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Treasury Rally Resumes On Renewed Omicron Fears

     EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
            
            USQ     USU      TYQ     TYU      FVQ     FVU      EDN     EDU
WED OPEN   6.61%   6.94%    3.59%   3.78%    2.48%   2.52%   11.28%   8.85%
TUE 3:00   6.57%   6.92%    3.54%   3.75%    2.40%   2.48%    9.38%   8.81%
TUE OPEN   6.68%   7.01%    3.74%   3.86%    2.47%   2.53%   11.65%   9.79%
MON 3:00   6.72%   7.01%    3.76%   3.88%    2.54%   2.54%    8.83%   8.56%
MON OPEN   6.67%   6.98%    3.69%   3.83%    2.47%   2.49%   11.37%   8.92%
FRI 3:00   6.47%    N/A     3.61%    N/A     2.31%    N/A     7.84%   7.65%    
FRI OPEN   6.57%    N/A     3.73%    N/A     2.40%    N/A     8.57%   8.08%
THU 3:00   6.68%    N/A     3.71%    N/A     2.42%    N/A     7.07%   7.64%
THU OPEN   6.67%    N/A     3.59%    N/A     2.34%    N/A    10.21%   9.13%
WED 3:00   6.53%    N/A     3.62%    N/A     2.31%    N/A     8.65%   8.73%
WED OPEN   6.66%    N/A     3.68%    N/A     2.34%    N/A    10.99%   9.34%
     LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE
AUG18 10Y NOTE  121.00 C  100,892   -1,411   118.50 P   99,928  +8,916
SEP18 10Y NOTE  120.00 C  140,405   +1,381   117.50 P   59,125    +605
AUG18 5Y NOTE   113.75 C   45,865     -613   112.50 P   32,783    -565
SEP18 5Y NOTE   114.25 C   54,947       +1   106.25 P   91,854    UNCH
AUG18 2Y NOTE   106.12 C   44,086     UNCH   105.50 P   37,435    UNCH
SEP18 2Y NOTE   106.80 C    5,000     UNCH   105.75 P    8,830    UNCH
JUL18 EURODLR    97.75 C   92,584     UNCH    97.50 P  113,961    +250
SEP18 EURODLR    97.75 C  345,511   -1,000    97.37 P  491,637    -250
SEP19 1Y-MIDC    97.37 C  210,990   +2,800    97.12 P  418,472  -1,781
SEP20 2Y-MIDC    97.37 C  200,700     UNCH    97.00 P  343,752    -700
SEP21 3Y-MIDC    97.37 C   51,551     UNCH    97.62 P   36,351    UNCH
     NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE
AUG18 10Y NOTE  119.00 C   19,235     UNCH   119.00 P   49,288  +1,138
AUG18 10Y NOTE  119.50 C   34,855     -603   119.50 P   53,231  +1,457
SEP18 10Y NOTE  119.00 C   25,187     +221   119.00 P   38,250    +272
SEP18 10Y NOTE  119.50 C   44,339     -498   119.50 P   41,668    +787
AUG18 5Y NOTE   113.00 C    8,957     -500   113.00 P   17,795    -611
AUG18 5Y NOTE   113.50 C   30,389   +1,572   113.50 P   11,014  +2,207
SEP18 5Y NOTE   113.00 C    6,017     +714   113.00 P   17,277  -1,656
SEP18 5Y NOTE   113.50 C   27,855     -178   113.50 P   24,541    +500
AUG18 2Y NOTE   106.00 C    9,452     UNCH   106.00 P    4,200    UNCH
AUG18 2Y NOTE   106.12 C   44,086     UNCH   106.12 P       15    UNCH
SEP18 2Y NOTE   106.00 C    2,297     UNCH   106.00 P    3,090    UNCH
SEP18 2Y NOTE   106.12 C    2,067     UNCH   106.12 P       16    UNCH
JUL18 EURODLR    97.50 C   39,246     +249    97.50 P  113,961    +250
JUL18 EURODLR    97.62 C   92,127     UNCH    97.62 P   42,836    UNCH
SEP18 EURODLR    97.75 C  345,511   -1,000    97.75 P  223,707    UNCH
SEP18 EURODLR    97.87 C  127,754     UNCH    97.87 P  151,974    -200
SEP19 1Y-MIDC    97.37 C  210,990   +2,800    97.37 P   25,795    UNCH
SEP19 1Y-MIDC    97.50 C  163,744     -100    97.50 P  114,324    UNCH
SEP20 2Y-MIDC    97.00 C   94,517     -243    97.00 P  343,752    -700
SEP20 2Y-MIDC    97.12 C   81,616     UNCH    97.12 P   71,852    UNCH
SEP21 3Y-MIDC    96.87 C    9,822     UNCH    96.87 P   22,262    UNCH
SEP21 3Y-MIDC    97.00 C   27,558     UNCH    97.00 P   34,410    UNCH
     PUT/CALL RATIO FOR VOLUME CLEARED:
     AUG18 10Y NOTE PUT/CALL RATIO  -- 0.61 (74,360 PUTS VS. 121,686 CALLS)
SEP18 10Y NOTE PUT/CALL RATIO  -- 0.64 (34,194 PUTS VS. 53,155 CALLS)
AUG18 5Y NOTE PUT/CALL RATIO   -- 0.61 (19,070 PUTS VS. 31,286 CALLS)
SEP18 5Y NOTE PUT/CALL RATIO   -- 1.89 (14,036 PUTS VS. 7,436 CALLS)
AUG18 2Y NOTE PUT/CALL RATIO   -- 0.20 (172 PUTS VS. 871 CALLS)
SEP18 2Y NOTE PUT/CALL RATIO   -- 0.21 (1,032 PUTS VS. 4,863 CALLS)
JUL18 EURODLRS PUT/CALL RATIO  -- 16.9 (4,251 PUTS VS. 252 CALLS)
SEP18 EURODLRS PUT/CALL RATIO  -- 4.24 (124,080 PUTS VS. 29,280 CALLS)
SEP19 1Y-MIDCRVE PUT/CALL RATIO-- 2.23 (63,350 PUTS VS. 28,400 CALLS)
SEP20 2Y-MIDCRVE PUT/CALL RATIO-- 4.78 (35,600 PUTS VS. 7,450 CALLS)
SEP21 3Y-MIDCRVE PUT/CALL RATIO-- 0.00 (0 PUTS VS. 1,700 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
WED OPEN     48.89    57.01    59.63    61.02    69.57    74.39
TUE 3:00     48.96    57.13    59.70    61.00    69.51    74.35
TUE OPEN     48.97    57.95    59.93    61.57    69.53    74.35
MON 3:00     48.73    57.81    59.93    61.54    69.50    74.32
MON OPEN     48.47    57.51    59.68    61.34    69.45    74.30
FRI 3:00     48.20    57.36    59.22    60.97    69.33    74.30
FRI OPEN     48.36    57.58    59.39    61.23    69.35    74.21
THU 3:00     48.43    57.42    59.52    61.33    69.38    74.23
THU OPEN     48.08    57.32    59.21    61.06    69.25    74.22
WED 3:00     47.73    57.47    58.61    60.57    69.17    74.16
WED OPEN     47.71    58.00    58.62    60.63    69.11    74.01
--MNI Chicago Bureau; +1 630-698-0154; email: ryan.martin@marketnews.com
[TOPICS: MTABLE,M$U$$$,M$$FI$,MN$FI$]