Free Trial

US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JUL 23

EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
            USQ    USU     TYQ    TYU     FVQ    FVU     EDQ     EDU
MON 1500   7.34%  7.10%   3.85%  4.02%   2.32%  2.72%   21.95%  20.41%
MON OPEN   7.49%  7.02%   4.00%  4.04%   2.44%  2.73%   22.79%  20.85%
FRI 1500   6.42%  6.99%   3.44%  3.96%   2.05%  2.70%   23.05%  20.46%
FRI OPEN   6.93%  7.17%   3.68%  4.14%   2.29%  2.82%   25.17%  22.00%
THU 1500   6.85%  7.05%   3.62%  4.01%   2.24%  2.70%   25.60%  22.22%
THU OPEN   7.00%  7.10%   3.83%  4.02%   2.39%  2.69%   22.69%  21.02%
WED 1500   7.03%  7.07%   3.65%  3.98%   2.46%  2.69%   23.16%  20.75%
WED OPEN   6.87%  7.01%   3.69%  4.00%   2.37%  2.70%   21.60%  20.17%
TUE 1500   6.92%  7.11%   3.77%  4.00%   2.42%  2.68%   23.35%  21.15%
TUE OPEN   7.07%  7.03%   3.65%  3.94%   2.53%  2.68%   21.53%  21.13%
MON 1500   7.17%  7.03%   3.76%  3.94%   2.64%  2.68%   21.85%  21.06%
MON OPEN   7.17%  6.93%   3.82%  3.93%   2.63%  2.65%   21.90%  20.35%
LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE
AUG19 10Y NOTE  133.00 C  109,649     UNCH   126.00 P  101,436     UNCH
SEP19 10Y NOTE  130.00 C   88,994      -66   126.50 P  141,796   +2,147
AUG19 5Y NOTE   118.00 C   74,610     -138   113.25 P  127,080     UNCH
SEP19 5Y NOTE   119.00 C   34,272      +59   116.75 P   82,367   +1,459
AUG19 2Y NOTE   107.62 C    7,926     UNCH   105.50 P   50,500     UNCH
SEP19 2Y NOTE   108.25 C    9,475     UNCH   107.00 P   33,713      +10
AUG19 EURODLR    98.25 C  644,316     UNCH    97.87 P  263,238  +38,218
SEP19 EURODLR    98.25 C  724,617     UNCH    97.50 P  553,295     UNCH
SEP20 1Y-MIDC    98.12 C  139,903     UNCH    97.75 P  164,932     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     UNCH
NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE
AUG19 10Y NOTE  127.00 C   56,314      -92   127.00 P   82,995   -2,515
AUG19 10Y NOTE  127.50 C   55,755       +1   127.50 P   42,048   +2,628
SEP19 10Y NOTE  127.00 C   48,081      -51   127.00 P   70,234   +2,912
SEP19 10Y NOTE  127.50 C   41,289   +2,520   127.50 P   48,297   +1,139
AUG19 5Y NOTE   117.50 C   16,816       -1   117.50 P   35,498   +3,294
AUG19 5Y NOTE   117.75 C   65,723     -605   117.75 P   51,471     -723
SEP19 5Y NOTE   117.50 C   19,302     UNCH   117.50 P   70,373     UNCH
SEP19 5Y NOTE   117.75 C   23,876   +2,454   117.75 P   43,751   +3,901
AUG19 2Y NOTE   107.25 C    4,006     UNCH   107.25 P   10,111     -394
AUG19 2Y NOTE   107.38 C    3,594      -89   107.38 P   10,160     UNCH
SEP19 2Y NOTE   107.25 C    4,295     UNCH   107.25 P    3,191     UNCH
SEP19 2Y NOTE   107.38 C    8,314     UNCH   107.38 P   14,430     UNCH
AUG19 EURODLR    97.87 C  265,145  +13,426    97.87 P  263,238  +38,218
AUG19 EURODLR    98.00 C  298,100   +3,488    98.00 P   81,293     -825
SEP19 EURODLR    97.87 C  486,298      -24    97.87 P  291,060  +12,412
SEP19 EURODLR    98.00 C  396,729     UNCH    98.00 P   61,941     +240
SEP20 1Y-MIDC    98.25 C   90,269   +1,350    98.25 P   53,721     +875
SEP20 1Y-MIDC    98.37 C   94,414     UNCH    98.37 P   46,275     UNCH
SEP21 2Y-MIDC    98.25 C   41,553     UNCH    98.25 P   19,674   +3,520
SEP21 2Y-MIDC    98.37 C   55,407     UNCH    98.37 P   19,326   +2,575
SEP22 3Y-MIDC    98.25 C   72,306     UNCH    98.25 P   16,216     +200
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   -- 0.72 (48,299 PUTS VS. 66,536 CALLS)
SEP19 10Y NOTE PUT/CALL RATIO   -- 1.34 (70,449 PUTS VS. 52,535 CALLS)
AUG19 5Y NOTE PUT/CALL RATIO    -- 1.83 (22,064 PUTS VS. 12,923 CALLS)
SEP19 5Y NOTE PUT/CALL RATIO    -- 2.21 (31,106 PUTS VS. 14,575 CALLS)
AUG19 2Y NOTE PUT/CALL RATIO    -- 0.40 (669 PUTS VS. 1,649 CALLS)
SEP19 2Y NOTE PUT/CALL RATIO    -- 0.18 (32 PUTS VS. 171 CALLS)
AUG19 EURODLRS PUT/CALL RATIO   -- 1.07 (145,110 PUTS VS. 135,297 CALLS)
SEP19 EURODLRS PUT/CALL RATIO   -- 9.25 (148,448 PUTS VS. 16,606 CALLS)
JUN20 1Y-MIDCRVE PUT/CALL RATIO -- 1.62 (13,325 PUTS VS. 8,950 CALLS)
JUN21 2Y-MIDCRVE PUT/CALL RATIO -- 0.00 (7,800 PUTS VS. 0 CALLS)
JUN22 3Y-MIDCRVE PUT/CALL RATIO -- 0.00 (0 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 1500    69.75    62.86    67.91    62.62    62.45     64.34
Mon Open    70.37    62.24    68.00    62.54    62.49     64.20
Fri 1500    70.00    62.14    67.81    62.42    62.67     64.31
Fri Open    69.98    62.95    68.30    63.30    62.63     64.18
Thu 1500    69.68    61.62    68.52    63.25    62.41     63.80
Thu Open    67.86    61.73    68.42    63.14    61.78     63.15
Wed 1500    67.54    61.19    68.02    62.75    61.41     62.84
Wed Open    67.31    61.56    67.76    62.38    61.28     62.85
Tue 1500    68.49    63.35    68.14    62.71    61.51     63.10
Tue Open    68.25    63.03    68.66    62.68    61.41     62.94
Mon 1500    68.06    62.73    68.13    62.33    61.07     62.66
Mon Open    68.50    62.16    68.26    62.22    60.76     62.50
--MNI Chicago Bureau; tel: +1 312-431-0089; email: bill.sokolis@marketnews.com
[TOPICS: MTABLE,M$U$$$,M$$FI$,MN$FI$]

To read the full story

Close

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.