Free Trial

US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JUN 19

     EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
            USN     USQ      TYN     TYQ     FVN     FVQ      EDN     EDU
3:00       7.82%   6.76%    4.29%   3.68%   3.04%   2.42%    9.86%  10.37%
11:00      7.76%   6.81%    4.04%   3.69%   2.84%   2.40%    9.90%   9.72%
TUE OPEN   7.67%   6.80%    4.32%   3.79%   2.81%   2.38%    9.87%   9.71%
MON 3:00   7.31%   6.77%    4.17%   3.66%   2.31%   2.31%    8.51%   9.26%
MON OPEN   8.07%   6.98%    4.24%   3.75%   2.51%   2.34%    8.46%   9.24%
FRI 3:00   6.68%   6.77%    3.35%   3.62%   2.32%   2.33%   10.80%    N/A
FRI OPEN   7.01%   6.79%    3.62%   3.66%   2.24%   2.34%    9.78%    N/A
THU 3:00   6.63%   6.71%    3.29%   3.59%   2.21%   2.31%   10.23%    N/A
THU OPEN   7.26%   6.97%    3.57%   3.72%   2.32%   2.39%   11.08%    N/A
WED 3:00   7.22%   7.12%    3.72%   3.77%   2.63%   2.47%   11.84%    N/A
WED OPEN   8.09%   7.34%    4.40%   3.91%   2.97%   2.59%   12.60%    N/A
TUE 3:00   7.84%   7.36%    4.40%   4.02%   2.91%   2.64%   13.58%    N/A
TUE OPEN   8.52%   7.66%    4.49%   4.09%   2.97%   2.70%   12.76%    N/A
     LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE
JUL18 10Y NOTE  121.00 C  112,325   +1,144   118.00 P  159,976    UNCH
SEP18 10Y NOTE  120.00 C  124,670   +1,425   117.50 P   58,482    +337
JUL18 5Y NOTE   114.00 C   68,171   -4,024   113.00 P   40,859    +334
SEP18 5Y NOTE   114.25 C   48,270      -15   106.25 P   91,854    UNCH
JUL18 2Y NOTE   106.37 C   94,294     UNCH   105.67 P    8,179    UNCH
SEP18 2Y NOTE   106.80 C    5,000     UNCH   105.75 P    8,830    UNCH
JUL18 EURODLR    97.62 C   93,119  +21,266    97.50 P  113,859  -1,048
SEP18 EURODLR    97.75 C  258,486     -120    97.37 P  483,856    -233  
SEP19 1Y-MIDC    97.37 C  200,440   +1,321    97.12 P  401,684    UNCH
SEP20 2Y-MIDC    97.37 C  197,206     UNCH    97.00 P  369,127 +18,216
SEP21 3Y-MIDC    97.62 C   56,829     UNCH    97.62 P   36,351    UNCH
     NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE
JUL18 10Y NOTE  119.00 C   57,444     -143   119.00 P   94,485 -10,744
JUL18 10Y NOTE  119.50 C   73,503   +2,677   119.50 P   61,323  -1,311
SEP18 10Y NOTE  119.00 C   24,339     UNCH   119.00 P   37,406    +310
SEP18 10Y NOTE  119.50 C   43,588     -295   119.50 P   38,163    +309
JUL18 5Y NOTE   113.00 C   49,843   -2,676   113.00 P   40,859    +334
JUL18 5Y NOTE   113.50 C   47,923   +1,715   113.50 P   35,464     -27
SEP18 5Y NOTE   113.00 C    5,304     UNCH   113.00 P   13,800    UNCH
SEP18 5Y NOTE   113.50 C   23,645     -215   113.50 P   19,052    UNCH
JUL18 2Y NOTE   106.00 C   25,725      +25   106.00 P    2,654    UNCH
JUL18 2Y NOTE   106.12 C   25,400     UNCH   106.12 P      201    UNCH
