -9,094
MAR18 EURODLR 98.50 C 493,040 UNCH 98.12 P 799,266 -7,433
MAR19 1Y-MIDC 98.25 C 217,995 UNCH 97.50 P 479,128 -33,706
MAR20 2Y-MIDC 98.50 C 145,426 UNCH 97.37 P 217,377 -1,430
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 19,769 -2,694 122.00 P 145,733 -7,019
MAR18 10Y NOTE 122.50 C 44,642 +3,345 122.50 P 107,238 -6,610
APR18 10Y NOTE 121.50 C 8,767 +1,076 121.50 P 30,664 -457
APR18 10Y NOTE 122.00 C 15,661 +58 122.00 P 17,043 -170
MAR18 5Y NOTE 114.75 C 5,408 -808 114.75 P 15,816 -150
MAR18 5Y NOTE 115.00 C 6,723 +3,349 115.00 P 54,042 +593
APR18 5Y NOTE 114.50 C 475 +475 114.50 P 17,031 -551
APR18 5Y NOTE 114.75 C 3,396 +429 114.75 P 4,527 +100
MAR18 2Y NOTE 106.50 C 0 UNCH 106.50 P 1,507 -1,000
MAR18 2Y NOTE 106.62 C 61 +37 106.62 P 18,173 +256
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 UNCH
FEB18 EURODLR 98.00 C 5 UNCH 98.00 P 95,824 UNCH
FEB18 EURODLR 98.12 C 10,928 +2,400 98.12 P 187,202 -9,094
MAR18 EURODLR 98.00 C 21,207 UNCH 98.00 P 274,397 -9,155
MAR18 EURODLR 98.12 C 34,706 +1,444 98.12 P 799,266 -7,433
MAR19 1Y-MIDC 97.50 C 12,231 +5,796 97.50 P 479,128 -33,706
MAR19 1Y-MIDC 97.62 C 47,156 +6,883 97.62 P 237,110 +400
MAR20 2Y-MIDC 97.37 C 45,299 +5,738 97.37 P 217,377 -1,430
MAR20 2Y-MIDC 97.50 C 32,116 UNCH 97.50 P 115,541 -10
MAR21 3Y-MIDC 97.25 C 45,875 -654 97.25 P 77,730 +9,282
MAR21 3Y-MIDC 97.37 C 28,748 +2,402 97.37 P 92,369 UNCH
PUT/CALL RATIO FOR VOLUME CLEARED:
MAR18 10Y NOTE PUT/CALL RATIO -- 2.24 (446,869 PUTS VS. 199,334 CALLS)
APR18 10Y NOTE PUT/CALL RATIO -- 1.45 (50,478 PUTS VS. 34,684 CALLS)
AMR18 5Y NOTE PUT/CALL RATIO -- 0.57 (97,475 PUTS VS. 29,357 CALLS)
APR18 5Y NOTE PUT/CALL RATIO -- 3.32 (18,269 PUTS VS. 9,450 CALLS)
MAR18 2Y NOTE PUT/CALL RATIO -- 10.0 (10,816 PUTS VS. 1,075 CALLS)
APR18 2Y NOTE PUT/CALL RATIO -- 0.00 (2 PUTS VS. 7,786 CALLS)
FEB18 EURODLRS PUT/CALL RATIO -- 8.38 (21,825 PUTS VS. 2,650 CALLS)
MAR18 EURODLRS PUT/CALL RATIO -- 4.26 (96,501 PUTS VS. 22,678 CALLS)
MAR19 1Y-MIDCRVE PUT/CALL RATIO -- 4.33 (134,324 PUTS VS. 31,031 CALLS)
MAR20 2Y-MIDCRVE PUT/CALL RATIO -- 1.34 (58,189 PUTS VS. 43,185 CALLS)
MAR21 3Y-MIDCRVE PUT/CALL RATIO -- 0.58 (56,298 PUTS VS. 96,633 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
11:45 41.66 63.38 57.37 63.85 69.68 71.43
10:30 41.71 63.41 57.36 63.86 69.66 71.42
Tue Open 41.74 64.61 57.67 64.18 70.03 71.35
Mon 3:00 41.84 63.66 57.74 64.21 69.92 70.95
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
--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.