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Free AccessUS TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JUNE 2
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USN USU TYN TYU FVN FVU EDM EDN
TUE 1500 10.03% 9.83% 3.76% 3.88% 1.84% 1.91% 90.10% 91.45%
1345 10.09% 9.91% 3.79% 3.92% 1.85% 1.92% 89.40% 94.15%
1130 9.84% 9.64% 3.75% 3.82% 1.88% 1.92% 85.50% 93.70%
0930 9.81% 9.56% 3.74% 3.82% 1.89% 1.90% 87.55% 96.80%
TUE OPEN 9.80% 9.54% 3.73% 3.82% 1.87% 1.92% 94.50% 91.10%
MON 1500 10.10% 9.71% 3.80% 3.83% 1.95% 1.94% 93.20% 94.60%
MON OPEN 10.03% 9.71% 3.85% 3.88% 1.87% 1.88% 99.05% 91.20%
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
JUL'20 10Y NOTE 140.00 C 65,003 +6,068 138.00 P 73,893 +1,718
SEP'20 10Y NOTE 139.00 C 27,614 +682 139.00 P 27,906 +803
JUL'20 5Y NOTE 126.50 C 44,759 -540 113.00 P 89,768 UNCH
SEP'20 5Y NOTE 127.25 C 37,007 -349 109.00 P 18,886 UNCH
JUL'20 2Y NOTE 110.38 C 11,102 UNCH 107.88 P 6,842 UNCH
SEP'20 2Y NOTE 111.00 C 2,191 UNCH 110.00 P 3,311 UNCH
JUN'20 EURODLR 99.50 C 406,866 +201 98.25 P 619,337 UNCH
JUL'20 EURODLR 99.62 C 169,898 UNCH 99.50 P 207,735 -250
JUN'21 1Y-MIDC 99.75 C 121,372 UNCH 98.50 P 201,925 UNCH
JUN'22 2Y-MIDC 99.62 C 85,763 +200 99.37 P 110,686 UNCH
JUN'23 3Y-MIDC 99.62 C 56,748 UNCH 99.25 P 28,539 UNCH
NEAREST ATM: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
JUL'20 10Y NOTE 138.50 C 23,795 -33 138.50 P 35,107 +667
JUL'20 10Y NOTE 139.00 C 39,089 -798 139.00 P 19,041 -419
SEP'20 10Y NOTE 139.00 C 27,614 +682 139.00 P 27,906 +803
SEP'20 10Y NOTE 139.50 C 9,644 +158 139.50 P 1,517 UNCH
JUL'20 5Y NOTE 125.50 C 14,416 -196 125.50 P 12,606 +832
JUL'20 5Y NOTE 125.75 C 15,459 UNCH 125.75 P 4,236 UNCH
SEP'20 5Y NOTE 125.50 C 13,614 +1,783 125.50 P 7,043 +2,129
SEP'20 5Y NOTE 125.75 C 5,536 +678 125.75 P 665 UNCH
JUL'20 2Y NOTE 110.25 C 6 UNCH 110.25 P 2,652 +96
JUL'20 2Y NOTE 110.38 C 11,102 UNCH 110.38 P 3,752 +125
SEP'20 2Y NOTE 110.12 C 1 UNCH 110.12 P 10 UNCH
SEP'20 2Y NOTE 110.25 C 4 UNCH 110.25 P 1,095 UNCH
JUN'20 EURODLR 99.62 C 281,531 +1,500 99.62 P 246,516 +125
JUN'20 EURODLR 99.75 C 289,514 -985 99.75 P 7,816 +1,123
JUL'20 EURODLR 99.62 C 169,898 UNCH 99.62 P 129,609 UNCH
JUL'20 EURODLR 99.75 C 152,212 -1,150 99.75 P 77,744 UNCH
JUN'21 1Y-MIDC 99.75 C 121,372 UNCH 99.75 P 33,203 +100
JUN'21 1Y-MIDC 99.88 C 35,201 UNCH 99.88 P 4,325 UNCH
JUN'22 2Y-MIDC 99.75 C 76,131 UNCH 99.75 P 68,876 +5,000
JUN'22 2Y-MIDC 99.88 C 21,506 +200 99.88 P 0 UNCH
JUN'23 3Y-MIDC 99.38 C 32,298 UNCH 99.38 P 17,813 -68
JUN'23 3Y-MIDC 99.50 C 14,752 UNCH 99.50 P 16,341 +129
PUT/CALL RATIO FOR VOLUME CLEARED:
JUL'20 10Y NOTE PUT/CALL RATIO -- 2.53 (50,598 PUTS VS. 19,987 CALLS)
SEP'20 10Y NOTE PUT/CALL RATIO -- 1.46 (13,369 PUTS VS. 9,081 CALLS)
JUL'20 5Y NOTE PUT/CALL RATIO -- 0.47 (5,112 PUTS VS. 10,811 CALLS)
SEP'20 5Y NOTE PUT/CALL RATIO -- 0.99 (7,198 PUTS VS. 7,556 CALLS)
JUL'20 2Y NOTE PUT/CALL RATIO -- 28.4 (824 PUTS VS. 29 CALLS)
SEP'20 2Y NOTE PUT/CALL RATIO -- 0.00 (0 PUTS VS. 300 CALLS)
JUN'20 EURODLRS PUT/CALL RATIO -- 0.45 (3,010 PUTS VS. 6,522 CALLS)
JUL'20 EURODLRS PUT/CALL RATIO -- 1.00 (2,200 PUTS VS. 2,200 CALLS)
JUN'21 1Y-MIDCRVE PUT/CALL RATIO -- 0.25 (100 PUTS VS. 400 CALLS)
JUN'22 2Y-MIDCRVE PUT/CALL RATIO -- 6.50 (5,200 PUTS VS. 800 CALLS)
JUN'23 3Y-MIDCRVE PUT/CALL RATIO -- 0.00 (992 PUTS VS. 0 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
Tue 1500 28.34 63.81 45.40 63.78 63.43 60.41
1345 28.43 63.43 45.37 63.54 63.22 60.30
1130 28.63 63.26 45.36 63.35 63.06 60.26
0930 28.58 62.53 45.91 63.18 62.95 60.11
Tue Open 28.55 62.23 45.87 63.14 62.86 60.06
Mon 1500 28.17 62.12 45.66 62.58 62.90 59.97
Mon Open 28.33 61.93 45.21 61.93 62.80 60.05
--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.