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Free AccessUS TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JAN 6
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USG USH TYG TYH FVG FVH EDF EDH
FRI 1500 7.80% 7.86% 3.96% 4.04% 2.48% 2.50% N/A 12.70%
FRI OPEN 8.08% 7.95% 4.04% 4.11% 2.52% 2.53% 17.35% 11.95%
THU 1500 7.59% 7.59% 3.84% 3.95% 2.34% 2.39% 14.60% 11.40%
THU OPEN 7.57% 7.60% 3.88% 3.98% 2.40% 2.42% 13.00% 11.05%
TUE 1300 7.51% 7.56% 3.87% 3.98% 2.35% 2.42% 13.05% 11.85%
TUE OPEN 7.62% 7.51% 3.97% 4.02% 2.38% 2.45% 13.90% 11.35%
MON 1500 7.62% 7.55% 4.01% 4.05% 2.44% 2.45% 13.40% 11.50%
MON OPEN N/A 7.25% N/A 3.91% N/A 2.37% 13.20% 11.90%
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
FEB20 10Y NOTE 129.50 C 206,181 +7,882 127.00 P 123,071 -2,279
MAR20 10Y NOTE 131.00 C 76,953 -327 117.50 P 66,948 UNCH
FEB20 5Y NOTE 119.25 C 53,136 +89 118.00 P 33,753 +243
MAR20 5Y NOTE 119.00 C 32,102 -98 111.00 P 252,174 UNCH
FEB20 2Y NOTE 107.75 C 5,649 -218 107.12 P 24,223 UNCH
MAR20 2Y NOTE 108.00 C 13,100 +28 105.75 P 55,165 UNCH
JAN20 EURODLR 98.50 C 126,856 -2 98.12 P 105,555 UNCH
MAR20 EURODLR 98.50 C 488,428 +33,755 98.25 P 524,201 -12,304
MAR21 1Y-MIDC 99.75 C 247,313 UNCH 98.25 P 87,804 -683
MAR22 2Y-MIDC 98.25 C 79,246 UNCH 97.37 P 96,133 UNCH
MAR23 3Y-MIDC 98.12 C 53,469 UNCH 97.62 P 29,500 UNCH
NEAREST ATM: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
FEB20 10Y NOTE 129.00 C 129,284 +5,917 129.00 P 27,576 +2,066
FEB20 10Y NOTE 129.50 C 206,181 +7,882 129.50 P 16,400 +291
MAR20 10Y NOTE 129.00 C 28,608 +3,378 129.00 P 27,222 +1,208
MAR20 10Y NOTE 129.50 C 24,839 +1,268 129.50 P 10,344 -1,162
FEB20 5Y NOTE 119.00 C 44,766 -2,740 119.00 P 17,433 +7,899
FEB20 5Y NOTE 119.25 C 53,136 +89 119.25 P 2,177 UNCH
MAR20 5Y NOTE 119.00 C 32,102 -98 119.00 P 9,692 +208
MAR20 5Y NOTE 119.25 C 15,789 +369 119.25 P 5,843 UNCH
FEB20 2Y NOTE 107.75 C 5,649 -218 107.75 P 7,693 -2,748
FEB20 2Y NOTE 107.87 C 5,187 +2,652 107.87 P 3,714 +1,836
MAR20 2Y NOTE 107.75 C 1,180 +125 107.75 P 2,744 +18
MAR20 2Y NOTE 107.87 C 3,042 +10 107.87 P 4,507 UNCH
JAN20 EURODLR 98.25 C 63,289 -12,024 98.25 P 80,527 -1,752
JAN20 EURODLR 98.37 C 77,329 -9,697 98.37 P 25,286 -1
MAR20 EURODLR 98.25 C 276,169 -74,966 98.25 P 524,201 -12,304
MAR20 EURODLR 98.37 C 460,598 +1,497 98.37 P 247,603 -18,385
MAR21 1Y-MIDC 98.37 C 73,321 UNCH 98.37 P 69,995 -100
MAR21 1Y-MIDC 98.50 C 62,566 -400 98.50 P 48,517 +257
MAR22 2Y-MIDC 98.37 C 31,398 UNCH 98.37 P 29,901 -51
MAR22 2Y-MIDC 98.50 C 38,754 +350 98.50 P 29,540 -1,000
MAR23 3Y-MIDC 98.37 C 9,745 UNCH 98.37 P 14,897 -397
MAR23 3Y-MIDC 98.50 C 44,729 UNCH 98.50 P 7,792 +73
PUT/CALL RATIO FOR VOLUME CLEARED:
FEB20 10Y NOTE PUT/CALL RATIO -- 0.97 (213,720 PUTS VS. 218,469 CALLS)
MAR20 10Y NOTE PUT/CALL RATIO -- 0.66 (94,660 PUTS VS. 141,081 CALLS)
FEB20 5Y NOTE PUT/CALL RATIO -- 0.85 (34,896 PUTS VS. 40,623 CALLS)
MAR20 5Y NOTE PUT/CALL RATIO -- 0.90 (29,705 PUTS VS. 32,344 CALLS)
FEB20 2Y NOTE PUT/CALL RATIO -- 1.11 (7,960 PUTS VS. 7,153 CALLS)
MAR20 2Y NOTE PUT/CALL RATIO -- 0.25 (387 PUTS VS. 1,501 CALLS)
JAN20 EURODLRS PUT/CALL RATIO -- 0.05 (4,196 PUTS VS. 80,374 CALLS)
MAR20 EURODLRS PUT/CALL RATIO -- 0.43 (199,196 PUTS VS. 454,500 CALLS)
MAR21 1Y-MIDCRVE PUT/CALL RATIO -- 0.20 (12,228 PUTS VS. 60,815 CALLS)
MAR22 2Y-MIDCRVE PUT/CALL RATIO -- 9.16 (11,000 PUTS VS. 1,250 CALLS)
MAR23 3Y-MIDCRVE PUT/CALL RATIO -- 0.24 (1,569 PUTS VS. 6,226 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
Fri 1500 49.77 65.86 64.41 66.46 64.01 64.39
Fri Open 47.70 66.41 63.95 66.40 63.80 64.23
Thu 1500 48.70 64.37 62.65 64.95 63.38 64.14
Thu Open 48.45 65.10 62.40 64.60 63.45 64.05
Tue 1300 48.65 66.28 62.60 64.91 63.91 64.21
Tue Open 48.77 66.40 62.41 64.68 63.75 64.26
Mon 1500 47.53 66.33 62.29 64.65 63.75 64.31
Mon Open 48.53 63.11 61.81 63.97 63.64 64.27
--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.