Free Trial

US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JAN 31

EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
            USH    USJ     TYH    TYJ     FVH    TUJ     EDG     EDH
12:45      8.78%  8.54%   4.22%  4.18%   2.41%  2.52%   15.70%  14.60%
11:30      8.76%  8.61%   4.29%  4.19%   2.47%  2.49%   15.90%  14.60%
9:15       8.64%  8.45%   4.09%  4.15%   2.35%  2.44%   16.70%  14.58%
WED OPEN   8.79%  8.74%   4.21%  4.25%   2.35%  2.53%   16.50%  14.58%
TUE 3:00   8.87%  8.82%   4.26%  4.26%   2.44%  2.56%   14.30%  13.67%
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%
LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE
MAR18 10Y NOTE  126.00 C  126,731     UNCH   122.00 P  152,211  +6,478
APR18 10Y NOTE  125.00 C   43,232       -3   120.00 P   35,409  +2,091
MAR18 5Y NOTE   115.75 C   50,164   +1,582   108.50 P  140,106    UNCH
APR18 5Y NOTE   116.00 C   16,493   -2,835   114.50 P   17,199    -551
MAR18 2Y NOTE   107.38 C   20,745     UNCH   107.00 P   48,297    UNCH
APR18 2Y NOTE   106.62 C    6,311     UNCH   106.50 P    1,906    UNCH
FEB18 EURODLR    98.50 C  245,800     UNCH    98.12 P  179,936  -7,266
MAR18 EURODLR    98.50 C  493,040     UNCH    98.12 P  766,944 -32,322
MAR19 1Y-MIDC    98.25 C  217,995     UNCH    97.50 P  479,317    +189
MAR20 2Y-MIDC    98.50 C  145,426     UNCH    97.25 P  217,454  +4,396
MAR21 3Y-MIDC    98.12 C   63,218     UNCH    97.37 P   91,830    -539
NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE
MAR18 10Y NOTE  122.00 C   27,982   +8,213   122.00 P  152,211  +6,478
MAR18 10Y NOTE  122.50 C   47,072   +2,430   122.50 P  105,418  -1,820
APR18 10Y NOTE  121.50 C    9,885   +1,118   121.50 P   30,316    -349
APR18 10Y NOTE  122.00 C   15,092     -569   122.00 P   17,062     +19
MAR18 5Y NOTE   114.75 C    8,753   +3,345   114.75 P   17,141  +1,325
MAR18 5Y NOTE   115.00 C    8,492   +1,769   115.00 P   53,938    -104
APR18 5Y NOTE   114.50 C    1,173     +698   114.50 P   17,199    -551
APR18 5Y NOTE   114.75 C    4,678   +1,282   114.75 P    4,530      +3
MAR18 2Y NOTE   106.50 C        0     UNCH   106.50 P    1,505      -2
MAR18 2Y NOTE   106.62 C       61     UNCH   106.62 P   18,823    +664
APR18 2Y NOTE   106.38 C       40     UNCH   106.38 P        2    UNCH
APR18 2Y NOTE   106.50 C    1,700     UNCH   106.50 P    1,906    UNCH
FEB18 EURODLR    98.00 C        5     UNCH    98.00 P   95,824    UNCH
FEB18 EURODLR    98.12 C   11,004      +76    98.12 P  179,936  -7,266
MAR18 EURODLR    98.00 C   21,207     UNCH    98.00 P  269,957  -4,440
MAR18 EURODLR    98.12 C   39,821   +5,115    98.12 P  766,944 -32,322
MAR19 1Y-MIDC    97.50 C   12,481     +250    97.50 P  479,317    +189
MAR19 1Y-MIDC    97.62 C   44,448   -2,708    97.62 P  236,860    -250
MAR20 2Y-MIDC    97.37 C   46,361   +1,062    97.37 P  200,204 -17,173
MAR20 2Y-MIDC    97.50 C   32,116     UNCH    97.50 P  115,531     -10
MAR21 3Y-MIDC    97.25 C   46,436     +561    97.25 P   79,360  +1,631
MAR21 3Y-MIDC    97.37 C   28,748     UNCH    97.37 P   91,830    -539
PUT/CALL RATIO FOR VOLUME CLEARED:
MAR18 10Y NOTE PUT/CALL RATIO   -- 2.43 (324,230 PUTS VS. 133,107 CALLS)
APR18 10Y NOTE PUT/CALL RATIO   -- 0.77 (25,342 PUTS VS. 32,688 CALLS)
AMR18 5Y NOTE PUT/CALL RATIO    -- 2.27 (97,548 PUTS VS. 42,789 CALLS)
APR18 5Y NOTE PUT/CALL RATIO    -- 0.24 (4,890 PUTS VS. 20,353 CALLS)
MAR18 2Y NOTE PUT/CALL RATIO    -- 0.26 (1,354 PUTS VS. 5,063 CALLS)
APR18 2Y NOTE PUT/CALL RATIO    -- 0.00 (0 PUTS VS. 3 CALLS)
FEB18 EURODLRS PUT/CALL RATIO   -- 29.3 (29,375 PUTS VS. 1,000 CALLS)
MAR18 EURODLRS PUT/CALL RATIO   -- 1.54 (97,849 PUTS VS. 63,252 CALLS)
MAR19 1Y-MIDCRVE PUT/CALL RATIO -- 3.35 (19,150 PUTS VS. 5,750 CALLS)
MAR20 2Y-MIDCRVE PUT/CALL RATIO -- 13.0 (140,090 PUTS VS. 10,718 CALLS)
MAR21 3Y-MIDCRVE PUT/CALL RATIO -- 14.1 (38,091 PUTS VS. 2,685 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
12:45        42.15    65.41    57.97    64.83    70.78    72.20
11:30        42.03    65.62    57.70    64.53    70.73    72.14
9:15         42.02    65.88    57.67    64.52    70.69    72.02
Wed Open     41.99    65.25    57.70    64.53    70.55    71.88
Tue 3:00     41.96    64.24    57.74    64.51    70.52    71.61
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
--MNI Chicago Bureau; tel: +1 312-431-0089; email: bill.sokolis@marketnews.com
[TOPICS: MTABLE,M$U$$$,M$$FI$,MN$FI$]

To read the full story

Close

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.