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Free AccessUS TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JUNE 26
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USN USU TYN TYU FVN FVU EDN EDU
THU 1500 N/A 9.74% N/A 3.68% N/A 1.67% 76.35% 63.70%
THU OPEN N/A 10.01% N/A 3.81% N/A 1.72% 73.90% 69.65%
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%
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
JUL'20 10Y NOTE 139.00 C 85,445 -17,747 138.00 P 64,737 -315
SEP'20 10Y NOTE 142.00 C 53,787 +795 137.00 P 57,509 +7,884
JUL'20 5Y NOTE 126.50 C 39,283 -16 113.00 P 89,767 UNCH
SEP'20 5Y NOTE 126.50 C 31,516 +71 125.00 P 21,309 +1,793
JUL'20 2Y NOTE 110.38 C 11,102 UNCH 107.88 P 6,842 UNCH
SEP'20 2Y NOTE 110.50 C 43,108 +292 110.12 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 574,283 -2,050 98.25 P 667,814 UNCH
SEP'21 1Y-MIDC 99.75 C 145,705 UNCH 98.37 P 111,199 UNCH
SEP'22 2Y-MIDC 99.75 C 118,366 -1,425 99.00 P 64,118 -950
SEP'23 3Y-MIDC 99.62 C 47,836 UNCH 99.38 P 52,355 +242
NEAREST ATM: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
JUL'20 10Y NOTE 138.50 C 44,401 -4,358 138.50 P 43,384 +3,058
JUL'20 10Y NOTE 139.00 C 85,445 -17,747 139.00 P 21,229 +2,362
SEP'20 10Y NOTE 138.50 C 19,314 +135 138.50 P 33,726 +500
SEP'20 10Y NOTE 139.00 C 38,443 -502 139.00 P 34,861 +399
JUL'20 5Y NOTE 125.25 C 15,689 -336 125.25 P 27,345 -528
JUL'20 5Y NOTE 125.50 C 18,470 -795 125.50 P 9,464 -345
SEP'20 5Y NOTE 125.25 C 11,573 UNCH 125.25 P 10,921 +1,446
SEP'20 5Y NOTE 125.50 C 20,975 +1,439 125.50 P 12,696 +1,740
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 UNCH
JUL'20 EURODLR 99.62 C 164,335 UNCH 99.62 P 134,506 -1
JUL'20 EURODLR 99.75 C 159,338 -200 99.75 P 78,061 UNCH
SEP'20 EURODLR 99.62 C 248,597 +300 99.62 P 234,741 +1
SEP'20 EURODLR 99.75 C 432,405 +22 99.75 P 46,871 UNCH
SEP'21 1Y-MIDC 99.75 C 145,705 UNCH 99.75 P 57,797 UNCH
SEP'21 1Y-MIDC 99.88 C 107,874 +1,100 99.88 P 30,360 UNCH
SEP'22 2Y-MIDC 99.62 C 54,180 UNCH 99.62 P 61,631 UNCH
SEP'22 2Y-MIDC 99.75 C 118,366 -1,425 99.75 P 42,857 -682
SEP'23 3Y-MIDC 99.50 C 30,058 UNCH 99.50 P 35,093 +891
SEP'23 3Y-MIDC 99.62 C 47,836 UNCH 99.62 P 18,791 -500
PUT/CALL RATIO FOR VOLUME CLEARED:
JUL'20 10Y NOTE PUT/CALL RATIO -- 0.62 (55,578 PUTS VS. 88,681 CALLS)
SEP'20 10Y NOTE PUT/CALL RATIO -- 3.29 (56,321 PUTS VS. 17,896 CALLS)
JUL'20 5Y NOTE PUT/CALL RATIO -- 0.47 (2,872 PUTS VS. 5,901 CALLS)
SEP'20 5Y NOTE PUT/CALL RATIO -- 4.89 (31,332 PUTS VS. 6,434 CALLS)
JUL'20 2Y NOTE PUT/CALL RATIO -- 0.00 (0 PUTS VS. 0 CALLS)
SEP'20 2Y NOTE PUT/CALL RATIO -- 0.02 (11 PUTS VS. 506 CALLS)
JUL'20 EURODLRS PUT/CALL RATIO -- 0.52 (2,702 PUTS VS. 5,200 CALLS)
SEP'20 EURODLRS PUT/CALL RATIO -- 0.11 (8,547 PUTS VS. 75,681 CALLS)
SEP'21 1Y-MIDCRVE PUT/CALL RATIO -- 1.03 (6,066 PUTS VS. 5,812 CALLS)
SEP'22 2Y-MIDCRVE PUT/CALL RATIO -- 4.83 (29,700 PUTS VS. 6,732 CALLS)
SEP'23 3Y-MIDCRVE PUT/CALL RATIO -- 0.00 (5,170 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
Thu 1500 23.67 62.53 42.72 67.19 65.76 62.07
Thu Open 24.09 63.94 42.80 67.16 65.53 61.80
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
--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.