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Free AccessUS TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR MAR 11
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USJ USM TYJ TYM FVJ FVM EDH EDJ
MON 3:00 5.92% 6.00% 3.28% 3.36% 2.12% 2.23% N/A 6.56%
12:15 5.93% 6.01% 3.24% 3.37% 2.12% 2.23% N/A 6.06%
10:45 5.98% 6.07% 3.35% 3.37% 2.18% 2.27% N/A 6.38%
9:15 6.11% 6.13% 3.46% 3.45% 2.22% 2.30% N/A 6.22%
MON OPEN 6.13% 6.12% 3.38% 3.43% 2.22% 2.28% 7.60% 6.90%
FRI 3:00 5.57% 6.05% 3.26% 3.38% 2.06% 2.25% 6.81% 6.58%
FRI OPEN 5.77% 6.03% 3.20% 3.43% 2.14% 2.25% 7.10% 6.59%
WED 3:00 5.96% 6.12% 3.27% 3.41% 2.13% 2.24% 6.77% 6.98%
WED OPEN 6.15% 6.29% 3.31% 3.45% 2.15% 2.25% 7.56% 7.35%
TUE 3:00 6.19% 6.32% 3.34% 3.49% 2.12% 2.27% 7.23% 7.42%
TUE OPEN 6.32% 6.43% 3.40% 3.56% 2.24% 2.31% 7.60% 7.43%
MON 3:00 6.29% 6.43% 3.42% 3.54% 2.20% 2.32% 7.40% 7.15%
MON OPEN 6.50% 6.49% 3.55% 3.61% 2.34% 2.33% 8.37% 7.31%
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
APR19 10Y NOTE 122.50 C 80,745 +320 121.00 P 132,567 -3,680
JUN19 10Y NOTE 124.00 C 22,700 +226 121.50 P 50,560 +302
APR19 5Y NOTE 115.50 C 44,055 +3,368 114.25 P 49,600 +7,359
JUN19 5Y NOTE 116.25 C 16,494 -9 108.25 P 151,557 UNCH
APR19 2Y NOTE 106.25 C 5,877 +594 105.88 P 6,607 -401
JUN19 2Y NOTE 106.00 C 4,246 -339 105.25 P 35,000 UNCH
MAR19 EURODLR 97.25 C 322,453 UNCH 97.00 P 886,549 UNCH
APR19 EURODLR 97.37 C 139,128 -100 97.25 P 70,761 -1,000
MAR19 1Y-MIDC 97.37 C 133,190 -500 96.62 P 789,236 -1,000
MAR20 2Y-MIDC 97.62 C 83,778 -1,057 96.62 P 220,789 UNCH
MAR21 3Y-MIDC 97.75 C 52,860 +28,463 97.00 P 64,925 UNCH
NEAREST ATM: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
APR19 10Y NOTE 122.00 C 30,214 -828 122.00 P 78,576 +17,566
APR19 10Y NOTE 122.50 C 80,745 +320 122.50 P 41,767 +845
JUN19 10Y NOTE 122.00 C 22,383 -946 122.00 P 29,653 -2,438
JUN19 10Y NOTE 122.50 C 17,330 +91 122.50 P 20,405 -376
APR19 5Y NOTE 114.50 C 13,971 -105 114.50 P 39,744 -2,620
APR19 5Y NOTE 114.75 C 27,179 -58 114.75 P 19,093 +2,893
JUN19 5Y NOTE 114.50 C 11,230 UNCH 114.50 P 11,793 -2,096
JUN19 5Y NOTE 114.75 C 11,014 +138 114.75 P 36,522 +166
APR19 2Y NOTE 106.00 C 1,626 +96 106.00 P 4,718 +2
APR19 2Y NOTE 106.12 C 5,385 +2 106.12 P 3,540 -38
JUN19 2Y NOTE 106.00 C 4,246 -339 106.00 P 28,506 +2,000
JUN19 2Y NOTE 106.12 C 2,113 UNCH 106.12 P 12,103 +1,000
MAR19 EURODLR 97.25 C 322,453 UNCH 97.25 P 318,126 UNCH
MAR19 EURODLR 97.37 C 294,008 +250 97.37 P 166,227 +3,635
APR19 EURODLR 97.25 C 75,473 UNCH 97.25 P 70,761 -1,000
APR19 EURODLR 97.37 C 139,128 -100 97.37 P 35,839 -700
MAR20 1Y-MIDC 97.37 C 133,190 -500 97.37 P 129,175 -2,484
MAR20 1Y-MIDC 97.50 C 115,222 +9,251 97.50 P 39,658 +1,400
MAR21 2Y-MIDC 97.50 C 80,177 UNCH 97.50 P 68,133 +150
MAR21 2Y-MIDC 97.62 C 83,778 -1,057 97.62 P 28,589 +2,557
MAR22 3Y-MIDC 97.50 C 37,955 -250 97.50 P 21,957 +2,000
MAR22 3Y-MIDC 97.62 C 52,356 +1,869 97.62 P 6,845 +1,120
PUT/CALL RATIO FOR VOLUME CLEARED:
APR19 10Y NOTE PUT/CALL RATIO -- 1.06 (173,000 PUTS VS. 163,540 CALLS)
JUN19 10Y NOTE PUT/CALL RATIO -- 0.93 (30,479 PUTS VS. 32,624 CALLS)
APR19 5Y NOTE PUT/CALL RATIO -- 0.75 (29,635 PUTS VS. 39,307 CALLS)
JUN19 5Y NOTE PUT/CALL RATIO -- 1.24 (27,491 PUTS VS. 22,127 CALLS)
MAR19 2Y NOTE PUT/CALL RATIO -- 0.93 (1,545 PUTS VS. 1,667 CALLS)
APR19 2Y NOTE PUT/CALL RATIO -- 2.22 (6,030 PUTS VS. 2,699 CALLS)
MAR19 EURODLRS PUT/CALL RATIO -- 3.52 (6,004 PUTS VS. 1,750 CALLS)
APR19 EURODLRS PUT/CALL RATIO -- 0.14 (3,500 PUTS VS. 23,600 CALLS)
MAR20 1Y-MIDCRVE PUT/CALL RATIO -- 0.73 (23,193 PUTS VS. 31,450 CALLS)
MAR21 2Y-MIDCRVE PUT/CALL RATIO -- 4.12 (13,209 PUTS VS. 3,200 CALLS)
MAR22 3Y-MIDCRVE PUT/CALL RATIO -- 0.55 (8,100 PUTS VS. 14,600 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
Mon 3:00 43.52 49.50 52.23 52.06 62.24 68.67
12:15 43.93 49.61 52.55 52.37 62.54 69.00
10:45 43.98 49.45 52.55 52.37 62.60 69.10
9:15 44.25 49.52 52.68 52.52 62.74 69.22
Mon Open 44.23 49.47 52.72 52.57 62.71 69.19
Fri 3:00 44.11 48.90 52.38 52.23 62.79 69.11
Fri Open 44.25 49.65 52.66 52.81 62.99 69.11
Wed 3:00 43.92 49.57 52.65 52.77 63.07 69.25
Wed Open 44.10 50.33 52.90 53.03 63.20 69.30
Tue 3:00 44.29 51.74 53.36 53.56 63.42 69.58
Tue Open 44.62 52.26 53.66 53.87 63.62 69.70
Mon 3:00 44.57 51.84 53.70 53.75 63.47 69.60
Mon Open 44.84 51.97 54.08 54.10 64.03 70.02
--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.