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US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JUNE 25

EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
              USN    USU     TYN    TYU     FVN    FVU     EDN     EDU
WED 1500      N/A   9.88%    N/A   3.80%    N/A   1.70%   85.10%  77.95%
WED OPEN    10.50%  9.74%   3.85%  3.75%   1.63%  1.68%   84.45%  74.25%
TUE 1500     9.47%  9.54%   3.92%  3.68%   1.43%  1.64%   83.70%  76.20%
TUE OPEN    10.50%  9.81%   4.05%  3.77%   1.55%  1.65%   91.80%  73.20%
MON 1500    10.00%  9.76%   3.72%  3.67%   1.46%  1.64%   85.02%  73.80%
MON OPEN     9.81%  9.77%   3.55%  3.65%   1.40%  1.64%   83.60%  71.29%
FRI 1500     9.38%  9.82%   3.22%  3.69%   1.30%  1.65%   80.05%  71.55%
FRI OPEN    10.02% 10.07%   3.45%  3.81%   1.44%  1.66%   84.00%  72.30%
THU 1500    10.12% 10.00%   3.40%  3.78%   1.47%  1.67%   89.05%  77.11%
THU OPEN    10.72% 10.31%   3.74%  3.99%   1.55%  1.75%   81.35%  79.10%
LARGEST O/I:      STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE
JUL'20 10Y NOTE  139.00 C  103,192  +47,694   138.00 P   65,052     -825
SEP'20 10Y NOTE  142.00 C   52,992     -500   137.00 P   49,725     +652
JUL'20 5Y NOTE   126.50 C   39,299      -21   113.00 P   89,767     UNCH
SEP'20 5Y NOTE   126.50 C   31,445     +635   125.00 P   19,516   +1,100
JUL'20 2Y NOTE   110.38 C   11,102     UNCH   107.88 P    6,842     UNCH
SEP'20 2Y NOTE   110.50 C   42,726   +1,149   110.12 P    8,494     UNCH
JUL'20 EURODLR    99.62 C  164,335     UNCH    99.50 P  216,106     -209
SEP'20 EURODLR    99.87 C  576,333     -207    98.25 P  667,814     UNCH
SEP'21 1Y-MIDC    99.75 C  145,705   -2,500    98.37 P  111,199     UNCH
SEP'22 2Y-MIDC    99.75 C  119,791     +250    99.25 P   70,674     UNCH
SEP'23 3Y-MIDC    99.62 C   47,836     +600    99.38 P   52,113     +500
NEAREST ATM:      STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE
JUL'20 10Y NOTE  138.50 C   48,759   +1,212   138.50 P   40,327     -488
JUL'20 10Y NOTE  139.00 C  103,192  +47,694   139.00 P   18,867   -5,559
SEP'20 10Y NOTE  138.50 C   19,179     +247   138.50 P   33,226     +284
SEP'20 10Y NOTE  139.00 C   38,945     +650   139.00 P   34,462   +1,547
JUL'20 5Y NOTE   125.25 C   16,025     UNCH   125.25 P   27,873      -47
JUL'20 5Y NOTE   125.50 C   19,265     +155   125.50 P    9,809   -1,850
SEP'20 5Y NOTE   125.25 C   11,573     UNCH   125.25 P    9,475      -94
SEP'20 5Y NOTE   125.50 C   19,536     -116   125.50 P   10,956     -124
JUL'20 2Y NOTE   110.25 C      172     UNCH   110.25 P    4,551     UNCH
JUL'20 2Y NOTE   110.38 C   11,102     UNCH   110.38 P    5,206     UNCH
SEP'20 2Y NOTE   110.12 C       15     UNCH   110.12 P    8,494     UNCH
SEP'20 2Y NOTE   110.25 C       61     UNCH   110.25 P    6,057     -200
JUL'20 EURODLR    99.62 C  164,335     UNCH    99.62 P  134,507     -750
JUL'20 EURODLR    99.75 C  159,538     UNCH    99.75 P   78,061     UNCH
SEP'20 EURODLR    99.62 C  248,297   -3,200    99.62 P  234,740   -3,247
SEP'20 EURODLR    99.75 C  432,383   -5,408    99.75 P   46,871     +500
SEP'21 1Y-MIDC    99.75 C  145,705   -2,500    99.75 P   57,797     UNCH
SEP'21 1Y-MIDC    99.88 C  106,774     UNCH    99.88 P   30,360     UNCH
SEP'22 2Y-MIDC    99.62 C   54,180     UNCH    99.62 P   61,631   -1,107
SEP'22 2Y-MIDC    99.75 C  119,791     +250    99.75 P   43,539   -1,216
SEP'23 3Y-MIDC    99.50 C   30,058     UNCH    99.50 P   34,202     +250
SEP'23 3Y-MIDC    99.62 C   47,836     +600    99.62 P   19,291     UNCH
PUT/CALL RATIO FOR VOLUME CLEARED:
JUL'20 10Y NOTE PUT/CALL RATIO   -- 0.25 (51,088 PUTS VS. 199,686 CALLS)
SEP'20 10Y NOTE PUT/CALL RATIO   -- 0.75 (12,718 PUTS VS. 16,214 CALLS)
JUL'20 5Y NOTE PUT/CALL RATIO    -- 0.85 (12,402 PUTS VS. 14,707 CALLS)
SEP'20 5Y NOTE PUT/CALL RATIO    -- 2.62 (16,895 PUTS VS. 6,431 CALLS)
JUL'20 2Y NOTE PUT/CALL RATIO    -- 0.00 (0 PUTS VS. 0 CALLS)
SEP'20 2Y NOTE PUT/CALL RATIO    -- 2.00 (4,200 PUTS VS. 2,097 CALLS)
JUL'20 EURODLRS PUT/CALL RATIO   -- 0.27 (1,500 PUTS VS. 5,504 CALLS)
SEP'20 EURODLRS PUT/CALL RATIO   -- 0.24 (16,012 PUTS VS. 66,877 CALLS)
SEP'21 1Y-MIDCRVE PUT/CALL RATIO -- 0.13 (1,550 PUTS VS. 11,605 CALLS)
SEP'22 2Y-MIDCRVE PUT/CALL RATIO -- 1.40 (42,938 PUTS VS. 30,097 CALLS)
SEP'23 3Y-MIDCRVE PUT/CALL RATIO -- 1.45 (1,650 PUTS VS. 1,100 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    24.05   65.95    42.53    67.00     65.31     61.73
Wed Open    23.76   64.98    42.18    66.23     65.14     61.69
Tue 1500    23.80   64.87    41.86    65.83     64.99     61.60
Tue Open    23.95   65.29    42.05    66.29     64.99     61.83
Mon 1500    23.93   65.16    42.08    66.08     64.80     61.75
Mon Open    24.09   65.10    42.01    66.15     64.75     61.70
Fri 1500    24.17   64.54    42.10    66.17     64.90     61.74
Fri Open    24.77   65.62    43.07    67.66     65.48     62.06
Thu 1500    25.15   66.51    44.09    69.25     65.63     62.17
Thu Open    25.84   69.55    45.41    70.15     65.94     62.35
--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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