OPEN INTEREST LVLS NOT UPDATED, REFLECTS FRIDAY LVLS
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USQ USU TYQ TYU FVQ FVU EDN EDU
TUE 3:00 6.39% 6.83% 3.40% 3.63% 2.09% 2.38% N/A 8.71%
1:45 6.24% 6.78% 3.31% 3.63% 2.13% 2.36% N/A 8.75%
11:30 6.24% 6.70% 3.31% 3.58% 2.09% 2.31% N/A 9.16%
9:00 6.23% 6.70% 3.23% 3.53% 2.12% 2.33% N/A 8.56%
TUE OPEN 6.23% 6.71% 3.34% 3.59% 2.18% 2.34% N/A 8.29%
MON 3:00 6.23% 6.71% 3.34% 3.59% 2.18% 2.34% N/A 8.29%
MON OPEN 6.25% 6.67% 3.42% 3.61% 2.27% 2.38% 13.62% 9.75%
FRI 3:00 6.05% 6.69% 3.25% 3.59% 2.25% 2.34% N/A 9.57%
FRI OPEN 6.01% 6.52% 3.36% 3.60% 2.20% 2.35% N/A 9.99%
THU 3:00 6.25% 6.67% 3.46% 3.62% 2.35% 2.41% N/A 8.70%
THU OPEN 6.35% 6.72% 3.61% 3.74% 2.38% 2.47% N/A 9.99%
TUE 3:00 6.18% 6.65% 3.51% 3.68% 2.36% 2.44% N/A 8.99%
TUE OPEN 6.14% 6.57% 3.43% 3.64% 2.33% 2.42% N/A 9.37%
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
AUG18 10Y NOTE 121.00 C 107,773 +5,532 118.50 P 97,042 -7,194
SEP18 10Y NOTE 122.00 C 154,370 +9,771 117.50 P 64,600 +1,173
AUG18 5Y NOTE 114.00 C 63,875 +13,966 112.50 P 32,671 +114
SEP18 5Y NOTE 114.25 C 54,329 UNCH 106.25 P 91,838 UNCH
AUG18 2Y NOTE 106.12 C 43,986 UNCH 105.50 P 14,613 UNCH
SEP18 2Y NOTE 106.80 C 6,005 UNCH 105.75 P 11,977 UNCH
JUL18 EURODLR 97.75 C 92,584 UNCH 97.50 P 113,961 UNCH
SEP18 EURODLR 97.75 C 320,286 -10,030 97.37 P 497,792 -850
SEP19 1Y-MIDC 97.37 C 213,309 UNCH 97.12 P 429,482 +484
SEP20 2Y-MIDC 97.37 C 205,300 UNCH 97.00 P 344,627 -8
SEP21 3Y-MIDC 97.37 C 50,051 UNCH 96.75 P 37,954 UNCH
NEAREST ATM: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
AUG18 10Y NOTE 120.00 C 78,473 +370 120.00 P 41,438 +905
AUG18 10Y NOTE 120.50 C 91,577 -786 120.50 P 9,717 -210
SEP18 10Y NOTE 120.00 C 138,739 +86 120.00 P 40,374 +274
SEP18 10Y NOTE 120.50 C 70,375 +690 120.50 P 12,148 +524
AUG18 5Y NOTE 113.50 C 31,193 -399 113.50 P 14,404 +13
AUG18 5Y NOTE 113.75 C 41,167 +832 113.75 P 4,462 +72
SEP18 5Y NOTE 113.50 C 29,774 +2,776 113.50 P 27,911 +1,491
SEP18 5Y NOTE 113.75 C 10,403 +240 113.75 P 19,491 +350
AUG18 2Y NOTE 106.00 C 9,805 -157 106.00 P 4,184 UNCH
AUG18 2Y NOTE 106.12 C 43,986 UNCH 106.12 P 15 UNCH
