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Free AccessUS TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JAN 5
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USG USH TYG TYH FVG TUH EDF EDH
12:45 6.94% 7.17% 3.17% 3.34% 1.86% 2.01% N/A 10.52%
11:15 6.94% 7.17% 3.17% 3.38% 1.89% 2.03% N/A 11.50%
9:30 6.94% 7.09% 3.16% 3.40% 1.81% 1.99% N/A 11.05%
FRI OPEN 7.06% 7.17% 3.28% 3.37% 1.95% 2.02% N/A 13.32%
THU 3:00 6.98% 7.30% 3.31% 3.46% 1.88% 2.04% N/A 11.96%
THU OPEN 7.31% 7.45% 3.31% 3.46% 1.94% 2.04% N/A 14.99%
WED 3:00 7.46% 7.47% 3.28% 3.41% 1.92% 2.08% 13.10% 15.66%
WED OPEN 7.66% 7.64% 3.38% 3.48% 2.01% 2.12% 13.62% 15.03%
TUE 3:00 7.62% 7.70% 3.45% 3.53% 2.01% 2.11% 11.20% 14.95%
TUE OPEN 7.58% 7.68% 3.36% 3.51% 2.04% 2.12% 11.20% 15.35%
FRI CLSE 7.29% 7.53% 3.19% 3.47% 1.95% 2.12% 11.70% 14.87%
FRI OPEN 7.40% 7.55% 3.27% 3.50% 1.95% 2.08% 12.82% 14.77%
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
FEB18 10Y NOTE 125.00 C 102,212 +2,674 123.00 P 104,451 +2,376
MAR18 10Y NOTE 126.00 C 47,352 +6,740 114.00 P 119,347 UNCH
FEB18 5Y NOTE 117.25 C 75,181 UNCH 115.50 P 69,477 +317
MAR18 5Y NOTE 117.25 C 14,459 UNCH 108.50 P 140,106 UNCH
FEB18 2Y NOTE 107.25 C 10,546 UNCH 106.87 P 30,051 +25
MAR18 2Y NOTE 107.38 C 20,745 UNCH 107.00 P 52,532 -14,274
JAN18 EURODLR 98.62 C 275,189 UNCH 98.25 P 285,830 -1,001
MAR18 EURODLR 98.50 C 474,162 -875 98.25 P 815,100 -21,586
MAR19 1Y-MIDC 98.25 C 218,790 +636 97.62 P 480,164 +46,446
MAR20 2Y-MIDC 98.50 C 145,426 UNCH 97.75 P 141,693 UNCH
MAR21 3Y-MIDC 98.12 C 63,259 UNCH 97.37 P 60,227 -2,124
NEAREST ATM: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
FEB18 10Y NOTE 123.50 C 24,144 -19 123.50 P 70,640 -640
FEB18 10Y NOTE 124.00 C 41,127 +4,485 124.00 P 67,339 -698
MAR18 10Y NOTE 123.50 C 14,882 +1,451 123.50 P 30,213 +5
MAR18 10Y NOTE 124.00 C 21,544 +538 124.00 P 42,369 -149
FEB18 5Y NOTE 115.75 C 6,420 +6,106 115.75 P 42,607 +4,425
FEB18 5Y NOTE 116.00 C 17,897 +5,327 116.00 P 19,221 +2,202
MAR18 5Y NOTE 115.75 C 1,221 -4 115.75 P 16,409 -495
MAR18 5Y NOTE 116.00 C 6,455 +372 116.00 P 8,328 -124
FEB18 2Y NOTE 107.00 C 2,613 UNCH 107.00 P 20,209 UNCH
FEB18 2Y NOTE 107.12 C 2,123 -25 107.12 P 3,572 UNCH
MAR18 2Y NOTE 107.00 C 3,433 +523 107.00 P 52,532 -14,274
MAR18 2Y NOTE 107.12 C 2,366 UNCH 107.12 P 19,443 UNCH
JAN18 EURODLR 98.50 C 163,410 UNCH 98.50 P 18,103 UNCH
JAN18 EURODLR 98.62 C 275,189 UNCH 98.62 P 0 UNCH
MAR18 EURODLR 98.50 C 474,162 -875 98.50 P 124,436 UNCH
MAR18 EURODLR 98.62 C 253,276 UNCH 98.62 P 28,813 UNCH
MAR19 1Y-MIDC 98.12 C 191,403 +20,940 98.12 P 70,031 UNCH
MAR19 1Y-MIDC 98.25 C 218,790 +636 98.25 P 36,397 UNCH
MAR20 2Y-MIDC 97.87 C 72,355 UNCH 97.87 P 51,055 +80
MAR20 2Y-MIDC 98.00 C 112,768 UNCH 98.00 P 72,533 +215
MAR21 3Y-MIDC 97.75 C 37,068 UNCH 97.75 P 25,612 UNCH
MAR21 3Y-MIDC 97.87 C 48,930 UNCH 97.87 P 33,372 UNCH
PUT/CALL RATIO FOR VOLUME CLEARED:
FEB18 10Y NOTE PUT/CALL RATIO -- 0.77 (52,970 PUTS VS. 68,031 CALLS)
MAR18 10Y NOTE PUT/CALL RATIO -- 1.44 (113,782 PUTS VS. 79,025 CALLS)
FEB18 5Y NOTE PUT/CALL RATIO -- 1.53 (54,463 PUTS VS. 35,421 CALLS)
MAR18 5Y NOTE PUT/CALL RATIO -- 1.58 (20,833 PUTS VS. 13,133 CALLS)
FEB18 2Y NOTE PUT/CALL RATIO -- 0.43 (327 PUTS VS. 747 CALLS)
MAR18 2Y NOTE PUT/CALL RATIO -- 44.8 (67,304 PUTS VS. 1,550 CALLS)
JAN18 EURODLRS PUT/CALL RATIO -- 1.28 (3,261 PUTS VS. 2,520 CALLS)
MAR18 EURODLRS PUT/CALL RATIO -- 2.66 (142,399 PUTS VS. 53,529 CALLS)
MAR19 1Y-MIDCRVE PUT/CALL RATIO -- 4.16 (204,926 PUTS VS. 49,250 CALLS)
MAR20 2Y-MIDCRVE PUT/CALL RATIO -- 7.02 (85,038 PUTS VS. 12,100 CALLS)
MAR21 3Y-MIDCRVE PUT/CALL RATIO -- 1.29 (13,387 PUTS VS. 10,300 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 40.49 49.59 49.63 53.52 63.72 68.07
11:15 40.55 49.59 49.66 53.55 63.47 68.05
9:30 40.73 49.90 49.96 53.70 63.45 68.04
Fri Open 40.82 50.60 50.09 53.97 63.78 68.12
Thu 3:00 40.68 51.23 50.25 54.15 63.94 68.09
Thu Open 40.53 51.93 50.24 54.81 63.20 67.66
Wed 3:00 40.70 52.65 50.28 55.05 63.19 67.65
Wed Open 40.78 53.13 50.71 55.32 63.60 68.07
Tue 3:00 40.71 53.82 50.60 55.19 63.63 68.30
Tue Open 40.18 51.59 49.79 54.52 63.54 68.22
Fri Clse 40.05 49.17 49.67 54.39 63.50 68.09
Fri Open 40.05 49.17 49.78 54.59 63.68 68.22
--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.