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Free AccessUS 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$]
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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.