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US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JUN 7
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USN USQ TYN TYQ FVN FVQ EDM EDN
THU OPEN 7.48% 7.28% 4.02% 3.88% 2.57% 2.54% 10.46% 12.97%
WED 3:00 7.63% 7.15% 4.16% 3.89% 2.72% 2.53% 12.00% 13.25%
WED OPEN 7.27% 6.97% 3.96% 3.82% 2.62% 2.45% 11.38% 13.19%
TUE 3:00 6.97% 6.90% 3.80% 3.76% 2.71% 2.45% 13.32% 12.60%
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%
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
JUL18 10Y NOTE 120.00 C 101,999 -2,325 118.00 P 128,339 -4,044
SEP18 10Y NOTE 121.00 C 39,230 +849 117.00 P 50,355 -73
JUL18 5Y NOTE 114.00 C 54,453 -7,360 113.00 P 56,355 +2,985
SEP18 5Y NOTE 113.50 C 22,194 +146 106.25 P 91,578 UNCH
JUL18 2Y NOTE 106.37 C 124,944 +200 105.67 P 8,465 UNCH
SEP18 2Y NOTE 106.80 C 5,000 UNCH 106.00 P 11,253 -100
JUN18 EURODLR 98.00 C 373,361 UNCH 97.50 P 504,470 UNCH
JUL18 EURODLR 97.75 C 108,549 UNCH 97.37 P 112,864 UNCH
JUN19 1Y-MIDC 98.12 C 219,693 UNCH 97.00 P 360,918 +4,725
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 58,392 -146 119.00 P 111,867 -18,734
JUL18 10Y NOTE 119.50 C 76,322 +4,685 119.50 P 80,847 -3,031
SEP18 10Y NOTE 119.00 C 20,574 +16 119.00 P 30,028 +166
SEP18 10Y NOTE 119.50 C 21,135 +1,408 119.50 P 18,359 +945
JUL18 5Y NOTE 113.00 C 53,545 +577 113.00 P 56,355 +2,985
JUL18 5Y NOTE 113.50 C 45,599 +5,564 113.50 P 23,627 -597
SEP18 5Y NOTE 113.00 C 5,716 +50 113.00 P 7,904 +61
SEP18 5Y NOTE 113.50 C 22,194 +146 113.50 P 18,564 +138
JUL18 2Y NOTE 106.00 C 1,166 UNCH 106.00 P 2,654 UNCH
JUL18 2Y NOTE 106.12 C 31,406 -6 106.12 P 201 UNCH
SEP18 2Y NOTE 106.00 C 494 UNCH 106.00 P 11,253 -100
SEP18 2Y NOTE 106.12 C 65 +65 106.12 P 0 UNCH
JUN18 EURODLR 97.75 C 353,204 -900 97.75 P 373,740 -1,480
JUN18 EURODLR 97.87 C 369,147 UNCH 97.87 P 307,096 UNCH
JUL18 EURODLR 97.50 C 38,605 +142 97.50 P 92,259 +900
JUL18 EURODLR 97.62 C 74,522 +2,352 97.62 P 42,984 UNCH
JUN19 1Y-MIDC 97.37 C 169,374 UNCH 97.37 P 220,467 -377
JUN19 1Y-MIDC 97.50 C 187,820 UNCH 97.50 P 122,585 UNCH
JUN20 2Y-MIDC 97.00 C 47,812 +50 97.00 P 104,638 -1,000
JUN20 2Y-MIDC 97.12 C 79,771 +650 97.12 P 99,459 UNCH
JUN21 3Y-MIDC 96.87 C 19,811 UNCH 96.87 P 47,614 -4,860
JUN21 3Y-MIDC 97.00 C 62,461 UNCH 97.00 P 70,586 UNCH
PUT/CALL RATIO FOR VOLUME CLEARED:
JUL18 10Y NOTE PUT/CALL RATIO -- 1.13 (136,117 PUTS VS. 120,589 CALLS)
SEP18 10Y NOTE PUT/CALL RATIO -- 1.89 (59,788 PUTS VS. 31,657 CALLS)
JUL18 5Y NOTE PUT/CALL RATIO -- 0.46 (23,502 PUTS VS. 51,478 CALLS)
SEP18 5Y NOTE PUT/CALL RATIO -- 0.78 (32,090 PUTS VS. 40,956 CALLS)
JUL18 2Y NOTE PUT/CALL RATIO -- 0.41 (255 PUTS VS. 618 CALLS)
SEP18 2Y NOTE PUT/CALL RATIO -- 52.3 (12,661 PUTS VS. 242 CALLS)
JUN18 EURODLRS PUT/CALL RATIO -- 0.70 (20,450 PUTS VS. 29,396 CALLS)
JUL18 EURODLRS PUT/CALL RATIO -- 0.09 (1,500 PUTS VS. 17,500 CALLS)
JUN19 1Y-MIDCRVE PUT/CALL RATIO-- 3.13 (81,159 PUTS VS. 25,900 CALLS)
JUN20 2Y-MIDCRVE PUT/CALL RATIO-- 6.51 (24,100 PUTS VS. 3,700 CALLS)
JUN21 3Y-MIDCRVE PUT/CALL RATIO-- 0.00 (5,000 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
THU OPEN 50.53 59.57 61.87 62.34 70.73 75.36
WED 3:00 50.29 59.43 61.56 62.00 70.59 75.34
WED OPEN 50.07 58.69 61.09 61.47 70.39 75.26
TUE 3:00 50.29 58.64 61.45 61.87 70.47 75.23
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
--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.