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Free AccessUS TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JUL 6
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USQ USU TYQ TYU FVQ FVU EDN EDU
FRI 3:00 6.05% 6.69% 3.25% 3.59% 2.25% 2.34% N/A 9.57%
1:30 6.15% 6.59% 3.39% 3.63% 2.26% 2.39% N/A 8.76%
11:45 6.25% 6.65% 3.31% 3.58% 2.19% 2.34% N/A 8.75%
10:00 6.01% 6.52% 3.36% 3.60% 2.20% 2.35% N/A 9.99%
FRI OPEN 6.01% 6.52% 3.36% 3.60% 2.20% 2.35% N/A 9.99%
THU 3:00 6.25% 6.67% 3.46% 3.62% 2.35% 2.41% N/A 8.70%
THU OPEN 6.35% 6.72% 3.61% 3.74% 2.38% 2.47% N/A 9.99%
TUE 3:00 6.18% 6.65% 3.51% 3.68% 2.36% 2.44% N/A 8.99%
TUE OPEN 6.14% 6.57% 3.43% 3.64% 2.33% 2.42% N/A 9.37%
Mon 3:00 6.27% 6.61% 3.46% 3.72% 2.45% 2.48% 10.23% 9.32%
MON OPEN 6.56% 6.81% 3.57% 3.79% 2.46% 2.51% 11.14% 9.54%
FRI 3:00 6.31% 6.55% 3.42% 3.64% 2.37% 2.43% 10.33% 8.49%
FRI OPEN 6.46% 6.83% 3.57% 3.73% 2.41% 2.47% 10.95% 8.76%
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
AUG18 10Y NOTE 121.00 C 107,773 +5,532 118.50 P 97,042 -7,194
SEP18 10Y NOTE 122.00 C 154,370 +9,771 117.50 P 64,600 +1,173
AUG18 5Y NOTE 114.00 C 63,875 +13,966 112.50 P 32,671 +114
SEP18 5Y NOTE 114.25 C 54,329 UNCH 106.25 P 91,838 UNCH
AUG18 2Y NOTE 106.12 C 43,986 UNCH 105.50 P 14,613 UNCH
SEP18 2Y NOTE 106.80 C 6,005 UNCH 105.75 P 11,977 UNCH
JUL18 EURODLR 97.75 C 92,584 UNCH 97.50 P 113,961 UNCH
SEP18 EURODLR 97.75 C 320,286 -10,030 97.37 P 497,792 -850
SEP19 1Y-MIDC 97.37 C 213,309 UNCH 97.12 P 429,482 +484
SEP20 2Y-MIDC 97.37 C 205,300 UNCH 97.00 P 344,627 -8
SEP21 3Y-MIDC 97.37 C 50,051 UNCH 96.75 P 37,954 UNCH
NEAREST ATM: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
AUG18 10Y NOTE 120.00 C 78,473 +370 120.00 P 41,438 +905
AUG18 10Y NOTE 120.50 C 91,577 -786 120.50 P 9,717 -210
SEP18 10Y NOTE 120.00 C 138,739 +86 120.00 P 40,374 +274
SEP18 10Y NOTE 120.50 C 70,375 +690 120.50 P 12,148 +524
AUG18 5Y NOTE 113.50 C 31,193 -399 113.50 P 14,404 +13
AUG18 5Y NOTE 113.75 C 41,167 +832 113.75 P 4,462 +72
SEP18 5Y NOTE 113.50 C 29,774 +2,776 113.50 P 27,911 +1,491
SEP18 5Y NOTE 113.75 C 10,403 +240 113.75 P 19,491 +350
AUG18 2Y NOTE 106.00 C 9,805 -157 106.00 P 4,184 UNCH
AUG18 2Y NOTE 106.12 C 43,986 UNCH 106.12 P 15 UNCH
SEP18 2Y NOTE 106.00 C 2,400 +3 106.00 P 3,090 UNCH
SEP18 2Y NOTE 106.12 C 2,730 +63 106.12 P 16 UNCH
JUL18 EURODLR 97.50 C 39,246 UNCH 97.50 P 113,961 UNCH
JUL18 EURODLR 97.62 C 90,827 UNCH 97.62 P 42,836 UNCH
SEP18 EURODLR 97.75 C 320,286 -10,030 97.75 P 222,706 -100
SEP18 EURODLR 97.87 C 130,866 UNCH 97.87 P 145,646 UNCH
SEP19 1Y-MIDC 97.12 C 126,431 -1,416 97.12 P 429,482 +484
SEP19 1Y-MIDC 97.25 C 117,831 -198 97.25 P 109,165 UNCH
SEP20 2Y-MIDC 97.00 C 101,252 +111 97.00 P 344,627 -8
SEP20 2Y-MIDC 97.12 C 90,381 UNCH 97.12 P 72,052 UNCH
SEP21 3Y-MIDC 96.87 C 9,822 UNCH 96.87 P 22,295 +614
SEP21 3Y-MIDC 97.00 C 26,702 -1,350 97.00 P 35,653 -401
PUT/CALL RATIO FOR VOLUME CLEARED:
AUG18 10Y NOTE PUT/CALL RATIO -- 1.92 (111,248 PUTS VS. 57,853 CALLS)
SEP18 10Y NOTE PUT/CALL RATIO -- 0.62 (27,296 PUTS VS. 43,992 CALLS)
AUG18 5Y NOTE PUT/CALL RATIO -- 0.30 (13,045 PUTS VS. 42,873 CALLS)
SEP18 5Y NOTE PUT/CALL RATIO -- 0.95 (14,102 PUTS VS. 14,877 CALLS)
AUG18 2Y NOTE PUT/CALL RATIO -- 0.09 (320 PUTS VS. 3,541 CALLS)
SEP18 2Y NOTE PUT/CALL RATIO -- 0.50 (2,146 PUTS VS. 4,260 CALLS)
JUL18 EURODLRS PUT/CALL RATIO -- 0.00 (0 PUTS VS. 0 CALLS)
SEP18 EURODLRS PUT/CALL RATIO -- 0.37 (17,183 PUTS VS. 45,494 CALLS)
SEP19 1Y-MIDCRVE PUT/CALL RATIO-- 4.51 (13,162 PUTS VS. 2,952 CALLS)
SEP20 2Y-MIDCRVE PUT/CALL RATIO-- 13.5 (32,473 PUTS VS. 2,450 CALLS)
SEP21 3Y-MIDCRVE PUT/CALL RATIO-- 1.44 (9,155 PUTS VS. 6,280 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
Fri 3:00 50.05 54.71 58.93 58.96 69.77 75.04
1:30 50.05 54.70 58.82 58.90 69.76 75.01
11:45 50.06 54.86 58.89 59.00 69.81 74.94
10:00 50.24 55.32 58.93 59.05 69.85 74.86
Fri Open 50.44 55.92 59.48 59.62 69.92 74.86
Thu 3:00 50.70 56.33 59.92 60.06 69.91 74.86
Thu Open 50.40 56.38 59.63 59.88 69.94 74.88
Tue 3:00 49.97 56.06 59.19 59.54 69.77 74.63
Tue Open 49.96 56.08 59.51 59.93 69.93 74.69
Mon 3:00 50.06 56.13 59.79 60.12 69.93 74.60
MON OPEN 50.37 56.10 60.44 60.82 69.81 74.48
FRI 3:00 50.13 55.55 60.52 61.02 69.79 74.52
FRI OPEN 50.27 56.19 61.07 61.66 69.90 74.58
--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.