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Trending Top 5
February 26, 2021 20:59 GMT
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US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JAN 30
OPEN INTEREST LEVELS NOT UPDATED, REFLECT TUE' SETTLE
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USH USJ TYH TYJ FVH FVJ EDG EDH
THU 3:00 6.36% 7.10% 3.40% 3.37% 2.12% 2.25% 6.60% 6.05%
1:45 6.33% 6.45% 3.46% 3.55% 2.17% 2.23% 6.75% 5.90%
12:00 6.33% 6.30% 3.40% 3.53% 2.15% 2.20% 7.10% 6.50%
THU OPEN 6.37% 6.44% 3.46% 3.57% 2.20% 2.35% 8.31% 6.33%
WED 3:30 6.11% 6.86% 3.38% 3.66% 2.26% 2.39% 10.14% 6.27%
WED OPEN 6.15% 6.44% 3.44% 3.61% 2.26% 2.38% 9.11% 7.45%
TUE 3:00 6.17% 6.34% 3.50% 3.79% 2.30% 2.34% 8.81% 7.00%
MON 3:00 6.31% 5.76% 3.45% 3.47% 2.36% 2.41% 8.35% 8.16%
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 91,072 +565 121.00 P 101,735 +2,884
APR19 10Y NOTE 124.00 C 21,676 +9,437 120.50 P 17,766 +171
MAR19 5Y NOTE 115.50 C 38,255 +322 103.75 P 284,111 UNCH
APR19 5Y NOTE 116.50 C 11,760 UNCH 113.25 P 3,842 UNCH
MAR19 2Y NOTE 106.12 C 7,114 UNCH 105.62 P 8,781 UNCH
APR19 2Y NOTE 106.12 C 701 +1 103.75 P 3,022 UNCH
FEB19 EURODLR 97.37 C 41,513 +992 97.00 P 84,387 UNCH
MAR19 EURODLR 97.37 C 351,610 -19,765 97.00 P 885,881 UNCH
MAR19 1Y-MIDC 97.37 C 179,306 -4,950 96.62 P 790,986 UNCH
MAR20 2Y-MIDC 97.50 C 107,984 +927 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 42,699 +1,178 121.50 P 55,208 -2,537
MAR19 10Y NOTE 122.00 C 73,186 +234 122.00 P 39,256 +333
APR19 10Y NOTE 121.50 C 6,944 +4 121.50 P 16,794 +912
APR19 10Y NOTE 122.00 C 13,128 +1,238 122.00 P 11,359 +1,200
MAR19 5Y NOTE 114.00 C 17,393 UNCH 114.00 P 35,862 -313
MAR19 5Y NOTE 114.25 C 27,763 +813 114.25 P 55,256 +562
APR19 5Y NOTE 114.00 C 1,620 UNCH 114.00 P 3,922 +191
APR19 5Y NOTE 114.25 C 2,149 +1 114.25 P 2,039 +611
MAR19 2Y NOTE 105.87 C 2,769 UNCH 105.87 P 4,795 -1,204
MAR19 2Y NOTE 106.00 C 5,532 -44 106.00 P 2,354 +40
APR19 2Y NOTE 105.87 C 4 UNCH 105.87 P 7 UNCH
APR19 2Y NOTE 106.00 C 506 +400 106.00 P 672 +400
FEB19 EURODLR 97.25 C 35,477 UNCH 97.25 P 67,189 UNCH
FEB19 EURODLR 97.37 C 41,513 +992 97.37 P 5,470 UNCH
MAR19 EURODLR 97.25 C 334,378 UNCH 97.25 P 250,818 UNCH
MAR19 EURODLR 97.37 C 351,610 -19,765 97.37 P 120,453 -3
MAR20 1Y-MIDC 97.37 C 179,306 -4,950 97.37 P 101,733 +250
MAR20 1Y-MIDC 97.50 C 166,709 +625 97.50 P 32,649 UNCH
MAR21 2Y-MIDC 97.50 C 107,984 +927 97.50 P 57,990 UNCH
MAR21 2Y-MIDC 97.62 C 79,650 -11,805 97.62 P 17,257 -81
MAR22 3Y-MIDC 97.50 C 38,771 +1,735 97.50 P 14,520 -7,000
MAR22 3Y-MIDC 97.62 C 40,183 +9,750 97.62 P 600 UNCH
PUT/CALL RATIO FOR VOLUME CLEARED:
MAR19 10Y NOTE PUT/CALL RATIO -- 0.65 (50,965 PUTS VS. 77,244 CALLS)
APR19 10Y NOTE PUT/CALL RATIO -- 0.21 (10,774 PUTS VS. 48,879 CALLS)
MAR19 5Y NOTE PUT/CALL RATIO -- 0.60 (10,633 PUTS VS. 17,576 CALLS)
APR19 5Y NOTE PUT/CALL RATIO -- 1.57 (3,304 PUTS VS. 2,179 CALLS)
MAR19 2Y NOTE PUT/CALL RATIO -- 79.8 (4,153 PUTS VS. 52 CALLS)
APR19 2Y NOTE PUT/CALL RATIO -- 1.22 (550 PUTS VS. 451 CALLS)
FEB19 EURODLRS PUT/CALL RATIO -- 0.00 (0 PUTS VS. 4,314 CALLS)
MAR19 EURODLRS PUT/CALL RATIO -- 0.00 (157 PUTS VS. 57,882 CALLS)
MAR20 1Y-MIDCRVE PUT/CALL RATIO-- 0.78 (23,863 PUTS VS. 30,500 CALLS)
MAR21 2Y-MIDCRVE PUT/CALL RATIO-- 3.28 (76,324 PUTS VS. 23,200 CALLS)
MAR22 3Y-MIDCRVE PUT/CALL RATIO-- 0.16 (4,000 PUTS VS. 23,680 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
Thu 3:00 48.93 52.08 56.55 54.24 65.35 74.04
1:45 48.69 51.72 56.44 54.14 65.57 74.23
12:00 48.87 51.72 56.42 54.14 65.61 74.22
Thu Open 50.05 51.87 57.11 55.01 65.99 74.51
Wed 3:00 51.73 51.84 57.72 55.39 66.58 74.84
Wed Open 52.92 52.59 58.48 56.07 66.87 74.96
Tue 3:00 53.00 52.92 58.70 56.16 66.93 75.05
Mon 3:00 53.50 53.02 58.97 56.46 67.36 75.32
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$]
MNI Chicago Bureau | +1 312-431-0089 | bill.sokolis@marketnews.com
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