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Free AccessUS TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JUL 19
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USQ USU TYQ TYU FVQ FVU EDQ EDU
THU OPEN 6.10% 6.51% 2.92% 3.43% 1.83% 2.20% 8.33% 8.21%
3:00 5.54% 6.16% 2.90% 3.33% 1.84% 2.14% 8.79% 8.16%
WED OPEN 5.98% 6.32% 3.07% 3.38% 2.01% 2.19% 7.45% 7.70%
3:00 5.72% 6.29% 2.99% 3.38% 1.85% 2.20% 9.28% 8.57%
TUE OPEN 6.06% 6.37% 3.16% 3.46% 2.02% 2.24% 9.27% 7.64%
3:00 6.12% 6.51% 3.06% 3.49% 1.95% 2.25% N/A 8.03%
MON OPEN 6.13% 6.59% 3.33% 3.54% 2.00% 2.29% N/A 9.40%
FRI 3:00 5.78% 6.45% 3.03% 3.49% 1.97% 2.24% N/A 8.54%
FRI OPEN 5.86% 6.48% 3.13% 3.49% 1.94% 2.23% N/A 8.52%
THU 3:00 5.89% 6.51% 3.23% 3.55% 1.95% 2.27% N/A 7.37%
THU OPEN 6.18% 6.75% 3.25% 3.61% 2.18% 2.36% N/A 9.02%
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
AUG18 10Y NOTE 121.00 C 104,514 -332 118.50 P 95,830 -2
SEP18 10Y NOTE 120.00 C 279,975 -1,631 119.00 P 89,801 +6,577
AUG18 5Y NOTE 114.00 C 63,698 +314 113.25 P 33,024 +175
SEP18 5Y NOTE 114.25 C 71,742 +6 106.25 P 91,819 UNCH
AUG18 2Y NOTE 106.12 C 42,984 UNCH 105.50 P 14,613 UNCH
SEP18 2Y NOTE 106.12 C 23,556 +9,772 105.37 P 27,420 UNCH
AUG18 EURODLR 97.62 C 45,745 +1,225 97.37 P 132,285 UNCH
SEP18 EURODLR 97.75 C 280,400 -9,075 97.37 P 504,596 UNCH
SEP19 1Y-MIDC 97.37 C 214,062 +953 97.12 P 428,358 -51
SEP20 2Y-MIDC 97.37 C 236,350 UNCH 97.00 P 348,302 +1,000
SEP21 3Y-MIDC 97.50 C 54,724 UNCH 96.75 P 48,256 +349
NEAREST ATM: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
AUG18 10Y NOTE 120.00 C 79,183 -323 120.00 P 52,216 -1,126
AUG18 10Y NOTE 120.50 C 92,023 +1,014 120.50 P 10,827 +11
SEP18 10Y NOTE 120.00 C 279,975 -1,631 120.00 P 57,117 +1,874
SEP18 10Y NOTE 120.50 C 78,222 -255 120.50 P 22,390 +138
AUG18 5Y NOTE 113.50 C 33,660 +373 113.50 P 17,516 -70
AUG18 5Y NOTE 113.75 C 32,025 -202 113.75 P 5,024 +1
SEP18 5Y NOTE 113.50 C 33,032 +326 113.50 P 30,112 -340
SEP18 5Y NOTE 113.75 C 14,021 +154 113.75 P 18,646 -177
AUG18 2Y NOTE 106.00 C 9,450 UNCH 106.00 P 4,184 UNCH
AUG18 2Y NOTE 106.12 C 42,984 UNCH 106.12 P 15 UNCH
SEP18 2Y NOTE 106.00 C 15,728 +8,729 106.00 P 2,940 UNCH
SEP18 2Y NOTE 106.12 C 23,556 +9,772 106.12 P 16 UNCH
AUG18 EURODLR 97.50 C 15,180 +250 97.50 P 95,834 UNCH
AUG18 EURODLR 97.62 C 45,745 +1,225 97.62 P 6,079 UNCH
SEP18 EURODLR 97.75 C 280,400 -9,075 97.75 P 219,988 UNCH
SEP18 EURODLR 97.87 C 128,366 UNCH 97.87 P 150,589 UNCH
SEP19 1Y-MIDC 97.12 C 131,532 +190 97.12 P 428,358 -51
SEP19 1Y-MIDC 97.25 C 162,985 -1,528 97.25 P 104,515 UNCH
SEP20 2Y-MIDC 97.00 C 91,006 +2,300 97.00 P 348,302 +1,000
SEP20 2Y-MIDC 97.12 C 94,098 UNCH 97.12 P 71,605 UNCH
SEP21 3Y-MIDC 96.87 C 9,972 UNCH 96.87 P 22,182 -113
SEP21 3Y-MIDC 97.00 C 33,183 -300 97.00 P 41,806 +370
PUT/CALL RATIO FOR VOLUME CLEARED:
AUG18 10Y NOTE PUT/CALL RATIO -- 0.76 (25,817 PUTS VS. 33,897 CALLS)
SEP18 10Y NOTE PUT/CALL RATIO -- 1.42 (69,559 PUTS VS. 48,901 CALLS)
AUG18 5Y NOTE PUT/CALL RATIO -- 0.86 (6,859 PUTS VS. 8,004 CALLS)
SEP18 5Y NOTE PUT/CALL RATIO -- 0.77 (14,108 PUTS VS. 18,420 CALLS)
AUG18 2Y NOTE PUT/CALL RATIO -- 0.73 (1,490 PUTS VS. 2,038 CALLS)
SEP18 2Y NOTE PUT/CALL RATIO -- 0.28 (6,017 PUTS VS. 21,658 CALLS)
AUG18 EURODLRS PUT/CALL RATIO -- 0.40 (1,000 PUTS VS. 2,500 CALLS)
SEP18 EURODLRS PUT/CALL RATIO -- 0.00 (2 PUTS VS. 9,500 CALLS)
SEP19 1Y-MIDCRVE PUT/CALL RATIO-- 0.17 (6,000 PUTS VS. 36,000 CALLS)
SEP20 2Y-MIDCRVE PUT/CALL RATIO-- 34.3 (5,150 PUTS VS. 150 CALLS)
SEP21 3Y-MIDCRVE PUT/CALL RATIO-- 1.50 (1,200 PUTS VS. 800 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
THU OPEN 47.06 50.90 56.61 56.64 67.81 73.66
WED 3:00 46.83 50.27 56.01 56.04 67.70 73.62
WED OPEN 47.73 51.31 56.62 56.40 67.86 73.65
TUE 3:00 48.15 53.01 57.08 57.07 68.17 74.11
TUE OPEN 48.81 53.38 57.57 57.48 68.29 74.19
MON 3:00 49.21 53.68 57.68 57.64 68.27 74.33
MON OPEN 49.33 52.51 57.58 57.51 68.27 74.36
FRI 3:00 49.14 52.71 57.51 57.36 68.47 74.48
FRI OPEN 49.34 52.70 57.86 57.82 68.67 74.63
THU 3:00 49.84 53.15 58.50 58.36 69.08 74.93
THU OPEN 50.79 55.17 59.76 59.68 69.94 75.38
--MNI Chicago Bureau; +1 630-698-0154; email: ryan.martin@marketnews.com
[TOPICS: MTABLE,M$U$$$,M$$FI$,MN$FI$]
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Why MNI
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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.