SEP18 2Y NOTE   106.00 C    1,146     UNCH   106.00 P    3,090    UNCH
SEP18 2Y NOTE   106.12 C       89     UNCH   106.12 P       16    UNCH
JUL18 EURODLR    97.50 C   39,045     +324    97.50 P  113,859  -1,048
JUL18 EURODLR    97.62 C   93,119  +21,266    97.62 P   42,711    UNCH
SEP18 EURODLR    97.75 C  258,486     -120    97.75 P  223,507    +199
SEP18 EURODLR    97.87 C  119,558  +23,399    97.87 P  153,224    +200
SEP19 1Y-MIDC    97.37 C  200,440   +1,321    97.37 P   25,795    UNCH
SEP19 1Y-MIDC    97.50 C  133,331     UNCH    97.50 P  114,324    UNCH
SEP20 2Y-MIDC    97.00 C   74,938   +1,500    97.00 P  369,127 +18,216
SEP20 2Y-MIDC    97.12 C   68,198     -200    97.12 P   70,742    UNCH
SEP21 3Y-MIDC    96.87 C    9,822     UNCH    96.87 P   22,400    UNCH
SEP21 3Y-MIDC    97.00 C   25,704     +250    97.00 P   34,461    UNCH
     PUT/CALL RATIO FOR VOLUME CLEARED:
     JUL18 10Y NOTE PUT/CALL RATIO  -- 0.57 (59,189 PUTS VS. 103,118 CALLS)
SEP18 10Y NOTE PUT/CALL RATIO  -- 0.37 (14,848 PUTS VS. 40,300 CALLS)
JUL18 5Y NOTE PUT/CALL RATIO   -- 0.74 (25,265 PUTS VS. 34,025 CALLS)
SEP18 5Y NOTE PUT/CALL RATIO   -- 0.15 (1,955 PUTS VS. 12,797 CALLS)
JUL18 2Y NOTE PUT/CALL RATIO   -- 1.07 (406 PUTS VS. 378 CALLS)
SEP18 2Y NOTE PUT/CALL RATIO   -- 0.99 (783 PUTS VS. 789 CALLS)
JUL18 EURODLRS PUT/CALL RATIO  -- 0.11 (5,431 PUTS VS. 48,509 CALLS)
SEP18 EURODLRS PUT/CALL RATIO  -- 0.77 (110,003 PUTS VS. 142,052 CALLS)
SEP19 1Y-MIDCRVE PUT/CALL RATIO-- 3.10 (64,250 PUTS VS. 20,750 CALLS)
SEP20 2Y-MIDCRVE PUT/CALL RATIO-- 17.6 (72,900 PUTS VS. 4,150 CALLS)
SEP21 3Y-MIDCRVE PUT/CALL RATIO-- 1.84 (14,250 PUTS VS. 7,750 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         47.37    57.88    58.40    60.48    69.01    73.82
11:00        47.28    58.10    58.26    60.55    68.96    73.72
TUE OPEN     47.03    57.92    58.04    60.34    69.00    73.75
MON 3:00     47.06    57.44    57.71    60.07    69.02    73.87
MON OPEN     47.28    57.39    57.97    60.28    69.00    73.79
FRI 3:00     46.96    56.80    57.59    59.88    69.10    73.90
FRI OPEN     46.94    56.39    57.63    59.94    69.22    73.98
THU 3:00     53.62    66.56    58.86    60.59    69.64    74.18
THU OPEN     49.01    58.16    59.60    61.18    70.02    74.69
WED 3:00     49.41    60.30    60.68    62.04    70.70    75.29
WED OPEN     50.78    60.81    61.53    62.56    70.83    75.29
TUE 3:00     51.39    61.08    61.86    62.87    71.20    75.50
TUE OPEN     52.31    61.82    62.97    64.05    71.72    75.63
--MNI Chicago Bureau; +1 630-698-0154; email: ryan.martin@marketnews.com
[TOPICS: MTABLE,M$U$$$,M$$FI$,MN$FI$]

To read the full story

Close

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.