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Free AccessUS TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JUL 26
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USQ USU TYQ TYU FVQ FVU EDQ EDU
1200 N/A 6.65% N/A 3.83% N/A 2.73% 23.30% 20.80%
1030 N/A 6.96% N/A 4.06% N/A 2.83% 23.88% 21.12%
FRI OPEN N/A 7.11% N/A 4.12% N/A 2.89% 24.18% 21.12%
THU 1500 N/A 7.23% N/A 4.10% N/A 2.84% 23.90% 20.93%
THU OPEN 9.72% 7.19% 5.25% 4.11% 3.46% 2.83% 24.25% 22.00%
WED 1500 8.88% 7.14% 4.73% 4.05% 3.14% 2.79% 24.33% 22.12%
WED OPEN 8.29% 7.09% 4.62% 4.06% 2.96% 2.78% 23.45% 21.50%
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%
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
AUG19 10Y NOTE 133.00 C 109,649 UNCH 126.00 P 102,433 -85
SEP19 10Y NOTE 130.00 C 91,725 +2,706 126.50 P 149,920 +5,193
AUG19 5Y NOTE 118.00 C 87,765 +74 113.25 P 127,080 UNCH
SEP19 5Y NOTE 119.00 C 41,960 +106 116.75 P 81,272 -1,592
AUG19 2Y NOTE 107.62 C 7,876 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 644,066 UNCH 97.87 P 278,353 -11,571
SEP19 EURODLR 98.25 C 719,817 UNCH 97.50 P 555,379 -1
SEP20 1Y-MIDC 98.12 C 141,403 UNCH 97.75 P 161,624 -3,308
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 UNCH
NEAREST ATM: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
AUG19 10Y NOTE 127.00 C 41,676 -4,451 127.00 P 70,836 -1,001
AUG19 10Y NOTE 127.50 C 58,089 +14,641 127.50 P 30,911 -598
SEP19 10Y NOTE 127.00 C 47,411 -821 127.00 P 77,295 +8,731
SEP19 10Y NOTE 127.50 C 44,281 +1,734 127.50 P 51,340 +3,143
AUG19 5Y NOTE 117.50 C 14,494 -2,304 117.50 P 56,240 -5,984
AUG19 5Y NOTE 117.75 C 82,430 +1,584 117.75 P 51,946 -1,253
SEP19 5Y NOTE 117.50 C 23,930 +4,629 117.50 P 81,244 +6,774
SEP19 5Y NOTE 117.75 C 29,876 -143 117.75 P 46,928 +357
AUG19 2Y NOTE 107.25 C 4,138 +182 107.25 P 9,550 -357
AUG19 2Y NOTE 107.38 C 5,798 -88 107.38 P 9,058 UNCH
SEP19 2Y NOTE 107.25 C 4,499 +204 107.25 P 8,084 +2,127
SEP19 2Y NOTE 107.38 C 7,773 -322 107.38 P 13,885 -325
AUG19 EURODLR 97.87 C 261,215 -5,324 97.87 P 278,353 -11,571
AUG19 EURODLR 98.00 C 305,927 -11,588 98.00 P 75,352 -6,453
SEP19 EURODLR 97.87 C 488,429 +250 97.87 P 246,729 -2,750
SEP19 EURODLR 98.00 C 398,881 +263 98.00 P 59,666 UNCH
SEP20 1Y-MIDC 98.25 C 90,607 +338 98.25 P 56,153 +2,931
SEP20 1Y-MIDC 98.37 C 91,630 -643 98.37 P 49,425 +1,483
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 73,790 UNCH 98.25 P 16,666 +450
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 -- 1.02 (156,791 PUTS VS. 152,870 CALLS)
SEP19 10Y NOTE PUT/CALL RATIO -- 3.75 (345,689 PUTS VS. 92,383 CALLS)
AUG19 5Y NOTE PUT/CALL RATIO -- 0.93 (45,239 PUTS VS. 48,174 CALLS)
SEP19 5Y NOTE PUT/CALL RATIO -- 4.03 (117,001 PUTS VS. 29,328 CALLS)
AUG19 2Y NOTE PUT/CALL RATIO -- 1.71 (2,416 PUTS VS. 1,467 CALLS)
SEP19 2Y NOTE PUT/CALL RATIO -- 5.23 (8,942 PUTS VS. 1,788 CALLS)
AUG19 EURODLRS PUT/CALL RATIO -- 1.11 (98,792 PUTS VS. 88,506 CALLS)
SEP19 EURODLRS PUT/CALL RATIO -- 0.34 (16,089 PUTS VS. 46,756 CALLS)
JUN20 1Y-MIDCRVE PUT/CALL RATIO -- 1.27 (23,000 PUTS VS. 18,179 CALLS)
JUN21 2Y-MIDCRVE PUT/CALL RATIO -- 0.00 (0 PUTS VS. 5,592 CALLS)
JUN22 3Y-MIDCRVE PUT/CALL RATIO -- 0.00 (100 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
1200 67.31 60.43 65.06 60.43 62.46 64.76
1030 67.13 60.45 65.34 60.62 62.44 64.83
Fri Open 67.19 60.66 65.49 60.67 62.44 64.77
Thu 1500 68.38 61.02 66.47 61.61 62.78 64.92
Thu Open 68.93 60.81 67.05 62.12 62.92 64.98
Wed 1500 69.20 60.69 67.17 61.78 62.83 65.05
Wed Open 68.48 60.39 66.52 61.32 62.74 64.89
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
--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.