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Free AccessUS TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR MAR 18
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USJ USM TYJ TYM FVJ FVM EDJ EDM
10:15 7.22% 6.18% 4.30% 3.45% 2.90% 2.29% 6.43% 6.14%
MON OPEN 6.81% 6.19% 3.03% 3.45% 2.71% 2.27% 6.25% 6.31%
FRI 3:00 5.68% 6.08% 3.22% 3.40% 2.09% 2.24% 6.00% N/A
FRI OPEN 5.85% 6.11% 3.23% 3.38% 2.12% 2.24% 6.05% N/A
THU 3:00 5.68% 6.11% 3.13% 3.38% 2.10% 2.24% 6.05% N/A
THU OPEN 5.85% 6.07% 3.26% 3.36% 2.10% 2.23% 6.20% N/A
WED 3:00 5.85% 6.07% 3.26% 3.36% 2.10% 2.23% 6.20% N/A
WED OPEN 5.98% 6.00% 3.26% 3.32% 2.14% 2.22% 5.95% N/A
TUE 3:00 5.97% 5.99% 3.33% 3.31% 2.15% 2.18% 6.05% N/A
TUE OPEN 6.08% 6.01% 3.33% 3.35% 2.23% 2.23% 6.37% N/A
MON 3:00 5.92% 6.00% 3.28% 3.36% 2.12% 2.23% 6.56% N/A
MON OPEN 6.13% 6.12% 3.38% 3.43% 2.22% 2.28% 6.90% N/A
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
APR19 10Y NOTE 122.50 C 80,018 -1,179 121.50 P 133,172 -161
JUN19 10Y NOTE 124.50 C 32,459 +30 121.00 P 53,075 +2,284
APR19 5Y NOTE 115.50 C 44,833 +484 114.00 P 46,372 -596
JUN19 5Y NOTE 116.25 C 20,225 +999 108.25 P 151,557 UNCH
APR19 2Y NOTE 106.12 C 5,385 UNCH 105.88 P 6,608 UNCH
JUN19 2Y NOTE 106.50 C 17,231 +3,500 106.00 P 44,083 +10,775
APR19 EURODLR 97.37 C 147,128 UNCH 97.25 P 70,036 UNCH
JUN19 EURODLR 97.37 C 428,062 -1,125 96.75 P 728,209 UNCH
JUN19 1Y-MIDC 98.00 C 152,822 UNCH 97.37 P 140,169 +363
JUN20 2Y-MIDC 97.50 C 84,001 UNCH 97.25 P 101,310 +1,408
JUN21 3Y-MIDC 97.75 C 96,916 UNCH 97.25 P 48,136 UNCH
NEAREST ATM: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
APR19 10Y NOTE 122.00 C 29,350 -175 122.00 P 92,409 +6,561
APR19 10Y NOTE 122.50 C 80,018 -1,179 122.50 P 50,275 +3,925
JUN19 10Y NOTE 122.00 C 22,358 +51 122.00 P 32,857 +2,360
JUN19 10Y NOTE 122.50 C 20,688 +24 122.50 P 24,246 -387
APR19 5Y NOTE 114.50 C 13,941 -33 114.50 P 40,473 -52
APR19 5Y NOTE 114.75 C 27,073 -3 114.75 P 20,113 -1,074
JUN19 5Y NOTE 114.50 C 11,231 +2 114.50 P 19,002 +3,205
JUN19 5Y NOTE 114.75 C 11,214 +435 114.75 P 36,717 +500
APR19 2Y NOTE 106.00 C 1,565 -59 106.00 P 4,696 UNCH
APR19 2Y NOTE 106.12 C 5,385 UNCH 106.12 P 3,454 -1
JUN19 2Y NOTE 106.00 C 4,246 UNCH 106.00 P 44,083 +10,775
JUN19 2Y NOTE 106.12 C 2,547 UNCH 106.12 P 16,645 +4,237
APR19 EURODLR 97.25 C 75,473 UNCH 97.25 P 70,036 UNCH
APR19 EURODLR 97.37 C 147,128 UNCH 97.37 P 50,774 +7,719
JUN19 EURODLR 97.25 C 257,480 UNCH 97.25 P 298,018 UNCH
JUN19 EURODLR 97.37 C 428,062 -1,125 97.37 P 223,500 UNCH
JUN20 1Y-MIDC 97.50 C 73,881 +2,358 97.50 P 110,826 -2,950
JUN20 1Y-MIDC 97.62 C 61,707 UNCH 97.62 P 8,625 +5,125
JUN21 2Y-MIDC 97.62 C 23,953 +50 97.62 P 9,185 UNCH
JUN21 2Y-MIDC 97.75 C 82,676 +1,500 97.75 P 6,340 UNCH
JUN22 3Y-MIDC 97.62 C 9,559 -120 97.62 P 11,000 +6,440
JUN22 3Y-MIDC 97.75 C 96,916 UNCH 97.75 P 300 UNCH
PUT/CALL RATIO FOR VOLUME CLEARED:
APR19 10Y NOTE PUT/CALL RATIO -- 0.72 (71,234 PUTS VS. 98,624 CALLS)
JUN19 10Y NOTE PUT/CALL RATIO -- 2.41 (43,346 PUTS VS. 17,996 CALLS)
APR19 5Y NOTE PUT/CALL RATIO -- 1.29 (23,148 PUTS VS. 17,997 CALLS)
JUN19 5Y NOTE PUT/CALL RATIO -- 4.28 (38,099 PUTS VS. 8,940 CALLS)
MAR19 2Y NOTE PUT/CALL RATIO -- 0.07 (5 PUTS VS. 68 CALLS)
APR19 2Y NOTE PUT/CALL RATIO -- 4.03 (45,236 PUTS VS. 11,207 CALLS)
APR19 EURODLRS PUT/CALL RATIO -- 0.00 (17,347 PUTS VS. 0 CALLS)
JUN19 EURODLRS PUT/CALL RATIO -- 0.00 (0 PUTS VS. 19,880 CALLS)
JUN20 1Y-MIDCRVE PUT/CALL RATIO -- 2.58 (29,268 PUTS VS. 11,320 CALLS)
JUN21 2Y-MIDCRVE PUT/CALL RATIO -- 14.2 (25,600 PUTS VS. 1,851 CALLS)
JUN22 3Y-MIDCRVE PUT/CALL RATIO -- 58.5 (16,405 PUTS VS. 280 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
10:15 44.16 49.72 51.69 51.44 59.86 65.79
Mon Open 44.04 49.44 51.48 51.24 59.89 65.80
Fri 3:00 43.57 48.92 51.21 51.03 60.17 66.00
Fri Open 43.29 48.37 50.88 50.03 60.01 65.98
Thu 3:00 43.92 48.61 51.51 51.33 60.85 66.58
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
--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.