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Free AccessUS TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JUL 24
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USQ USU TYQ TYU FVQ FVU EDQ EDU
TUE 1500 8.00% 7.13% 4.23% 4.05% 2.63% 2.78% 23.15% 21.56%
TUE OPEN 7.60% 7.05% 4.04% 4.02% 2.48% 2.70% 22.27% 21.05%
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%
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
AUG19 10Y NOTE 133.00 C 109,649 UNCH 126.00 P 102,520 +1,084
SEP19 10Y NOTE 130.00 C 88,895 -99 126.50 P 147,445 +5,649
AUG19 5Y NOTE 118.00 C 87,462 +12,852 113.25 P 127,080 UNCH
SEP19 5Y NOTE 119.00 C 40,243 +5,971 116.75 P 82,817 +450
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 UNCH
AUG19 EURODLR 98.25 C 644,316 UNCH 97.87 P 291,110 -269
SEP19 EURODLR 98.25 C 724,617 UNCH 97.50 P 555,420 +1,125
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 51,207 +1,000
NEAREST ATM: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
AUG19 10Y NOTE 127.00 C 57,036 +722 127.00 P 80,630 -2,365
AUG19 10Y NOTE 127.50 C 48,392 -7,363 127.50 P 34,039 -8,009
SEP19 10Y NOTE 127.00 C 48,134 +53 127.00 P 75,227 +4,993
SEP19 10Y NOTE 127.50 C 41,254 -35 127.50 P 48,704 +407
AUG19 5Y NOTE 117.50 C 16,805 -11 117.50 P 56,224 +20,726
AUG19 5Y NOTE 117.75 C 79,123 +13,400 117.75 P 52,537 +1,799
SEP19 5Y NOTE 117.50 C 19,300 -2 117.50 P 74,470 +4,097
SEP19 5Y NOTE 117.75 C 30,232 +6,356 117.75 P 45,806 +2,055
AUG19 2Y NOTE 107.25 C 4,006 UNCH 107.25 P 9,907 -204
AUG19 2Y NOTE 107.38 C 4,618 +1,024 107.38 P 9,058 -1,102
SEP19 2Y NOTE 107.25 C 4,295 UNCH 107.25 P 3,290 +99
SEP19 2Y NOTE 107.38 C 8,287 -27 107.38 P 14,402 -28
AUG19 EURODLR 97.87 C 264,595 -550 97.87 P 291,110 -269
AUG19 EURODLR 98.00 C 295,706 -2,394 98.00 P 81,052 +834
SEP19 EURODLR 97.87 C 488,179 +1,251 97.87 P 254,779 -19,985
SEP19 EURODLR 98.00 C 397,018 +289 98.00 P 59,666 -2,275
SEP20 1Y-MIDC 98.25 C 90,269 UNCH 98.25 P 53,221 -500
SEP20 1Y-MIDC 98.37 C 94,234 -180 98.37 P 46,075 -200
SEP21 2Y-MIDC 98.25 C 41,553 UNCH 98.25 P 19,674 UNCH
SEP21 2Y-MIDC 98.37 C 55,407 UNCH 98.37 P 19,326 UNCH
SEP22 3Y-MIDC 98.25 C 72,306 UNCH 98.25 P 16,216 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 -- 1.77 (108,826 PUTS VS. 61,154 CALLS)
SEP19 10Y NOTE PUT/CALL RATIO -- 1.02 (87,867 PUTS VS. 85,713 CALLS)
AUG19 5Y NOTE PUT/CALL RATIO -- 1.01 (46,937 PUTS VS. 46,600 CALLS)
SEP19 5Y NOTE PUT/CALL RATIO -- 0.69 (34,278 PUTS VS. 49,912 CALLS)
AUG19 2Y NOTE PUT/CALL RATIO -- 0.77 (2,414 PUTS VS. 3,148 CALLS)
SEP19 2Y NOTE PUT/CALL RATIO -- 0.13 (1,112 PUTS VS. 8,404 CALLS)
AUG19 EURODLRS PUT/CALL RATIO -- 0.60 (82,542 PUTS VS. 137,536 CALLS)
SEP19 EURODLRS PUT/CALL RATIO -- 3.41 (102,989 PUTS VS. 30,390 CALLS)
JUN20 1Y-MIDCRVE PUT/CALL RATIO -- 1.00 (4,405 PUTS VS. 4,405 CALLS)
JUN21 2Y-MIDCRVE PUT/CALL RATIO -- 0.00 (0 PUTS VS. 750 CALLS)
JUN22 3Y-MIDCRVE PUT/CALL RATIO -- 1.00 (2,146 PUTS VS. 2,146 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 1500 68.85 62.10 66.47 61.38 62.73 64.85
Tue Open 69.31 62.45 66.76 61.76 62.59 64.67
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
--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.