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Free AccessUS TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JUN 27
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USQ USU TYQ TYU FVQ FVU EDN EDU
10:30 7.10% 7.20% 4.43% 4.38% 3.08% 2.95% 31.63% 27.78%
THU OPEN 7.15% 7.15% 4.39% 4.28% 3.08% 2.95% 31.19% 28.68%
WED 1500 7.17% 7.19% 4.44% 4.39% 3.10% 3.00% 33.20% 28.56%
WED OPEN 7.51% 7.60% 4.59% 4.52% 3.21% 3.10% 35.85% 29.60%
TUE 1500 7.52% 7.63% 4.64% 4.54% 3.25% 3.11% 36.36% 29.70%
TUE OPEN 7.41% 7.42% 4.57% 4.41% 3.18% 3.04% 37.77% 31.03%
MON 1500 7.40% 7.36% 4.54% 4.40% 3.20% 3.02% 39.01% 31.10%
MON OPEN 7.09% 7.15% 4.40% 4.27% 3.08% 2.96% 37.60% 29.85%
FRI 1500 N/A 7.15% N/A 4.23% N/A 2.94% 34.50% 29.12%
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%
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
AUG19 10Y NOTE 133.00 C 109,649 UNCH 121.50 P 92,023 +106
SEP19 10Y NOTE 128.00 C 51,419 +1,230 121.00 P 130,215 +22
AUG19 5Y NOTE 119.00 C 81,448 +6,946 113.25 P 127,079 UNCH
SEP19 5Y NOTE 119.00 C 41,719 +118 106.50 P 80,409 +6
AUG19 2Y NOTE 108.00 C 5,107 +2,180 105.50 P 50,500 UNCH
SEP19 2Y NOTE 108.25 C 8,128 +750 107.00 P 23,060 UNCH
JUL19 EURODLR 98.00 C 218,280 -6,372 97.75 P 190,059 +1,200
SEP19 EURODLR 98.25 C 804,917 +2,669 97.50 P 808,667 -2
SEP20 1Y-MIDC 98.12 C 142,859 UNCH 97.75 P 172,897 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 55,580 UNCH
NEAREST ATM: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
AUG19 10Y NOTE 127.50 C 38,727 +312 127.50 P 30,090 +114
AUG19 10Y NOTE 128.00 C 58,305 +4,088 128.00 P 18,580 +3,002
SEP19 10Y NOTE 127.50 C 22,794 +306 127.50 P 24,003 +474
SEP19 10Y NOTE 128.00 C 51,419 +1,230 128.00 P 16,312 +1,951
AUG19 5Y NOTE 118.00 C 29,102 +736 118.00 P 9,097 +1,915
AUG19 5Y NOTE 118.25 C 16,049 +328 118.25 P 7,875 -120
SEP19 5Y NOTE 118.00 C 16,901 +323 118.00 P 7,785 +81
SEP19 5Y NOTE 118.25 C 12,748 +1,837 118.25 P 9,195 +2,000
AUG19 2Y NOTE 107.50 C 1,425 UNCH 107.50 P 3,239 UNCH
AUG19 2Y NOTE 107.62 C 5,833 +3,836 107.62 P 6,700 +3,925
SEP19 2Y NOTE 107.50 C 2,231 UNCH 107.50 P 5,171 +100
SEP19 2Y NOTE 107.62 C 555 UNCH 107.62 P 1,026 UNCH
JUL19 EURODLR 97.87 C 178,600 -2,966 97.87 P 167,931 +1,032
JUL19 EURODLR 98.00 C 218,280 -6,372 98.00 P 80,541 UNCH
SEP19 EURODLR 97.87 C 513,137 -1 97.87 P 127,047 +1,817
SEP19 EURODLR 98.00 C 387,472 -21,868 98.00 P 43,101 +2,400
SEP20 1Y-MIDC 98.37 C 78,525 UNCH 98.37 P 41,386 UNCH
SEP20 1Y-MIDC 98.50 C 111,694 -951 98.50 P 21,312 +5,550
SEP21 2Y-MIDC 98.37 C 52,614 UNCH 98.37 P 14,429 +10
SEP21 2Y-MIDC 98.50 C 21,700 +1,050 98.50 P 11,185 +3,010
SEP22 3Y-MIDC 98.25 C 106,784 +2,500 98.25 P 13,357 UNCH
SEP22 3Y-MIDC 98.37 C 6,975 UNCH 98.37 P 1,150 UNCH
PUT/CALL RATIO FOR VOLUME CLEARED:
AUG19 10Y NOTE PUT/CALL RATIO -- 1.42 (96,880 PUTS VS. 67,951 CALLS)
SEP19 10Y NOTE PUT/CALL RATIO -- 1.25 (58,136 PUTS VS. 46,390 CALLS)
AUG19 5Y NOTE PUT/CALL RATIO -- 1.92 (66,890 PUTS VS. 34,752 CALLS)
SEP19 5Y NOTE PUT/CALL RATIO -- 1.44 (21,372 PUTS VS. 14,719 CALLS)
AUG19 2Y NOTE PUT/CALL RATIO -- 1.87 (17,863 PUTS VS. 9,507 CALLS)
SEP19 2Y NOTE PUT/CALL RATIO -- 5.22 (9,472 PUTS VS. 1,893 CALLS)
JUL19 EURODLRS PUT/CALL RATIO -- 0.22 (36,017 PUTS VS. 157,508 CALLS)
SEP19 EURODLRS PUT/CALL RATIO -- 0.27 (109,242 PUTS VS. 391,860 CALLS)
JUN20 1Y-MIDCRVE PUT/CALL RATIO -- 1.88 (43,190 PUTS VS. 22,903 CALLS)
JUN21 2Y-MIDCRVE PUT/CALL RATIO -- 1.05 (3,280 PUTS VS. 3,125 CALLS)
JUN22 3Y-MIDCRVE PUT/CALL RATIO -- 0.18 (1,840 PUTS VS. 9,500 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
10:30 80.50 65.73 75.32 66.84 63.06 66.21
Thu Open 80.53 66.02 75.48 67.01 63.22 66.25
Wed 1500 82.28 68.40 76.53 67.84 63.43 66.55
Wed Open 85.80 71.32 79.45 69.27 63.61 66.60
Tue 1500 85.79 71.34 79.56 69.29 63.58 66.55
Tue Open 85.35 70.81 77.99 68.10 63.03 66.29
Mon 1500 84.76 70.96 77.69 67.95 63.01 66.35
Mon Open 84.26 69.47 76.47 66.75 62.93 66.31
Fri 1500 83.84 68.47 75.29 66.37 63.25 66.64
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
--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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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.