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LATEST FROM POLICY: - G10 MarketsG10 Markets
Real-time insight on key fixed income and fx markets.
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Real-time insight of emerging markets in CEMEA, Asia and LatAm region
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Real-time insight of oil & gas markets
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Free AccessUS TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JUN 5
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USN USQ TYN TYQ FVN FVQ EDM EDN
TUE OPEN 7.14% 6.91% 3.91% 3.79% 2.61% 2.47% 14.05% 12.56%
MON 3:00 6.94% 6.98% 4.27% 3.88% 2.59% 2.49% 17.21% 17.76%
MON OPEN 7.15% 7.13% 4.20% 3.91% 2.69% 2.51% 13.98% 14.31%
FRI 3:00 7.21% 7.14% 3.94% 3.84% 2.62% 2.54% 14.74% 13.38%
FRI OPEN 7.37% 7.29% 4.08% 3.86% 2.72% 2.60% 15.90% 14.12%
THU 3:00 7.66% 7.44% 4.34% 4.12% 3.01% 2.76% 15.52% 16.28%
THU OPEN 7.53% 7.40% 4.26% 4.07% 3.96% 2.70% 17.48% 15.69%
WED 3:00 7.74% 7.61% 4.35% 4.16% 3.07% 2.81% 17.22% 16.48%
WED 12:30 7.69% 7.57% 4.24% 4.09% 3.04% 2.75% 17.29% 16.07%
TUE 3:00 8.50% 7.98% 4.60% 4.34% 1.59% 3.01% 17.69% 18.86%
TUE 9:30 7.43% 7.25% 4.15% 3.92% 2.81% 2.57% 15.79% 15.48%
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
JUL18 10Y NOTE 120.00 C 107,045 -1,397 118.00 P 132,760 +4,346
SEP18 10Y NOTE 121.00 C 38,262 +619 117.00 P 50,428 +1,211
JUL18 5Y NOTE 114.00 C 59,389 +14,669 113.00 P 53,603 +5,467
SEP18 5Y NOTE 113.50 C 22,458 +293 106.25 P 91,566 +100
JUL18 2Y NOTE 106.37 C 123,422 +1,610 105.67 P 7,382 UNCH
SEP18 2Y NOTE 106.80 C 5,000 UNCH 106.00 P 11,153 UNCH
JUN18 EURODLR 98.00 C 373,361 UNCH 97.50 P 504,470 +1,625
JUL18 EURODLR 97.75 C 109,499 UNCH 97.37 P 112,164 UNCH
JUN19 1Y-MIDC 98.12 C 219,693 UNCH 97.12 P 380,317 -20,405
JUN20 2Y-MIDC 97.37 C 151,050 UNCH 97.37 P 164,552 UNCH
JUN21 3Y-MIDC 98.00 C 138,150 UNCH 97.25 P 145,831 UNCH
NEAREST ATM: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
JUL18 10Y NOTE 119.00 C 58,720 -422 119.00 P 115,409 +4,646
JUL18 10Y NOTE 119.50 C 71,430 -558 119.50 P 79,559 +1,131
SEP18 10Y NOTE 119.00 C 20,459 -4 119.00 P 29,862 +1,435
SEP18 10Y NOTE 119.50 C 19,092 +1,693 119.50 P 17,414 +1,484
JUL18 5Y NOTE 113.00 C 53,631 -698 113.00 P 53,603 +5,467
JUL18 5Y NOTE 113.50 C 38,272 +1,101 113.50 P 25,509 +3,212
SEP18 5Y NOTE 113.00 C 5,666 +55 113.00 P 7,743 UNCH
SEP18 5Y NOTE 113.50 C 22,458 +293 113.50 P 18,427 +1,619
JUL18 2Y NOTE 106.00 C 1,136 UNCH 106.00 P 2,654 UNCH
JUL18 2Y NOTE 106.12 C 31,407 +750 106.12 P 201 UNCH
SEP18 2Y NOTE 106.00 C 294 UNCH 106.00 P 11,253 UNCH
SEP18 2Y NOTE 106.12 C 0 UNCH 106.12 P 0 UNCH
JUN18 EURODLR 97.75 C 354,604 -52 97.75 P 375,221 +400
JUN18 EURODLR 97.87 C 369,147 UNCH 97.87 P 310,866 -250
JUL18 EURODLR 97.50 C 29,782 -1,925 97.50 P 86,734 UNCH
JUL18 EURODLR 97.62 C 55,920 UNCH 97.62 P 42,984 UNCH
JUN19 1Y-MIDC 97.37 C 164,023 +3,060 97.37 P 220,844 UNCH
JUN19 1Y-MIDC 97.50 C 187,820 UNCH 97.50 P 122,585 UNCH
JUN20 2Y-MIDC 97.00 C 46,762 UNCH 97.00 P 101,138 +1,909
JUN20 2Y-MIDC 97.12 C 79,081 -370 97.12 P 99,459 -750
JUN21 3Y-MIDC 96.87 C 19,811 UNCH 96.87 P 52,474 -1,995
JUN21 3Y-MIDC 97.00 C 62,561 UNCH 97.00 P 69,839 UNCH
PUT/CALL RATIO FOR VOLUME CLEARED:
JUL18 10Y NOTE PUT/CALL RATIO -- 0.53 (84,786 PUTS VS. 161,417 CALLS)
SEP18 10Y NOTE PUT/CALL RATIO -- 1.46 (29,387 PUTS VS. 20,092 CALLS)
JUL18 5Y NOTE PUT/CALL RATIO -- 0.39 (38,533 PUTS VS. 99,501 CALLS)
SEP18 5Y NOTE PUT/CALL RATIO -- 0.89 (16,288 PUTS VS. 18,324 CALLS)
JUL18 2Y NOTE PUT/CALL RATIO -- 0.55 (2,735 PUTS VS. 5,004 CALLS)
SEP18 2Y NOTE PUT/CALL RATIO -- 9.31 (2,831 PUTS VS. 304 CALLS)
JUN18 EURODLRS PUT/CALL RATIO -- 1.26 (19,754 PUTS VS. 15,654 CALLS)
JUL18 EURODLRS PUT/CALL RATIO -- 2.83 (13,002 PUTS VS. 4,600 CALLS)
JUN19 1Y-MIDCRVE PUT/CALL RATIO-- 4.43 (50,750 PUTS VS. 11,450 CALLS)
JUN20 2Y-MIDCRVE PUT/CALL RATIO-- 3.71 (8,725 PUTS VS. 2,350 CALLS)
JUN21 3Y-MIDCRVE PUT/CALL RATIO-- 0.00 (0 PUTS VS. 0 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
TUE OPEN 50.89 58.64 61.53 61.66 70.52 75.05
MON 3:00 50.92 58.81 61.53 61.54 70.66 75.24
MON OPEN 52.93 60.52 63.78 63.55 71.07 75.22
FRI 3:00 51.86 61.11 63.85 63.42 71.17 75.24
FRI OPEN 54.83 63.74 65.73 65.04 71.83 75.52
THU 3:00 54.01 65.92 66.15 65.96 71.40 74.93
THU OPEN 53.92 66.02 65.69 65.17 71.06 74.69
WED 3:00 53.12 68.79 65.95 66.24 70.82 74.30
WED 12:30 52.91 68.40 65.71 66.03 70.80 74.19
TUE 3:00 53.51 69.41 64.58 65.45 70.26 73.66
TUE 9:30 45.85 64.81 59.00 61.80 69.59 73.54
--MNI Chicago Bureau; +1 630-698-0154; email: ryan.martin@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.