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Free AccessUS TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JUNE 5
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USN USU TYN TYU FVN FVU EDM EDN
FRI OPEN 11.05% 10.39% 4.60% 4.38% 2.12% 2.08% N/A 94.55%
THU 1500 10.93% 10.44% 4.40% 4.34% 2.09% 2.07% N/A 87.25%
THU OPEN 10.92% 10.30% 4.33% 4.18% 2.08% 2.03% 111.10% 97.85%
WED 1500 11.11% 10.56% 4.30% 4.18% 2.10% 2.05% 95.85% 92.20%
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 64,571 -2,630 138.00 P 73,621 -2,260
SEP'20 10Y NOTE 139.00 C 30,082 +1,819 136.00 P 32,256 +1,453
JUL'20 5Y NOTE 126.50 C 41,937 -386 113.00 P 89,768 UNCH
SEP'20 5Y NOTE 127.00 C 33,435 -3,304 109.00 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 UNCH 98.25 P 619,337 UNCH
JUL'20 EURODLR 99.62 C 169,869 +1 99.50 P 207,735 UNCH
JUN'21 1Y-MIDC 99.75 C 120,492 UNCH 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 57,248 +500 99.25 P 28,539 UNCH
NEAREST ATM: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
JUL'20 10Y NOTE 137.50 C 255 -32 137.50 P 52,271 +994
JUL'20 10Y NOTE 138.00 C 5,666 +1,125 138.00 P 73,621 -2,260
SEP'20 10Y NOTE 137.50 C 698 +600 137.50 P 9,062 -988
SEP'20 10Y NOTE 138.00 C 5,975 +105 138.00 P 14,457 +2,536
JUL'20 5Y NOTE 125.00 C 2,012 +220 125.00 P 27,506 +8,804
JUL'20 5Y NOTE 125.25 C 9,976 +1,820 125.25 P 22,936 +21
SEP'20 5Y NOTE 125.00 C 2,037 +1,026 125.00 P 4,123 +1,654
SEP'20 5Y NOTE 125.25 C 2,726 -88 125.25 P 5,509 -118
JUL'20 2Y NOTE 110.25 C 6 UNCH 110.25 P 3,706 +101
JUL'20 2Y NOTE 110.38 C 11,102 UNCH 110.38 P 3,532 -53
SEP'20 2Y NOTE 110.12 C 1 UNCH 110.12 P 10 UNCH
SEP'20 2Y NOTE 110.25 C 6 UNCH 110.25 P 1,095 UNCH
JUN'20 EURODLR 99.62 C 283,117 +186 99.62 P 247,516 UNCH
JUN'20 EURODLR 99.75 C 289,616 +200 99.75 P 7,811 UNCH
JUL'20 EURODLR 99.62 C 169,869 +1 99.62 P 130,109 UNCH
JUL'20 EURODLR 99.75 C 153,926 -99 99.75 P 78,244 UNCH
JUN'21 1Y-MIDC 99.75 C 120,492 UNCH 99.75 P 33,955 -100
JUN'21 1Y-MIDC 99.88 C 33,151 -2,000 99.88 P 4,425 +50
JUN'22 2Y-MIDC 99.75 C 74,314 UNCH 99.75 P 69,798 -1,488
JUN'22 2Y-MIDC 99.88 C 21,811 +100 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 18,591 +2,250
PUT/CALL RATIO FOR VOLUME CLEARED:
JUL'20 10Y NOTE PUT/CALL RATIO -- 2.10 (158,530 PUTS VS. 75,165 CALLS)
SEP'20 10Y NOTE PUT/CALL RATIO -- 2.43 (92,259 PUTS VS. 37,993 CALLS)
JUL'20 5Y NOTE PUT/CALL RATIO -- 1.99 (46,855 PUTS VS. 23,516 CALLS)
SEP'20 5Y NOTE PUT/CALL RATIO -- 1.07 (39,861 PUTS VS. 37,044 CALLS)
JUL'20 2Y NOTE PUT/CALL RATIO -- 0.00 (335 PUTS VS. 0 CALLS)
SEP'20 2Y NOTE PUT/CALL RATIO -- 0.00 (0 PUTS VS. 0 CALLS)
JUN'20 EURODLRS PUT/CALL RATIO -- 0.00 (0 PUTS VS. 2,678 CALLS)
JUL'20 EURODLRS PUT/CALL RATIO -- 0.04 (380 PUTS VS. 9112 CALLS)
JUN'21 1Y-MIDCRVE PUT/CALL RATIO -- 23.3 (100 PUTS VS. 2,338 CALLS)
JUN'22 2Y-MIDCRVE PUT/CALL RATIO -- 12.3 (40,851 PUTS VS. 3,301 CALLS)
JUN'23 3Y-MIDCRVE PUT/CALL RATIO -- 3.12 (6,250 PUTS VS. 500 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
Fri Open 29.75 72.52 48.98 69.47 66.29 61.95
Thu 1500 29.61 70.51 49.15 69.05 65.73 61.82
Thu Open 29.43 68.60 47.82 67.23 64.98 61.16
Wed 1500 29.56 68.27 47.31 66.73 64.88 61.04
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.