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Free AccessUS TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JUN 3
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USN USU TYN TYU FVN FVU EDM EDN
10:45 8.60% 7.75% 5.21% 4.72% 3.72% 3.23% 12.50% 33.05%
9:30 8.82% 7.77% 5.36% 4.75% 3.84% 3.25% 13.45% 32.27%
MON OPEN 9.02% 7.84% 5.70% 4.82% 3.95% 3.30% 12.30% 32.23%
FRI 1500 8.47% 7.65% 5.35% 4.75% 3.68% 3.18% 11.31% 27.41%
FRI OPEN 7.92% 7.15% 4.75% 4.36% 3.38% 2.98% 8.85% 23.88%
THU 1500 7.12% 7.01% 4.32% 4.14% 2.99% 2.83% 6.85% 16.70%
THU OPEN 7.13% 7.00% 4.29% 4.08% 3.00% 2.82% 6.32% 16.38%
WED 1500 7.59% 7.19% 4.53% 4.29% 3.03% 2.87% 7.92% 17.95%
WED OPEN 7.69% 7.31% 4.56% 4.34% 3.07% 2.89% 7.28% 17.50%
TUE 1500 7.05% 6.95% 4.23% 4.14% 2.95% 2.81% 7.10% 16.70%
TUE OPEN 6.65% 6.68% 4.01% 3.90% 2.70% 2.65% 7.41% 15.35%
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
JUL19 10Y NOTE 126.00 C 82,714 -9,078 124.00 P 103,503 +176
SEP19 10Y NOTE 126.00 C 37,159 -2,285 112.00 P 40,173 +7
JUL19 5Y NOTE 117.25 C 58,171 +7,516 116.50 P 78,687 +68,966
SEP19 5Y NOTE 119.00 C 14,617 +27 106.50 P 80,403 UNCH
JUL19 2Y NOTE 107.00 C 8,561 -2,151 106.25 P 14,653 UNCH
SEP19 2Y NOTE 107.12 C 6,098 UNCH 104.12 P 15,023 UNCH
JUN19 EURODLR 97.37 C 364,364 -10 96.75 P 728,209 UNCH
JUL19 EURODLR 97.37 C 206,242 UNCH 97.62 P 170,962 +74,000
JUN19 1Y-MIDC 98.00 C 204,339 -2,495 97.62 P 319,871 UNCH
JUN20 2Y-MIDC 97.75 C 106,325 UNCH 97.50 P 110,368 UNCH
JUN21 3Y-MIDC 97.75 C 94,808 UNCH 97.62 P 80,749 UNCH
NEAREST ATM: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
JUL19 10Y NOTE 126.00 C 82,714 -9,078 126.00 P 21,162 +5,291
JUL19 10Y NOTE 126.50 C 78,759 +8,172 126.50 P 10,065 +9,565
SEP19 10Y NOTE 126.00 C 37,159 -2,285 126.00 P 13,760 +1,006
SEP19 10Y NOTE 126.50 C 12,999 +1,439 126.50 P 2,662 +2,424
JUL19 5Y NOTE 116.75 C 29,385 -297 116.75 P 12,942 +11,127
JUL19 5Y NOTE 117.00 C 42,947 -2,623 117.00 P 14,063 +11,262
SEP19 5Y NOTE 116.75 C 10,315 +568 116.75 P 2,128 +126
SEP19 5Y NOTE 117.00 C 8,093 -399 117.00 P 1,326 -199
JUL19 2Y NOTE 107.00 C 8,561 -2,151 107.00 P 1,359 +250
JUL19 2Y NOTE 107.12 C 3,517 -3,679 107.12 P 80 +30
SEP19 2Y NOTE 107.00 C 133 +91 107.00 P 6,250 UNCH
SEP19 2Y NOTE 107.12 C 6,098 UNCH 107.12 P 144 UNCH
JUN19 EURODLR 97.25 C 243,771 -4,188 97.25 P 316,665 UNCH
JUN19 EURODLR 97.37 C 364,364 -10 97.37 P 255,388 UNCH
JUL19 EURODLR 97.25 C 44,804 -8,951 97.25 P 85,853 UNCH
JUL19 EURODLR 97.37 C 206,242 UNCH 97.37 P 136,207 UNCH
JUN20 1Y-MIDC 97.50 C 69,827 -250 97.50 P 224,220 UNCH
JUN20 1Y-MIDC 97.62 C 98,431 UNCH 97.62 P 319,871 UNCH
JUN21 2Y-MIDC 97.62 C 26,496 UNCH 97.62 P 60,568 UNCH
JUN21 2Y-MIDC 97.75 C 106,325 UNCH 97.75 P 100,992 UNCH
JUN22 3Y-MIDC 97.62 C 27,111 UNCH 97.62 P 80,749 UNCH
JUN22 3Y-MIDC 97.75 C 94,808 UNCH 97.75 P 43,174 UNCH
PUT/CALL RATIO FOR VOLUME CLEARED:
JUN19 10Y NOTE PUT/CALL RATIO -- 0.57 (177,876 PUTS VS. 309,618 CALLS)
JUL19 10Y NOTE PUT/CALL RATIO -- 0.64 (62,367 PUTS VS. 96,468 CALLS)
JUN19 5Y NOTE PUT/CALL RATIO -- 2.76 (282,804 PUTS VS. 102,815 CALLS)
JUL19 5Y NOTE PUT/CALL RATIO -- 0.81 (25,802 PUTS VS. 31,385 CALLS)
JUN19 2Y NOTE PUT/CALL RATIO -- 0.42 (6,384 PUTS VS. 14,877 CALLS)
JUL19 2Y NOTE PUT/CALL RATIO -- 2.21 (12,109 PUTS VS. 5,557 CALLS)
JUN19 EURODLRS PUT/CALL RATIO -- 0.11 (17,268 PUTS VS. 156,130 CALLS)
JUL19 EURODLRS PUT/CALL RATIO -- 0.29 (103,204 PUTS VS. 344,707 CALLS)
JUN20 1Y-MIDCRVE PUT/CALL RATIO -- 0.94 (85,585 PUTS VS. 97,004 CALLS)
JUN21 2Y-MIDCRVE PUT/CALL RATIO -- 2.07 (38,415 PUTS VS. 18,556 CALLS)
JUN22 3Y-MIDCRVE PUT/CALL RATIO -- 0.69 (2,000 PUTS VS. 2,875 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
10:45 81.75 73.70 78.29 71.16 66.83 70.52
9:30 82.53 74.26 78.35 71.03 66.79 70.62
Mon Open 80.50 73.68 78.01 70.77 66.79 70.54
Fri 1500 74.41 73.52 76.97 65.83 65.79 69.45
Fri Open 73.15 72.28 72.99 67.90 64.73 69.30
Thu 1500 68.83 63.47 67.56 62.82 63.41 68.07
Thu Open 69.88 65.06 69.08 64.12 63.90 68.36
Wed 1500 72.39 68.20 71.56 66.31 64.29 69.04
Wed Open 71.12 64.99 70.11 63.71 64.20 68.64
Tue 1500 69.24 62.08 66.65 61.80 63.45 67.49
Tue Open 66.10 60.80 65.60 60.05 62.80 67.45
--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.