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

EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
            USN    USU     TYN    TYU     FVN    FVU     EDN     EDU
THU 1500   8.82%  7.27%   4.18%  4.33%   3.14%  2.93%   34.42%  27.89%
1145       9.27%  7.53%   5.52%  4.43%   3.30%  3.00%   38.70%  29.90%
THU OPEN   9.31%  7.55%   5.59%  4.40%   3.27%  3.01%   35.55%  28.99%
WED 1500   9.34%  7.30%   5.55%  4.16%   3.19%  2.97%   29.80%  25.60%
WED OPEN  12.22%  7.82%   7.90%  4.52%   5.83%  3.09%   34.40%  27.35%
TUE 1500  10.58%  7.73%   7.01%  4.59%   5.30%  3.10%   33.68%  28.07%
TUE OPEN  11.17%  8.17%   7.00%  4.82%   5.25%  3.29%   38.20%  30.80%
MON 1500   9.85%  7.90%   6.37%  4.65%   4.64%  3.15%   37.02%  30.38%
MON OPEN   9.83%  7.83%   6.35%  4.65%   4.67%  3.18%   38.60%  30.33%
LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE
JUL19 10Y NOTE  126.00 C   74,133      +29   124.00 P   98,572   -1,648
SEP19 10Y NOTE  126.00 C   35,186     +303   121.00 P  131,265     +988
JUL19 5Y NOTE   117.25 C   53,965      -63   116.50 P   87,604     +418
SEP19 5Y NOTE   117.75 C   16,863     +170   106.50 P   80,403     UNCH
JUL19 2Y NOTE   107.00 C    8,592     UNCH   106.25 P   14,653     UNCH
SEP19 2Y NOTE   107.75 C    7,894      +50   107.00 P   23,862     +284
JUL19 EURODLR    97.87 C  233,772  +12,909    97.75 P  182,970   -1,842
SEP19 EURODLR    98.25 C  602,604   -1,000    97.50 P  808,058   -3,596
SEP20 1Y-MIDC    98.12 C  142,859     UNCH    97.75 P  175,397  +25,362
SEP21 2Y-MIDC    98.12 C   96,800     UNCH    97.12 P   74,826     UNCH
SEP22 3Y-MIDC    98.00 C  125,307     UNCH    97.50 P   57,763     UNCH
NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE
JUL19 10Y NOTE  128.00 C   58,659   -4,023   128.00 P    5,243     +485
JUL19 10Y NOTE  128.50 C   22,447   -2,315   128.50 P      204       -1
SEP19 10Y NOTE  128.00 C   30,380   +1,470   128.00 P    4,932   +3,297
SEP19 10Y NOTE  128.50 C   18,930     +184   128.50 P      426       +6
JUL19 5Y NOTE   118.25 C   14,838     +744   118.25 P      363     +301
JUL19 5Y NOTE   118.50 C   15,395   +1,781   118.50 P       85       +1
SEP19 5Y NOTE   118.25 C    5,868     +236   118.25 P      334       +5
SEP19 5Y NOTE   118.50 C    7,637      -19   118.50 P    2,286     UNCH
JUL19 2Y NOTE   107.38 C    2,545   -1,545   107.38 P    3,878   +1,103
JUL19 2Y NOTE   107.50 C    4,992     -621   107.50 P    2,848     UNCH
SEP19 2Y NOTE   107.38 C    1,354     +223   107.38 P    1,076       +1
SEP19 2Y NOTE   107.50 C      551     UNCH   107.50 P      483     UNCH
JUL19 EURODLR    97.87 C  233,772  +12,909    97.87 P   91,808   -9,721
JUL19 EURODLR    98.00 C  229,011   -8,241    98.00 P   22,685   -1,382
SEP19 EURODLR    97.87 C  513,365  -18,973    97.87 P  109,008     -871
SEP19 EURODLR    98.00 C  402,831   -2,600    98.00 P   30,241     -210
SEP20 1Y-MIDC    98.37 C   99,971   -1,279    98.37 P   45,630     -124
SEP20 1Y-MIDC    98.50 C  103,414   +7,193    98.50 P   44,036   -2,140
SEP21 2Y-MIDC    98.37 C   52,491   +2,150    98.37 P   13,564     UNCH
SEP21 2Y-MIDC    98.50 C   20,393   +2,846    98.50 P      175     UNCH
SEP22 3Y-MIDC    98.25 C  100,000     UNCH    98.25 P    6,794     UNCH
SEP22 3Y-MIDC    98.37 C    6,225     UNCH    98.37 P      300     UNCH
PUT/CALL RATIO FOR VOLUME CLEARED:
JUL19 10Y NOTE PUT/CALL RATIO   -- 1.55 (193,083 PUTS VS. 124,565 CALLS)
SEP19 10Y NOTE PUT/CALL RATIO   -- 4.60 (281,456 PUTS VS. 61,302 CALLS)
JUL19 5Y NOTE PUT/CALL RATIO    -- 0.51 (63,811 PUTS VS. 127,289 CALLS)
SEP19 5Y NOTE PUT/CALL RATIO    -- 2.66 (36,856 PUTS VS. 13,820 CALLS)
JUL19 2Y NOTE PUT/CALL RATIO    -- 0.86 (12,799 PUTS VS. 14,838 CALLS)
SEP19 2Y NOTE PUT/CALL RATIO    -- 7.04 (6,055 PUTS VS. 860 CALLS)
JUL19 EURODLRS PUT/CALL RATIO   -- 0.55 (151,687 PUTS VS. 273,975 CALLS)
SEP19 EURODLRS PUT/CALL RATIO   -- 0.91 (162,981 PUTS VS. 177,560 CALLS)
JUN20 1Y-MIDCRVE PUT/CALL RATIO -- 7.60 (213,753 PUTS VS. 28,266 CALLS)
JUN21 2Y-MIDCRVE PUT/CALL RATIO -- 0.26 (7,000 PUTS VS. 26,000 CALLS)
JUN22 3Y-MIDCRVE PUT/CALL RATIO -- 1.01 (12,206 PUTS VS. 12,050 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 1500    85.19    66.77    76.41    66.43    63.52     66.76
1145        83.76    66.39    74.35    65.99    63.30     66.49
Thu Open    84.52    68.21    75.33    66.27    63.81     66.77
Wed 1500    85.81    70.94    76.81    67.02    64.30     67.05
Wed Open    89.16    73.55    78.86    68.84    65.12     67.42
Tue 1500    89.15    73.03    78.77    68.80    65.29     67.63
Tue Open    90.56    72.91    80.38    69.85    65.96     68.28
Mon 1500    88.47    71.84    78.39    68.70    65.80     68.10
Mon Open    92.26    72.74    79.56    69.24    66.68     68.78
--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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