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Free AccessUS TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JAN 8
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USG USH TYG TYH FVG TUH EDF EDH
MON OPEN 6.98% 7.07% 3.26% 3.30% 1.91% 1.99% N/A 12.50%
FRI 3:00 6.77% 7.01% 3.05% 3.30% 1.83% 2.01% N/A 10.10%
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%
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
FEB18 10Y NOTE 125.00 C 109,071 +6,859 123.00 P 118,127 +13,686
MAR18 10Y NOTE 126.00 C 64,082 +7,347 123.00 P 135,335 +6,346
FEB18 5Y NOTE 117.25 C 75,131 -50 115.50 P 70,360 +883
MAR18 5Y NOTE 117.25 C 14,348 -111 108.50 P 140,106 UNCH
FEB18 2Y NOTE 107.25 C 11,046 +500 106.87 P 30,051 UNCH
MAR18 2Y NOTE 107.38 C 20,745 UNCH 107.00 P 52,532 UNCH
JAN18 EURODLR 98.62 C 275,189 UNCH 98.25 P 279,852 -5,978
MAR18 EURODLR 98.50 C 474,162 UNCH 98.25 P 815,019 -81
MAR19 1Y-MIDC 98.25 C 216,951 -1,839 97.62 P 475,264 -4,900
MAR20 2Y-MIDC 98.50 C 145,426 UNCH 97.50 P 143,375 +2,750
MAR21 3Y-MIDC 98.12 C 63,218 -41 97.37 P 60,227 UNCH
NEAREST ATM: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
FEB18 10Y NOTE 123.50 C 26,552 +2,408 123.50 P 71,260 +620
FEB18 10Y NOTE 124.00 C 42,362 +1,235 124.00 P 66,710 -629
MAR18 10Y NOTE 123.50 C 20,238 +5,356 123.50 P 34,573 +4,360
MAR18 10Y NOTE 124.00 C 22,191 +647 124.00 P 42,734 +365
FEB18 5Y NOTE 115.75 C 7,146 +726 115.75 P 42,399 -208
FEB18 5Y NOTE 116.00 C 20,086 +2,189 116.00 P 19,218 -3
MAR18 5Y NOTE 115.75 C 2,585 +1,364 115.75 P 16,533 +124
MAR18 5Y NOTE 116.00 C 8,540 +2,085 116.00 P 8,286 -42
FEB18 2Y NOTE 107.00 C 2,613 UNCH 107.00 P 20,209 UNCH
FEB18 2Y NOTE 107.12 C 2,115 -8 107.12 P 3,572 UNCH
MAR18 2Y NOTE 107.00 C 3,433 UNCH 107.00 P 52,532 UNCH
MAR18 2Y NOTE 107.12 C 3,697 +1,331 107.12 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 UNCH 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 191,903 UNCH 98.12 P 70,031 UNCH
MAR19 1Y-MIDC 98.25 C 216,951 -1,839 98.25 P 36,397 UNCH
MAR20 2Y-MIDC 97.87 C 72,355 UNCH 97.87 P 51,055 UNCH
MAR20 2Y-MIDC 98.00 C 112,768 UNCH 98.00 P 72,933 +400
MAR21 3Y-MIDC 97.75 C 37,068 UNCH 97.75 P 25,729 +117
MAR21 3Y-MIDC 97.87 C 48,830 -100 97.87 P 33,372 UNCH
PUT/CALL RATIO FOR VOLUME CLEARED:
FEB18 10Y NOTE PUT/CALL RATIO -- 1.32 (93,749 PUTS VS. 70,655 CALLS)
MAR18 10Y NOTE PUT/CALL RATIO -- 0.93 (57,281 PUTS VS. 61,414 CALLS)
FEB18 5Y NOTE PUT/CALL RATIO -- 1.48 (29,535 PUTS VS. 19,931 CALLS)
MAR18 5Y NOTE PUT/CALL RATIO -- 0.35 (5,203 PUTS VS. 14,701 CALLS)
FEB18 2Y NOTE PUT/CALL RATIO -- 0.01 (7 PUTS VS. 866 CALLS)
MAR18 2Y NOTE PUT/CALL RATIO -- 0.68 (1,587 PUTS VS. 2,271 CALLS)
JAN18 EURODLRS PUT/CALL RATIO -- 0.00 (11,301 PUTS VS. 0 CALLS)
MAR18 EURODLRS PUT/CALL RATIO -- 1.07 (9,980 PUTS VS. 9,200 CALLS)
MAR19 1Y-MIDCRVE PUT/CALL RATIO -- 0.55 (35,600 PUTS VS. 63,650 CALLS)
MAR20 2Y-MIDCRVE PUT/CALL RATIO -- 7.13 (10,730 PUTS VS. 1,564 CALLS)
MAR21 3Y-MIDCRVE PUT/CALL RATIO -- 1.47 (9,361 PUTS VS. 6,350 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
Mon Open 39.78 50.20 49.27 53.18 63.71 68.07
Fri 3:00 39.90 49.31 49.33 53.22 63.68 68.05
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
--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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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.