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Free AccessUS TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JUL 14
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USQ USU TYQ TYU FVQ FVU EDQ EDU
MON OPEN 7.17% 6.93% 3.82% 3.93% 2.63% 2.65% 21.90% 20.35%
FRI 1500 6.86% 6.87% 3.63% 3.85% 2.49% 2.64% N/A 21.09%
FRI OPEN 7.08% 6.95% 3.84% 3.95% 2.68% 2.73% N/A 20.69%
THU 1500 6.96% 7.05% 3.80% 3.96% 2.65% 2.73% N/A 23.55%
THU OPEN 6.64% 6.71% 3.70% 3.85% 2.61% 2.65% N/A 25.00%
WED 1500 6.95% 6.82% 3.84% 3.92% 2.77% 2.69% N/A 22.25%
WED OPEN 7.25% 7.12% 4.11% 4.05% 2.99% 2.84% N/A 23.90%
TUE 1500 6.87% 6.95% 3.86% 3.92% 2.81% 2.77% N/A 24.60%
TUE OPEN 6.98% 7.01% 4.00% 3.99% 2.90% 2.83% N/A 24.75%
MON 1500 6.82% 6.93% 3.86% 3.99% 2.74% 2.77% N/A 24.70%
MON OPEN 6.84% 6.90% 3.86% 3.98% 2.75% 2.74% N/A 24.80%
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
AUG19 10Y NOTE 133.00 C 109,649 UNCH 126.00 P 120,323 -1,930
SEP19 10Y NOTE 130.00 C 88,677 -1,847 121.00 P 123,668 UNCH
AUG19 5Y NOTE 118.50 C 54,299 +2,388 113.25 P 127,080 UNCH
SEP19 5Y NOTE 119.00 C 49,474 -449 106.50 P 80,409 UNCH
AUG19 2Y NOTE 107.62 C 6,133 -10 105.50 P 50,500 UNCH
SEP19 2Y NOTE 108.25 C 9,475 UNCH 107.00 P 30,553 UNCH
AUG19 EURODLR 98.25 C 632,323 +2,962 97.87 P 250,577 +8,270
SEP19 EURODLR 98.25 C 757,937 +3,500 97.50 P 608,983 -12,000
SEP20 1Y-MIDC 98.12 C 142,844 UNCH 97.75 P 167,236 UNCH
SEP21 2Y-MIDC 98.12 C 96,800 UNCH 97.12 P 74,826 UNCH
SEP22 3Y-MIDC 98.00 C 125,432 UNCH 98.00 P 50,207 -1,030
NEAREST ATM: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
AUG19 10Y NOTE 127.00 C 59,001 +7,580 127.00 P 73,086 +5,017
AUG19 10Y NOTE 127.50 C 53,221 -885 127.50 P 32,864 -2,080
SEP19 10Y NOTE 127.00 C 34,607 +5,992 127.00 P 86,764 +183
SEP19 10Y NOTE 127.50 C 33,213 +641 127.50 P 46,038 +649
AUG19 5Y NOTE 117.50 C 14,431 +2,637 117.50 P 31,386 -1,097
AUG19 5Y NOTE 117.75 C 28,570 +4,720 117.75 P 48,232 -86
SEP19 5Y NOTE 117.50 C 19,075 +733 117.50 P 67,390 -947
SEP19 5Y NOTE 117.75 C 21,002 +2,531 117.75 P 37,595 UNCH
AUG19 2Y NOTE 107.25 C 4,006 +39 107.25 P 12,898 -508
AUG19 2Y NOTE 107.38 C 3,026 +338 107.38 P 9,275 -2
SEP19 2Y NOTE 107.25 C 4,305 +2 107.25 P 3,014 +37
SEP19 2Y NOTE 107.38 C 4,273 +122 107.38 P 9,869 +120
AUG19 EURODLR 97.87 C 228,892 -3,081 97.87 P 250,577 +8,270
AUG19 EURODLR 98.00 C 215,242 +4,136 98.00 P 94,789 +650
SEP19 EURODLR 97.87 C 496,997 -1,000 97.87 P 233,249 +400
SEP19 EURODLR 98.00 C 403,418 -5,440 98.00 P 61,888 UNCH
SEP20 1Y-MIDC 98.25 C 93,044 -1,347 98.25 P 56,556 -180
SEP20 1Y-MIDC 98.37 C 83,670 -568 98.37 P 44,776 UNCH
SEP21 2Y-MIDC 98.25 C 41,231 UNCH 98.25 P 16,404 UNCH
SEP21 2Y-MIDC 98.37 C 55,527 UNCH 98.37 P 16,751 UNCH
SEP22 3Y-MIDC 98.25 C 72,307 UNCH 98.25 P 15,916 UNCH
SEP22 3Y-MIDC 98.37 C 6,975 UNCH 98.37 P 1,150 UNCH
PUT/CALL RATIO FOR VOLUME CLEARED:
AUG19 10Y NOTE PUT/CALL RATIO -- 1.33 (127,401 PUTS VS. 95,257 CALLS)
SEP19 10Y NOTE PUT/CALL RATIO -- 2.17 (178,724 PUTS VS. 82,243 CALLS)
AUG19 5Y NOTE PUT/CALL RATIO -- 1.18 (39,539 PUTS VS. 33,279 CALLS)
SEP19 5Y NOTE PUT/CALL RATIO -- 1.86 (67,175 PUTS VS. 36,536 CALLS)
AUG19 2Y NOTE PUT/CALL RATIO -- 2.11 (1,744 PUTS VS. 823 CALLS)
SEP19 2Y NOTE PUT/CALL RATIO -- 5.08 (5,109 PUTS VS. 1,004 CALLS)
AUG19 EURODLRS PUT/CALL RATIO -- 0.55 (52,004 PUTS VS. 94,060 CALLS)
SEP19 EURODLRS PUT/CALL RATIO -- 1.44 (52,588 PUTS VS. 36,512 CALLS)
JUN20 1Y-MIDCRVE PUT/CALL RATIO -- 1.21 (10,775 PUTS VS. 8,875 CALLS)
JUN21 2Y-MIDCRVE PUT/CALL RATIO -- 0.00 (0 PUTS VS. 500 CALLS)
JUN22 3Y-MIDCRVE PUT/CALL RATIO -- 0.00 (7,875 PUTS VS. 0 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
Mon Open 68.50 62.16 68.26 62.22 60.76 62.50
Fri 1500 67.35 61.62 67.55 61.73 60.77 62.54
Fri Open 69.23 62.13 67.44 61.70 60.53 62.43
Thu 1500 70.21 61.30 68.21 62.09 60.49 62.28
Thu Open 70.02 60.76 67.76 61.28 60.21 62.42
Wed 1500 71.34 61.00 68.30 61.69 60.55 62.66
Wed Open 72.94 63.02 69.40 62.34 60.90 63.60
Tue 1500 73.22 63.73 69.44 62.34 60.78 63.53
Tue Open 73.29 64.17 69.62 62.78 60.82 63.61
Mon 1500 73.05 63.94 69.56 62.66 60.55 63.50
Mon Open 73.56 62.67 69.78 62.84 60.85 63.74
--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.