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Free AccessUS TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JUNE 3
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USN USU TYN TYU FVN FVU EDM EDN
1400 10.94% 10.48% 4.25% 4.18% 2.07% 2.04% 95.45% 90.85%
1230 10.68% 10.41% 4.15% 4.15% 2.03% 2.02% 83.50% 95.20%
1100 10.89% 10.58% 4.26% 4.19% 2.08% 2.07% 88.50% 88.30%
0900 10.65% 10.40% 4.02% 4.05% 1.99% 1.98% 93.35% 92.05%
WED OPEN 10.24% 10.08% 3.92% 3.96% 1.90% 1.94% 96.20% 97.75%
TUE 1500 10.03% 9.83% 3.76% 3.88% 1.84% 1.91% 90.10% 91.45%
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 69,611 +4,608 138.00 P 76,039 +2,146
SEP'20 10Y NOTE 139.00 C 27,610 -4 136.00 P 27,536 -249
JUL'20 5Y NOTE 126.50 C 43,252 -1,507 113.00 P 89,768 UNCH
SEP'20 5Y NOTE 127.25 C 36,982 -25 109.00 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 407,066 +200 98.25 P 619,337 UNCH
JUL'20 EURODLR 99.62 C 169,868 -30 99.50 P 207,735 UNCH
JUN'21 1Y-MIDC 99.75 C 121,492 +120 98.50 P 201,925 UNCH
JUN'22 2Y-MIDC 99.50 C 85,640 UNCH 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 23,781 -14 138.50 P 34,846 -261
JUL'20 10Y NOTE 139.00 C 37,011 -2,078 139.00 P 19,632 +591
SEP'20 10Y NOTE 138.50 C 10,094 UNCH 138.50 P 20,045 +750
SEP'20 10Y NOTE 139.00 C 27,610 -4 139.00 P 26,614 -1,292
JUL'20 5Y NOTE 125.50 C 14,521 +105 125.50 P 12,606 UNCH
JUL'20 5Y NOTE 125.75 C 14,500 -959 125.75 P 4,086 -150
SEP'20 5Y NOTE 125.50 C 15,616 +2,002 125.50 P 9,432 +2,389
SEP'20 5Y NOTE 125.75 C 5,609 +73 125.75 P 640 -25
JUL'20 2Y NOTE 110.25 C 6 UNCH 110.25 P 3,201 +549
JUL'20 2Y NOTE 110.38 C 11,102 UNCH 110.38 P 3,752 UNCH
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 281,231 -300 99.62 P 246,516 UNCH
JUN'20 EURODLR 99.75 C 289,214 -300 99.75 P 7,814 -2
JUL'20 EURODLR 99.62 C 169,868 -30 99.62 P 129,609 UNCH
JUL'20 EURODLR 99.75 C 152,232 +20 99.75 P 77,746 +2
JUN'21 1Y-MIDC 99.75 C 121,492 +120 99.75 P 33,304 +101
JUN'21 1Y-MIDC 99.88 C 35,151 -50 99.88 P 4,375 +50
JUN'22 2Y-MIDC 99.75 C 76,131 UNCH 99.75 P 68,876 UNCH
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 UNCH
JUN'23 3Y-MIDC 99.50 C 14,752 UNCH 99.50 P 16,341 UNCH
PUT/CALL RATIO FOR VOLUME CLEARED:
JUL'20 10Y NOTE PUT/CALL RATIO -- 1.58 (40,296 PUTS VS. 25,453 CALLS)
SEP'20 10Y NOTE PUT/CALL RATIO -- 0.66 (12,672 PUTS VS. 18,116 CALLS)
JUL'20 5Y NOTE PUT/CALL RATIO -- 0.48 (7,065 PUTS VS. 14,827 CALLS)
SEP'20 5Y NOTE PUT/CALL RATIO -- 1.38 (11,083 PUTS VS. 8,634 CALLS)
JUL'20 2Y NOTE PUT/CALL RATIO -- 0.00 (1,200 PUTS VS. 0 CALLS)
SEP'20 2Y NOTE PUT/CALL RATIO -- 0.00 (0 PUTS VS. 160 CALLS)
JUN'20 EURODLRS PUT/CALL RATIO -- 0.00 (3 PUTS VS. 2,708 CALLS)
JUL'20 EURODLRS PUT/CALL RATIO -- 0.50 (22 PUTS VS. 50 CALLS)
JUN'21 1Y-MIDCRVE PUT/CALL RATIO -- 0.17 (201 PUTS VS. 1,154 CALLS)
JUN'22 2Y-MIDCRVE PUT/CALL RATIO -- 0.13 (1,756 PUTS VS. 12,756 CALLS)
JUN'23 3Y-MIDCRVE PUT/CALL RATIO -- 0.00 (0 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
1400 29.40 67.36 46.97 66.21 64.61 60.99
1230 29.38 66.84 46.85 65.87 64.54 60.96
1100 29.27 66.70 46.70 65.83 64.55 60.84
0930 28.87 65.30 46.15 64.95 64.11 60.67
Wed Open 28.45 64.25 45.64 64.25 63.73 60.51
Tue 1500 28.34 63.81 45.40 63.78 63.43 60.41
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.