Free Trial

US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JUN 20

     EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
            USN     USQ      TYN     TYQ     FVN     FVQ      EDN     EDU
3:00       7.65%   6.53%    3.98%   3.62%   2.58%   2.31%    8.65%   8.73%
11:00      7.40%   6.66%    4.13%   3.64%   2.56%   2.32%   10.80%   9.54%
WED OPEN   7.98%   6.66%    4.00%   3.68%   2.56%   2.34%   10.99%   9.34%
TUE 3:00   7.82%   6.76%    4.29%   3.68%   3.04%   2.42%    9.86%  10.37%
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
     LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE
JUL18 10Y NOTE  121.00 C  108,814   -3,538   118.00 P  159,976    UNCH
SEP18 10Y NOTE  120.00 C  125,740   +1,070   117.50 P   58,488      +6
JUL18 5Y NOTE   114.00 C   68,169       -2   113.00 P   43,702  +2,843
SEP18 5Y NOTE   114.25 C   48,370     +100   106.25 P   91,854    UNCH
JUL18 2Y NOTE   106.37 C   94,294     UNCH   105.67 P    8,035    UNCH
SEP18 2Y NOTE   106.80 C    5,000     UNCH   105.75 P    8,830    UNCH
JUL18 EURODLR    97.62 C   93,119     UNCH    97.50 P  113,961    +102
SEP18 EURODLR    97.75 C  265,481   +7,995    97.37 P  484,066    +210  
SEP19 1Y-MIDC    97.37 C  204,840   +4,400    97.12 P  425,434 +23,750
SEP20 2Y-MIDC    97.37 C  200,700   +3,494    97.00 P  377,571  +8,444
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   56,791     -527   119.00 P   92,969 -10,744
JUL18 10Y NOTE  119.50 C   72,675     -828   119.50 P   59,863  -1,460
SEP18 10Y NOTE  119.00 C   24,469     +130   119.00 P   36,944    -462
SEP18 10Y NOTE  119.50 C   43,439     -149   119.50 P   39,640  +1,477
JUL18 5Y NOTE   113.00 C   49,518     -325   113.00 P   43,702  +2,843
JUL18 5Y NOTE   113.50 C   48,301     +378   113.50 P   40,229  +4,765
SEP18 5Y NOTE   113.00 C    5,205     UNCH   113.00 P   16,769  +2,969
SEP18 5Y NOTE   113.50 C   24,978   +1,333   113.50 P   21,582  +2,530
JUL18 2Y NOTE   106.00 C   25,725     UNCH   106.00 P    2,654    UNCH
JUL18 2Y NOTE   106.12 C   25,400     -150   106.12 P      201    UNCH
SEP18 2Y NOTE   106.00 C    1,954     +808   106.00 P    3,090    UNCH
SEP18 2Y NOTE   106.12 C       89     UNCH   106.12 P       16    UNCH
JUL18 EURODLR    97.50 C   38,995      -50    97.50 P  113,961    +102
JUL18 EURODLR    97.62 C   93,119     UNCH    97.62 P   42,711    UNCH
SEP18 EURODLR    97.75 C  265,481   +7,995    97.75 P  223,507    UNCH
SEP18 EURODLR    97.87 C  122,658   +3,100    97.87 P  153,224    UNCH
SEP19 1Y-MIDC    97.37 C  204,840   +4,400    97.37 P   25,795    UNCH
SEP19 1Y-MIDC    97.50 C  132,491     -840    97.50 P  114,324    UNCH
SEP20 2Y-MIDC    97.00 C   75,004      +66    97.00 P  377,571  +8,444
SEP20 2Y-MIDC    97.12 C   81,141  +12,943    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   25,579     -125    97.00 P   34,439     -22
     PUT/CALL RATIO FOR VOLUME CLEARED:
     JUL18 10Y NOTE PUT/CALL RATIO  -- 0.41 (70,209 PUTS VS. 172,273 CALLS)
SEP18 10Y NOTE PUT/CALL RATIO  -- 1.68 (71,860 PUTS VS. 42,707 CALLS)
JUL18 5Y NOTE PUT/CALL RATIO   -- 0.54 (22,819 PUTS VS. 42,485 CALLS)
SEP18 5Y NOTE PUT/CALL RATIO   -- 1.34 (11,932 PUTS VS. 8,926 CALLS)
JUL18 2Y NOTE PUT/CALL RATIO   -- 0.04 (31 PUTS VS. 748 CALLS)
SEP18 2Y NOTE PUT/CALL RATIO   -- 0.40 (575 PUTS VS. 1,453 CALLS)
JUL18 EURODLRS PUT/CALL RATIO  -- 1.01 (403 PUTS VS. 400 CALLS)
SEP18 EURODLRS PUT/CALL RATIO  -- 1.60 (54,521 PUTS VS. 34,165 CALLS)
SEP19 1Y-MIDCRVE PUT/CALL RATIO-- 4.03 (99,250 PUTS VS. 24,600 CALLS)
SEP20 2Y-MIDCRVE PUT/CALL RATIO-- 1.25 (43,250 PUTS VS. 34,550 CALLS)
SEP21 3Y-MIDCRVE PUT/CALL RATIO-- 0.00 (12,200 PUTS VS. 12,200 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         47.73    57.47    58.61    60.57    69.17    74.16
11:00        47.59    57.58    58.53    60.47    69.12    74.03
WED OPEN     47.71    58.00    58.62    60.63    69.11    74.01
TUE 3:00     47.37    57.88    58.40    60.48    69.01    73.82
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
--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.