register nowRegister now
OPTIONS

Larger Option Pipeline

US 10YR FUTURE TECHS

(H1)‌‌ Another Day, Another Low

MNI EXCLUSIVE

MNI looks into the BOE's policy for unwinding QE

BOND SUMMARY

EGB/Gilt - Bear Steepening Theme Continues

     
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
            
            USH    USJ     TYH    TYJ     FVH    TUJ     EDG     EDH
2:15       8.85%  8.52%   4.17%  4.15%   2.46%  2.56%   18.10%  14.62%
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
2:15         42.27    65.54    58.42    65.05    70.75    72.18
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$]
MNI Chicago Bureau | +1 312-431-0089 | bill.sokolis@marketnews.com