SEP18 2Y NOTE 106.00 C 2,400 +3 106.00 P 3,090 UNCH
SEP18 2Y NOTE 106.12 C 2,730 +63 106.12 P 16 UNCH
JUL18 EURODLR 97.50 C 39,246 UNCH 97.50 P 113,961 UNCH
JUL18 EURODLR 97.62 C 90,827 UNCH 97.62 P 42,836 UNCH
SEP18 EURODLR 97.75 C 320,286 -10,030 97.75 P 222,706 -100
SEP18 EURODLR 97.87 C 130,866 UNCH 97.87 P 145,646 UNCH
SEP19 1Y-MIDC 97.12 C 126,431 -1,416 97.12 P 429,482 +484
SEP19 1Y-MIDC 97.25 C 117,831 -198 97.25 P 109,165 UNCH
SEP20 2Y-MIDC 97.00 C 101,252 +111 97.00 P 344,627 -8
SEP20 2Y-MIDC 97.12 C 90,381 UNCH 97.12 P 72,052 UNCH
SEP21 3Y-MIDC 96.87 C 9,822 UNCH 96.87 P 22,295 +614
SEP21 3Y-MIDC 97.00 C 26,702 -1,350 97.00 P 35,653 -401
PUT/CALL RATIO FOR VOLUME CLEARED:
AUG18 10Y NOTE PUT/CALL RATIO -- 1.92 (111,248 PUTS VS. 57,853 CALLS)
SEP18 10Y NOTE PUT/CALL RATIO -- 0.62 (27,296 PUTS VS. 43,992 CALLS)
AUG18 5Y NOTE PUT/CALL RATIO -- 0.30 (13,045 PUTS VS. 42,873 CALLS)
SEP18 5Y NOTE PUT/CALL RATIO -- 0.95 (14,102 PUTS VS. 14,877 CALLS)
AUG18 2Y NOTE PUT/CALL RATIO -- 0.09 (320 PUTS VS. 3,541 CALLS)
SEP18 2Y NOTE PUT/CALL RATIO -- 0.50 (2,146 PUTS VS. 4,260 CALLS)
JUL18 EURODLRS PUT/CALL RATIO -- 0.00 (0 PUTS VS. 0 CALLS)
SEP18 EURODLRS PUT/CALL RATIO -- 0.37 (17,183 PUTS VS. 45,494 CALLS)
SEP19 1Y-MIDCRVE PUT/CALL RATIO-- 4.51 (13,162 PUTS VS. 2,952 CALLS)
SEP20 2Y-MIDCRVE PUT/CALL RATIO-- 13.5 (32,473 PUTS VS. 2,450 CALLS)
SEP21 3Y-MIDCRVE PUT/CALL RATIO-- 1.44 (9,155 PUTS VS. 6,280 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
Tue 3:00 50.35 55.55 59.25 59.18 69.96 75.41
1:45 50.35 55.55 59.24 59.17 69.93 75.41
11:30 50.20 55.50 59.23 59.17 69.96 75.43
9:00 50.15 55.20 59.24 59.12 69.95 75.40
Tue Open 50.30 55.17 59.43 59.38 69.90 75.23
Mon 3:00 50.30 55.17 59.43 59.38 69.90 75.23
Mon Open 50.34 54.93 59.35 59.29 69.83 75.15
Fri 3:00 50.05 54.71 58.93 58.96 69.77 75.04
Fri Open 50.44 55.92 59.48 59.62 69.92 74.86
Thu 3:00 50.70 56.33 59.92 60.06 69.91 74.86
Thu Open 50.40 56.38 59.63 59.88 69.94 74.88
Tue 3:00 49.97 56.06 59.19 59.54 69.77 74.63
Tue Open 49.96 56.08 59.51 59.93 69.93 74.69
--MNI Chicago Bureau; tel: +1 312-431-0089; email: bill.sokolis@marketnews.com
[TOPICS: MTABLE,M$U$$$,M$$FI$,MN$FI$]
