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Free AccessUS 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$]
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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.