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US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR MAR 16

EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
            USJ    USM     TYH    TYJ     FVH    TUJ     EDH     EDJ
FRI OPEN   7.38%  7.30%   4.15%  3.94%   2.92%  2.60%    N/A    18.38%
THU 3:00   7.65%  7.38%   4.18%  4.00%   2.92%  2.61%    N/A    18.43%
THU OPEN   7.68%  7.28%   4.25%  3.96%   2.85%  2.56%    N/A    16.91%
WED 3:00   7.68%  7.28%   4.25%  3.96%   2.85%  2.56%    N/A    16.91%
WED OPEN   6.98%  7.09%   3.75%  3.85%   2.50%  2.46%    N/A    16.67%
TUE 3:00   7.23%  7.13%   3.82%  3.90%   2.65%  2.50%    N/A    15.83%
TUE OPEN   7.77%  7.55%   4.10%  4.07%   2.78%  2.55%    N/A    16.15%
MON 3:00   7.83%  7.60%   4.12%  4.06%   2.82%  2.58%    N/A    16.19%
MON OPEN   8.51%  7.97%   4.65%  4.25%   2.91%  2.68%   12.05%  16.62%
FRI 3:00   7.48%  7.84%   4.00%  4.18%   2.72%  2.67%   10.05%  15.70%
FRI OPEN   9.13%  8:23%   4.54%  4.35%   2.97%  2.78%   10.00%  16.74%
LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE
APR18 10Y NOTE  120.50 C   92,565      +96   120.00 P  138,917  -5,548
JUN18 10Y NOTE  122.00 C   62,870      +48   108.50 P  113,574    UNCH
APR18 5Y NOTE   114.50 C  132,626  +32,898   113.50 P   52,790  +2,520
JUN18 5Y NOTE   114.00 C   12,601     +556   105.50 P  156,003    UNCH
APR18 2Y NOTE   106.62 C   19,086     UNCH   105.75 P    7,489    UNCH
JUN18 2Y NOTE   106.75 C   13,281     UNCH   106.12 P   31,000    UNCH
MAR18 EURODLR    98.50 C  479,661     UNCH    97.75 P  275,653 +13,622
APR18 EURODLR    98.37 C  235,781     UNCH    98.00 P  268,886    UNCH
MAR19 1Y-MIDC    98.25 C  217,995     UNCH    97.50 P  243,210    -450
MAR20 2Y-MIDC    98.50 C  145,426     UNCH    97.37 P  198,319    UNCH
MAR21 3Y-MIDC    97.50 C   97,311     UNCH    97.37 P   91,790    UNCH
NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE
APR18 10Y NOTE  120.00 C   57,187      -33   120.00 P  138,917  -5,548
APR18 10Y NOTE  120.50 C   92,565      +96   120.50 P   39,865  -6,088
JUN18 10Y NOTE  120.00 C   33,309      +50   120.00 P   49,143  +2,048
JUN18 10Y NOTE  120.50 C   16,664   +1,554   120.50 P   22,629  +2,519
APR18 5Y NOTE   114.25 C   23,854     -285   114.25 P   21,376  +3,352
APR18 5Y NOTE   114.50 C  132,626  +32,898   114.50 P   15,166    UNCH
JUN18 5Y NOTE   114.25 C   11,012     +308   114.25 P   12,640  +1,551
JUN18 5Y NOTE   114.50 C    6,592      -25   114.50 P   18,380    UNCH
APR18 2Y NOTE   106.38 C    1,322       +1   106.38 P    1,149    UNCH
APR18 2Y NOTE   106.50 C    9,055     UNCH   106.50 P    1,906    UNCH
JUN18 2Y NOTE   106.38 C    1,363     UNCH   106.38 P   30,000    UNCH
JUN18 2Y NOTE   106.50 C      642     UNCH   106.50 P    1,800    UNCH
MAR18 EURODLR    97.87 C   37,450     UNCH    97.87 P  144,016    +500
MAR18 EURODLR    98.00 C   91,157     UNCH    98.00 P  188,364    UNCH
APR18 EURODLR    97.75 C   44,557   -1,247    97.75 P  131,245    +590
APR18 EURODLR    97.87 C  131,152     +800    97.87 P  245,279    UNCH
MAR19 1Y-MIDC    97.37 C   25,324   -6,720    97.37 P  101,161 -61,749
MAR19 1Y-MIDC    97.50 C   98,201     UNCH    97.50 P  243,210    -450
MAR20 2Y-MIDC    97.00 C    7,446     UNCH    97.00 P   63,164    -150
MAR20 2Y-MIDC    97.12 C   53,795  -16,058    97.12 P   73,034 -19,059
MAR21 3Y-MIDC    96.87 C    1,750     UNCH    96.87 P   43,838    UNCH
MAR21 3Y-MIDC    97.00 C   19,268     UNCH    97.00 P   60,458    UNCH
PUT/CALL RATIO FOR VOLUME CLEARED:
APR18 10Y NOTE PUT/CALL RATIO   -- 1.65 (124,826 PUTS VS. 75,188 CALLS)
JUN18 10Y NOTE PUT/CALL RATIO   -- 1.85 (31,755 PUTS VS. 17,118 CALLS)
APR18 5Y NOTE PUT/CALL RATIO    -- 0.84 (28,697 PUTS VS. 34,030 CALLS)
JUN18 5Y NOTE PUT/CALL RATIO    -- 3.40 (14,284 PUTS VS. 4,243 CALLS)
APR18 2Y NOTE PUT/CALL RATIO    -- 1.00 (500 PUTS VS. 502 CALLS)
JUN18 2Y NOTE PUT/CALL RATIO    -- 1.77 (262 PUTS VS. 148 CALLS)
MAR18 EURODLRS PUT/CALL RATIO   -- 0.00 (66,014 PUTS VS. 0 CALLS)
APR18 EURODLRS PUT/CALL RATIO   -- 1.83 (30,872 PUTS VS. 16,858 CALLS)
MAR19 1Y-MIDCRVE PUT/CALL RATIO -- 19.3 (69,515 PUTS VS. 3,600 CALLS)
MAR20 2Y-MIDCRVE PUT/CALL RATIO -- 0.78 (27,339 PUTS VS. 34,655 CALLS)
MAR21 3Y-MIDCRVE PUT/CALL RATIO -- 0.09 (2,426 PUTS VS. 26,407 CALLS)
(VOLUME, OPEN INTEREST, PUT/CALL RATIOS FOR VOLUME CLEARED 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     51.00    61.21    63.43    63.62    71.29    74.11
Thu 3:00     51.07    61.48    63.46    63.83    70.94    73.74
Thu Open     50.74    60.54    62.61    62.66    70.31    73.15
Wed 3:00     50.74    60.54    62.61    62.66    70.31    73.15
Wed Open     50.59    60.16    62.03    62.44    70.47    73.25
Tue 3:00     50.68    61.13    62.28    62.64    70.85    73.54
Tue Open     52.11    63.03    64.38    65.70    72.29    74.37
Mon 3:00     52.27    63.19    64.39    65.72    72.33    74.43
Mon Open     52.46    62.68    64.63    66.07    72.63    74.65
Fri 3:00     52.45    63.17    65.42    67.03    72.80    74.71
Fri Open     52.80    67.25    67.30    68.85    73.31    74.85
--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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