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US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JUN 1

     EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
            USN     USQ      TYN     TYQ     FVN     FVQ     EDM      EDN
3:00       7.21%   7.14%    3.94%   3.84%   2.62%   2.54%   14.74%   13.38% 
11:00      7.19%   7.10%    3.90%   3.83%   2.66%   2.56%   13.14%   12.55%     
FRI OPEN   7.37%   7.29%    4.08%   3.86%   2.72%   2.60%   15.90%   14.12%
THU 3:00   7.66%   7.44%    4.34%   4.12%   3.01%   2.76%   15.52%   16.28%
THU OPEN   7.53%   7.40%    4.26%   4.07%   3.96%   2.70%   17.48%   15.69%
WED 3:00   7.74%   7.61%    4.35%   4.16%   3.07%   2.81%   17.22%   16.48%
WED 12:30  7.69%   7.57%    4.24%   4.09%   3.04%   2.75%   17.29%   16.07%
TUE 3:00   8.50%   7.98%    4.60%   4.34%   1.59%   3.01%   17.69%   18.86%
TUE 9:30   7.43%   7.25%    4.15%   3.92%   2.81%   2.57%   15.79%   15.48%
FRI 1:00   6.88%    N/A     3.37%    N/A    2.22%    N/A    13.14%   14.08%
FRI OPEN   7.00%    N/A     3.60%    N/A    2.30%    N/A    13.44%   13.53%
     LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE
JUL18 10Y NOTE  120.00 C  103,893     -396   118.00 P  128,932  +1,030
SEP18 10Y NOTE  121.00 C   38,026     +459   117.00 P   46,443     +90
JUL18 5Y NOTE   114.50 C   56,896     +843   113.00 P   39,248  +1,936
SEP18 5Y NOTE   113.50 C   17,394      -37   106.25 P   91,466  +1,203
JUL18 2Y NOTE   106.37 C  121,332     UNCH   105.67 P    7,382    UNCH
SEP18 2Y NOTE   106.80 C    5,000   +5,000   106.00 P   11,153    UNCH
JUN18 EURODLR    98.00 C  373,361     UNCH    97.50 P  502,845 -11,851
JUL18 EURODLR    97.75 C  109,399     +200    97.37 P  111,189    -709
JUN19 1Y-MIDC    98.12 C  219,693     UNCH    97.12 P  415,664 -11,141
JUN20 2Y-MIDC    97.37 C  151,032     UNCH    97.37 P  164,552    UNCH
JUN21 3Y-MIDC    98.00 C  138,150     UNCH    97.25 P  145,831    UNCH
     NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE
JUL18 10Y NOTE  119.00 C   59,207      -30   119.00 P   94,652  +9,010
JUL18 10Y NOTE  119.50 C   72,240     -468   119.50 P   60,743  +6,637
SEP18 10Y NOTE  119.00 C   20,499     -418   119.00 P   29,038  +2,180
SEP18 10Y NOTE  119.50 C   16,279      -35   119.50 P   16,122  +1,500
JUL18 5Y NOTE   113.00 C   54,331     +109   113.00 P   39,248  +1,936
JUL18 5Y NOTE   113.50 C   29,212   -3,306   113.50 P   21,858  +3,230
SEP18 5Y NOTE   113.00 C    5,607      +13   113.00 P    7,103     +30
SEP18 5Y NOTE   113.50 C   17,394      -37   113.50 P   10,279  +4,938
JUL18 2Y NOTE   106.00 C    1,076     UNCH   106.00 P    2,942    +298
JUL18 2Y NOTE   106.12 C   30,657     UNCH   106.12 P      201    UNCH
SEP18 2Y NOTE   106.00 C      104     UNCH   106.00 P   11,153    UNCH
SEP18 2Y NOTE   106.12 C        0     UNCH   106.12 P        0    UNCH
JUN18 EURODLR    97.75 C  347,307   -2,188    97.75 P  374,721    -208
JUN18 EURODLR    97.87 C  369,147  +11,500    97.87 P  311,131  -6,786
JUL18 EURODLR    97.50 C   31,807     UNCH    97.50 P   86,734    UNCH
JUL18 EURODLR    97.62 C   54,396     -950    97.62 P   42,984    +251
JUN19 1Y-MIDC    97.37 C  152,963     -262    97.37 P  220,894  -4,238
JUN19 1Y-MIDC    97.50 C  188,785     -107    97.50 P  122,585    UNCH
JUN20 2Y-MIDC    97.00 C   47,161     UNCH    97.00 P   94,744  +6,695
JUN20 2Y-MIDC    97.12 C   77,851     -450    97.12 P  100,209  -2,031
JUN21 3Y-MIDC    96.87 C   19,811     UNCH    96.87 P   54,469    +350
JUN21 3Y-MIDC    97.00 C   62,561     -500    97.00 P   69,839  -1,002
     PUT/CALL RATIO FOR VOLUME CLEARED:
     JUL18 10Y NOTE PUT/CALL RATIO  -- 0.56 (146,386 PUTS VS. 261,894 CALLS)
SEP18 10Y NOTE PUT/CALL RATIO  -- 0.59 (49,760 PUTS VS. 83,790 CALLS)
JUL18 5Y NOTE PUT/CALL RATIO   -- 1.33 (68,392 PUTS VS. 51,538 CALLS)
SEP18 5Y NOTE PUT/CALL RATIO   -- 4.86 (37,721 PUTS VS. 7,754 CALLS)
JUL18 2Y NOTE PUT/CALL RATIO   -- 8.91 (2,743 PUTS VS. 308 CALLS)
SEP18 2Y NOTE PUT/CALL RATIO   -- 0.04 (443 PUTS VS. 10,061 CALLS)
JUN18 EURODLRS PUT/CALL RATIO  -- 1.37 (139,347 PUTS VS. 102,050 CALLS)
JUL18 EURODLRS PUT/CALL RATIO  -- 0.56 (6,251 PUTS VS. 11,100 CALLS)
JUN19 1Y-MIDCRVE PUT/CALL RATIO-- 2.71 (44,500 PUTS VS. 16,408 CALLS)
JUN20 2Y-MIDCRVE PUT/CALL RATIO-- 1.77 (14,450 PUTS VS. 8,150 CALLS)
JUN21 3Y-MIDCRVE PUT/CALL RATIO-- 1.42 (4,700 PUTS VS. 3,300 CALLS)
     (VOLUME, OPEN INTEREST, PUT/CALL RATIOS FOR VOLUME CLEARED 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
3:00         51.86    61.11    63.85    63.42    71.17    75.24
11:00        52.31    62.08    63.92    63.36    71.22    75.21
FRI OPEN     54.83    63.74    65.73    65.04    71.83    75.52
THU 3:00     54.01    65.92    66.15    65.96    71.40    74.93
THU OPEN     53.92    66.02    65.69    65.17    71.06    74.69
WED 3:00     53.12    68.79    65.95    66.24    70.82    74.30
WED 12:30    52.91    68.40    65.71    66.03    70.80    74.19
TUE 3:00     53.51    69.41    64.58    65.45    70.26    73.66
TUE 9:30     45.85    64.81    59.00    61.80    69.59    73.54     
FRI 1:00     43.90    58.70    56.17    59.49    69.06    73.26
FRI OPEN     43.95    58.69    55.96    59.33    68.97    73.13
--MNI Chicago Bureau; +1 630-698-0154; email: ryan.martin@marketnews.com
[TOPICS: MTABLE,M$U$$$,M$$FI$,MN$FI$]

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