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Free AccessUS TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR MAR 14
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USJ USM TYJ TYM FVJ FVM EDH EDJ
12:30 5.98% 6.13% 3.20% 3.39% 2.10% 2.24% N/A 6.10%
10:00 5.89% 6.10% 3.24% 3.37% 2.10% 2.23% N/A 6.13%
THU OPEN 5.85% 6.07% 3.26% 3.36% 2.10% 2.23% N/A 6.20%
WED 3:00 5.85% 6.07% 3.26% 3.36% 2.10% 2.23% N/A 6.20%
WED OPEN 5.98% 6.00% 3.26% 3.32% 2.14% 2.22% N/A 5.95%
TUE 3:00 5.97% 5.99% 3.33% 3.31% 2.15% 2.18% N/A 6.05%
TUE OPEN 6.08% 6.01% 3.33% 3.35% 2.23% 2.23% N/A 6.37%
MON 3:00 5.92% 6.00% 3.28% 3.36% 2.12% 2.23% N/A 6.56%
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%
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
APR19 10Y NOTE 123.00 C 84,572 +3,128 121.00 P 133,407 -51
JUN19 10Y NOTE 124.50 C 30,689 +2,352 121.50 P 51,648 +1,036
APR19 5Y NOTE 115.50 C 43,471 UNCH 114.00 P 47,114 -53
JUN19 5Y NOTE 116.25 C 17,564 +1,070 108.25 P 151,557 UNCH
APR19 2Y NOTE 106.25 C 5,878 UNCH 105.88 P 6,608 UNCH
JUN19 2Y NOTE 106.00 C 4,246 UNCH 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 143,628 +1,389 97.25 P 70,036 -300
MAR19 1Y-MIDC 97.37 C 142,733 UNCH 96.62 P 789,236 UNCH
MAR20 2Y-MIDC 97.50 C 80,177 UNCH 96.62 P 220,789 UNCH
MAR21 3Y-MIDC 97.75 C 52,535 UNCH 97.00 P 64,925 UNCH
NEAREST ATM: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
APR19 10Y NOTE 122.00 C 29,775 -2 122.00 P 85,438 -439
APR19 10Y NOTE 122.50 C 80,898 -138 122.50 P 48,849 +6,778
JUN19 10Y NOTE 122.00 C 22,388 UNCH 122.00 P 30,305 +171
JUN19 10Y NOTE 122.50 C 19,063 +151 122.50 P 22,609 +320
APR19 5Y NOTE 114.50 C 13,973 UNCH 114.50 P 40,324 +293
APR19 5Y NOTE 114.75 C 27,076 UNCH 114.75 P 21,712 +452
JUN19 5Y NOTE 114.50 C 11,229 UNCH 114.50 P 15,797 UNCH
JUN19 5Y NOTE 114.75 C 11,013 UNCH 114.75 P 36,317 UNCH
APR19 2Y NOTE 106.00 C 1,625 UNCH 106.00 P 4,696 UNCH
APR19 2Y NOTE 106.12 C 5,385 -1 106.12 P 3,483 UNCH
JUN19 2Y NOTE 106.00 C 4,246 UNCH 106.00 P 32,808 +361
JUN19 2Y NOTE 106.12 C 2,113 UNCH 106.12 P 12,203 +50
MAR19 EURODLR 97.25 C 322,453 UNCH 97.25 P 318,001 UNCH
MAR19 EURODLR 97.37 C 290,105 +400 97.37 P 165,779 -750
APR19 EURODLR 97.25 C 75,473 UNCH 97.25 P 70,036 -300
APR19 EURODLR 97.37 C 143,628 +1,389 97.37 P 39,305 +750
MAR20 1Y-MIDC 97.37 C 142,733 UNCH 97.37 P 150,574 +2,249
MAR20 1Y-MIDC 97.50 C 118,942 +5,100 97.50 P 39,058 UNCH
MAR21 2Y-MIDC 97.50 C 80,177 UNCH 97.50 P 72,023 -473
MAR21 2Y-MIDC 97.62 C 72,472 -3,456 97.62 P 30,269 +1,455
MAR22 3Y-MIDC 97.50 C 37,955 UNCH 97.50 P 22,321 +250
MAR22 3Y-MIDC 97.62 C 34,891 -4,370 97.62 P 9,320 +1,650
PUT/CALL RATIO FOR VOLUME CLEARED:
APR19 10Y NOTE PUT/CALL RATIO -- 0.49 (40,876 PUTS VS. 81,939 CALLS)
JUN19 10Y NOTE PUT/CALL RATIO -- 1.69 (41,578 PUTS VS. 24,554 CALLS)
APR19 5Y NOTE PUT/CALL RATIO -- 0.70 (8,191 PUTS VS. 11,774 CALLS)
JUN19 5Y NOTE PUT/CALL RATIO -- 0.93 (6,820 PUTS VS. 7,338 CALLS)
MAR19 2Y NOTE PUT/CALL RATIO -- 16.7 (167 PUTS VS. 10 CALLS)
APR19 2Y NOTE PUT/CALL RATIO -- 17.6 (2,795 PUTS VS. 158 CALLS)
MAR19 EURODLRS PUT/CALL RATIO -- 4.00 (2,000 PUTS VS. 500 CALLS)
APR19 EURODLRS PUT/CALL RATIO -- 2.20 (5,500 PUTS VS. 2,500 CALLS)
MAR20 1Y-MIDCRVE PUT/CALL RATIO -- 0.42 (3,777 PUTS VS. 8,800 CALLS)
MAR21 2Y-MIDCRVE PUT/CALL RATIO -- 0.45 (4,727 PUTS VS. 10,406 CALLS)
MAR22 3Y-MIDCRVE PUT/CALL RATIO -- 0.47 (2,500 PUTS VS. 5,256 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
12:30 43.98 48.79 51.61 51.41 60.92 66.94
10:00 43.89 48.74 51.62 51.38 60.95 67.01
Thu Open 43.75 48.72 51.62 51.33 60.97 67.20
Wed 3:00 43.75 48.72 51.62 51.33 60.97 67.20
Wed Open 43.33 48.79 51.41 51.15 61.08 67.32
Tue 3:00 43.02 49.20 51.17 50.69 61.03 67.33
Tue Open 43.37 49.35 51.89 51.67 61.85 68.33
Mon 3:00 43.52 49.50 52.23 52.06 62.24 68.67
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
--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.