Free Trial

US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JUN 4

EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
             USN    USU     TYN    TYU     FVN    FVU     EDM     EDN
1330        8.12%  7.62%   5.00%  4.62%   3.63%  3.22%   14.20%  34.57%
1145        8.53%  7.69%   5.09%  4.69%   3.67%  3.24%   14.03%  34.11%
0945        8.39%  7.74%   5.16%  4.72%   3.71%  3.25%   13.97%  32.98%
TUE OPEN    8.53%  7.80%   5.25%  4.74%   3.77%  3.40%   13.65%  32.91%
Mon 1500    8.68%  7.83%   5.20%  4.76%   3.79%  3.29%   11.30%  35.95%
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   84,409   +1,422   124.00 P  101,183  -2,593
SEP19 10Y NOTE  126.00 C   35,271   -1,888   112.00 P   51,532 +11,359
JUL19 5Y NOTE   117.25 C   57,501     -670   116.50 P   79,349    +662
SEP19 5Y NOTE   119.00 C   14,734     +117   106.50 P   80,403    UNCH
JUL19 2Y NOTE   107.00 C    8,581      +20   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  364,765     +401    96.75 P  728,209    UNCH
JUL19 EURODLR    97.37 C  205,742     -500    97.50 P  161,950  +5,031
JUN19 1Y-MIDC    98.00 C  204,689     +350    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  127.00 C   53,867   -3,146   127.00 P    7,400  +5,025
JUL19 10Y NOTE  127.50 C   54,620   +8,898   127.50 P    1,602  +1,423
SEP19 10Y NOTE  127.00 C   20,528   +2,609   127.00 P    5,720  +4,883
SEP19 10Y NOTE  127.50 C   15,645   +5,747   127.50 P    1,372      -8
JUL19 5Y NOTE   117.50 C   21,528   -1,302   117.50 P      683    +624
JUL19 5Y NOTE   117.75 C   29,712   +9,516   117.75 P      281    +223
SEP19 5Y NOTE   117.50 C    9,269     +119   117.50 P    4,000  +1,000
SEP19 5Y NOTE   117.75 C    6,978   +3,615   117.75 P    4,000  +3,907
JUL19 2Y NOTE   107.38 C    5,814     UNCH   107.38 P      504    +504
JUL19 2Y NOTE   107.50 C      790     UNCH   107.50 P        0    UNCH
SEP19 2Y NOTE   107.38 C      134       +5   107.38 P      101    UNCH
SEP19 2Y NOTE   107.50 C        5       +5   107.50 P        0    UNCH
JUN19 EURODLR    97.25 C  243,771     UNCH    97.25 P  316,665    UNCH
JUN19 EURODLR    97.37 C  364,765     +401    97.37 P  255,638    +250
JUL19 EURODLR    97.25 C   44,804     UNCH    97.25 P   85,862      +9
JUL19 EURODLR    97.37 C  205,742     -500    97.37 P  144,872  +4,500
JUN20 1Y-MIDC    97.50 C   69,827     UNCH    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   -- 1.19 (233,282 PUTS VS. 195,319 CALLS)
JUL19 10Y NOTE PUT/CALL RATIO   -- 1.02 (100,660 PUTS VS. 89,525 CALLS)
JUN19 5Y NOTE PUT/CALL RATIO    -- 1.97 (132,522 PUTS VS. 67,573 CALLS)
JUL19 5Y NOTE PUT/CALL RATIO    -- 0.81 (47,469 PUTS VS. 37,187 CALLS)
JUN19 2Y NOTE PUT/CALL RATIO    -- 1.27 (10,801 PUTS VS. 3,496 CALLS)
JUL19 2Y NOTE PUT/CALL RATIO    -- 1.23 (8,381 PUTS VS. 6,712 CALLS)
JUN19 EURODLRS PUT/CALL RATIO   -- 0.06 (12,439 PUTS VS. 197,593 CALLS)
JUL19 EURODLRS PUT/CALL RATIO   -- 0.69 (288,732 PUTS VS. 416,223 CALLS)
JUN20 1Y-MIDCRVE PUT/CALL RATIO -- 2.12 (105,769 PUTS VS. 31,450 CALLS)
JUN21 2Y-MIDCRVE PUT/CALL RATIO -- 0.60 (7,050 PUTS VS. 11,500 CALLS)
JUN22 3Y-MIDCRVE PUT/CALL RATIO -- 0.04 (1,700 PUTS VS. 34,972 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
1330        84.03    73.42    76.99    68.56    65.74     69.94
1145        83.91    73.41    77.21    69.71    65.98     70.03
0945        83.72    73.40    77.57    70.16    66.13     70.29
Tue Open    84.03    74.48    77.80    71.02    66.31     70.47
Mon 1500    82.22    73.77    78.32    70.04    66.06     69.80
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$]

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.