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US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JUNE 18

EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
              USN    USU     TYN    TYU     FVN    FVU     EDN     EDU
WED 1500    10.80% 10.45%   3.85%  4.02%   1.61%  1.79%   85.40%  80.05%
WED OPEN    11.00% 10.79%   3.97%  4.20%   1.67%  1.86%   84.75%  76.15%
TUE 1500    11.27% 11.00%   4.13%  4.30%   1.77%  1.94%   93.25%  83.30%
TUE OPEN    11.75% 11.05%   3.36%  4.34%   1.91%  1.93%   88.55%  75.25%
MON 1500    10.11% 10.62%   3.78%  4.17%   1.66%  1.87%   93.90%  82.30%
MON OPEN    10.58% 10.55%   3.97%  4.22%   1.73%  1.89%   75.05%  82.05%
FRI 1500     9.75% 10.35%   3.67%  4.17%   1.55%  1.86%   91.20%   N/A
FRI OPEN     9.50% 10.02%   3.90%  4.15%   1.60%  1.88%   78.80%   N/A
THU 1500     9.75% 10.05%   3.96%  4.15%   1.75%  1.88%   79.95%   N/A
THU OPEN     8.78%  9.40%   3.58%  3.89%   1.58%  1.76%   81.80%   N/A
LARGEST O/I:      STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE
JUL'20 10Y NOTE  139.50 C  112,016      +72   137.00 P   62,907   -1,815
SEP'20 10Y NOTE  142.00 C   47,766   +2,663   136.00 P   37,743   +2,921
JUL'20 5Y NOTE   126.50 C   39,700     UNCH   113.00 P   89,767     UNCH
SEP'20 5Y NOTE   126.50 C   30,549   +2,256   109.00 P   18,886     UNCH
JUL'20 2Y NOTE   110.38 C   11,102     UNCH   107.88 P    6,842     UNCH
SEP'20 2Y NOTE   110.50 C   11,973     +473   110.00 P    6,011   +2,700
JUL'20 EURODLR    99.62 C  164,336     UNCH    99.50 P  216,315     UNCH
SEP'20 EURODLR    99.87 C  570,649   -1,851    98.25 P  667,814     UNCH
SEP'21 1Y-MIDC    99.75 C  126,824     UNCH    98.37 P  111,199     UNCH
SEP'22 2Y-MIDC    99.75 C  119,041     -400    99.25 P   70,674     UNCH
SEP'23 3Y-MIDC    99.62 C   47,018     UNCH    99.38 P   47,899     -100
NEAREST ATM:      STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE
JUL'20 10Y NOTE  138.50 C   49,082  +26,008   138.50 P   39,200   +2,217
JUL'20 10Y NOTE  139.00 C   54,812   +1,047   139.00 P   24,047   +1,005
SEP'20 10Y NOTE  138.50 C   16,428   +3,386   138.50 P   27,299   +4,788
SEP'20 10Y NOTE  139.00 C   37,405   +3,929   139.00 P   32,274     UNCH
JUL'20 5Y NOTE   125.25 C   18,864     -124   125.25 P   27,045     +978
JUL'20 5Y NOTE   125.50 C   21,104     +549   125.50 P   11,829     +319
SEP'20 5Y NOTE   125.25 C   11,053     UNCH   125.25 P    9,134     UNCH
SEP'20 5Y NOTE   125.50 C   16,005     -124   125.50 P    8,273     -261
JUL'20 2Y NOTE   110.25 C        6     UNCH   110.25 P    4,701     +100
JUL'20 2Y NOTE   110.38 C   11,102     UNCH   110.38 P    3,662     UNCH
SEP'20 2Y NOTE   110.12 C       13       +3   110.12 P       10       -2
SEP'20 2Y NOTE   110.25 C       53     UNCH   110.25 P    3,853   +2,715
JUL'20 EURODLR    99.62 C  164,336     UNCH    99.62 P  137,205     UNCH
JUL'20 EURODLR    99.75 C  159,538     +226    99.75 P   78,059     UNCH
SEP'20 EURODLR    99.62 C  250,629     +250    99.62 P  236,947     +303
SEP'20 EURODLR    99.75 C  442,986     +928    99.75 P   49,677     UNCH
SEP'21 1Y-MIDC    99.75 C  126,824     UNCH    99.75 P   56,976     UNCH
SEP'21 1Y-MIDC    99.88 C   79,108     UNCH    99.88 P   30,360     UNCH
SEP'22 2Y-MIDC    99.62 C   54,473     UNCH    99.62 P   58,453     +242
SEP'22 2Y-MIDC    99.75 C  119,041     -400    99.75 P   45,215     +100
SEP'23 3Y-MIDC    99.50 C   28,358     UNCH    99.50 P   30,633   +6,422
SEP'23 3Y-MIDC    99.62 C   47,018     UNCH    99.62 P   18,791     UNCH
PUT/CALL RATIO FOR VOLUME CLEARED:
JUL'20 10Y NOTE PUT/CALL RATIO   -- 2.01 (54,782 PUTS VS. 27,524 CALLS)
SEP'20 10Y NOTE PUT/CALL RATIO   -- 1.76 (44,447 PUTS VS. 25,003 CALLS)
JUL'20 5Y NOTE PUT/CALL RATIO    -- 2.02 (7,765 PUTS VS. 3,838 CALLS)
SEP'20 5Y NOTE PUT/CALL RATIO    -- 2.70 (10,087 PUTS VS. 3,699 CALLS)
JUL'20 2Y NOTE PUT/CALL RATIO    -- 0.00 (100 PUTS VS. 0 CALLS)
SEP'20 2Y NOTE PUT/CALL RATIO    -- 6.77 (6,109 PUTS VS. 922 CALLS)
JUL'20 EURODLRS PUT/CALL RATIO   -- 0.00 (0 PUTS VS. 2,274 CALLS)
SEP'20 EURODLRS PUT/CALL RATIO   -- 0.29 (6,062 PUTS VS. 20,179 CALLS)
SEP'21 1Y-MIDCRVE PUT/CALL RATIO -- 2.08 (5,000 PUTS VS. 2,400 CALLS)
SEP'22 2Y-MIDCRVE PUT/CALL RATIO -- 2.85 (24,300 PUTS VS. 8,500 CALLS)
SEP'23 3Y-MIDCRVE PUT/CALL RATIO -- 6.61 (13,988 PUTS VS. 2,100 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
Wed 1500    25.80   71.31    45.55    70.13     66.00     62.32
Wed Open    26.26   73.52    47.11    72.10     66.41     62.56
Tue 1500    26.74   74.44    47.34    71.87     66.41     62.62
Tue Open    26.09   71.02    46.09    69.75     66.13     62.59
Mon 1500    26.11   70.80    45.94    69.51     65.97     61.91
Mon Open    27.03   70.06    46.15    69.48     65.68     61.91
Fri 1500    26.01   68.19    45.49    68.26     65.36     61.84
Fri Open    25.80   66.91    45.60    67.00     64.95     61.57
Thu 1500    26.98   67.72    46.55    67.76     64.50     61.45
Thu Open    27.11   66.15    46.00    65.91     64.07     61.11
--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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