Free Trial

US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JUN 21

EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
            USN    USU     TYN    TYU     FVN    FVU     EDN     EDU
FRI OPEN    N/A   7.17%    N/A   4.19%    N/A   2.85%   31.65%  27.15%
THU 1500   8.82%  7.27%   4.18%  4.33%   3.14%  2.93%   34.42%  27.89%
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   73,326     -809   124.00 P   98,522      -50
SEP19 10Y NOTE  128.00 C   36,276   +5,896   121.00 P  130,193   -1,072
JUL19 5Y NOTE   117.25 C   49,065   -4,900   116.50 P   87,604     UNCH
SEP19 5Y NOTE   119.00 C   17,622   +2,069   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    7,895       +1   107.00 P   26,308   +2,446
JUL19 EURODLR    98.00 C  233,093   +4,082    97.62 P  177,616     -750
SEP19 EURODLR    98.25 C  569,604  -33,000    97.50 P  807,793     -265
SEP20 1Y-MIDC    98.12 C  142,859     UNCH    97.75 P  175,397     UNCH
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   58,410     -249   128.00 P   10,790   +5,547
JUL19 10Y NOTE  128.50 C   22,783     +336   128.50 P      206       +2
SEP19 10Y NOTE  128.00 C   36,276   +5,896   128.00 P   10,724   +5,792
SEP19 10Y NOTE  128.50 C   27,749   +8,819   128.50 P      735     +309
JUL19 5Y NOTE   118.25 C   14,976     +338   118.25 P    1,427   +1,264
JUL19 5Y NOTE   118.50 C   14,945     -441   118.50 P       87       +2
SEP19 5Y NOTE   118.25 C    7,370   +1,502   118.25 P    1,834   +1,500
SEP19 5Y NOTE   118.50 C    8,729   +1,092   118.50 P    2,346      +60
JUL19 2Y NOTE   107.38 C    2,545     UNCH   107.38 P    3,834      -44
JUL19 2Y NOTE   107.50 C    4,863     +170   107.50 P    2,848     UNCH
SEP19 2Y NOTE   107.38 C    1,354     UNCH   107.38 P    1,080       +4
SEP19 2Y NOTE   107.50 C    2,236   +1,685   107.50 P    2,361   +1,878
JUL19 EURODLR    97.87 C  199,440  -34,332    97.87 P   91,131     -677
JUL19 EURODLR    98.00 C  233,093   +4,082    98.00 P   67,930  +45,245
SEP19 EURODLR    97.87 C  513,338      -27    97.87 P  122,043  +13,035
SEP19 EURODLR    98.00 C  404,954   +2,123    98.00 P   35,101   +4,860
SEP20 1Y-MIDC    98.37 C   85,865  -14,106    98.37 P   40,386   -5,244
SEP20 1Y-MIDC    98.50 C  107,074   +3,660    98.50 P    5,664   +4,698
SEP21 2Y-MIDC    98.37 C   52,491     UNCH    98.37 P   13,814     +250
SEP21 2Y-MIDC    98.50 C   20,393     UNCH    98.50 P      175     UNCH
SEP22 3Y-MIDC    98.25 C  100,000     UNCH    98.25 P   10,814   +4,020
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   -- 0.56 (85,173 PUTS VS. 150,069 CALLS)
SEP19 10Y NOTE PUT/CALL RATIO   -- 2.53 (243,389 PUTS VS. 96,091 CALLS)
JUL19 5Y NOTE PUT/CALL RATIO    -- 0.42 (15,259 PUTS VS. 35,940 CALLS)
SEP19 5Y NOTE PUT/CALL RATIO    -- 0.51 (13,513 PUTS VS. 26,479 CALLS)
JUL19 2Y NOTE PUT/CALL RATIO    -- 0.71 (3,752 PUTS VS. 5,284 CALLS)
SEP19 2Y NOTE PUT/CALL RATIO    -- 1.38 (6,951 PUTS VS. 5,061 CALLS)
JUL19 EURODLRS PUT/CALL RATIO   -- 0.64 (137,253 PUTS VS. 212,150 CALLS)
SEP19 EURODLRS PUT/CALL RATIO   -- 0.21 (113,731 PUTS VS. 517,261 CALLS)
JUN20 1Y-MIDCRVE PUT/CALL RATIO -- 0.93 (139,062 PUTS VS. 148,900 CALLS)
JUN21 2Y-MIDCRVE PUT/CALL RATIO -- 1.26 (6,500 PUTS VS. 5,250 CALLS)
JUN22 3Y-MIDCRVE PUT/CALL RATIO -- 20.2 (16,240 PUTS VS. 850 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 Open    82.85    66.11    73.52    65.08    63.21     66.71
Thu 1500    85.19    66.77    76.41    66.43    63.52     66.76
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$]

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.