EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USJ USM TYH TYJ FVH TUJ EDJ EDM
MON 3:00 10.28% 8.03% 5.87% 4.19% 3.88% 2.72% 18.05% 16.21%
1:45 10.22% 7.97% 5.83% 4.18% 3.85% 2.70% 18.04% 16.21%
12:15 9.96% 7.98% 5.75% 4.18% 3.68% 2.66% 18.01% 16.20%
10:45 9.60% 7.80% 5.66% 4.13% 3.66% 2.65% 19.66% 15.00%
9:15 9.90% 7.73% 5.28% 4.07% 3.69% 2.63% 20.27% 16.11%
MON OPEN 9.85% 7.80% 5.34% 4.04% 3.69% 2.62% 20.28% 15.64%
FRI 3:00 7.72% 7.64% 4.03% 3.94% 2.79% 2.58% 19.84% N/A
FRI OPEN 7.38% 7.30% 4.15% 3.94% 2.92% 2.60% 18.38% N/A
THU 3:00 7.65% 7.38% 4.18% 4.00% 2.92% 2.61% 18.43% N/A
THU OPEN 7.68% 7.28% 4.25% 3.96% 2.85% 2.56% 16.91% N/A
WED 3:00 7.68% 7.28% 4.25% 3.96% 2.85% 2.56% 16.91% N/A
WED OPEN 6.98% 7.09% 3.75% 3.85% 2.50% 2.46% 16.67% N/A
TUE 3:00 7.23% 7.13% 3.82% 3.90% 2.65% 2.50% 15.83% N/A
TUE OPEN 7.77% 7.55% 4.10% 4.07% 2.78% 2.55% 16.15% N/A
MON 3:00 7.83% 7.60% 4.12% 4.06% 2.82% 2.58% 16.19% N/A
MON OPEN 8.51% 7.97% 4.65% 4.25% 2.91% 2.68% 16.62% N/A
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
APR18 10Y NOTE 121.00 C 94,373 +2,210 120.00 P 137,801 -1,116
JUN18 10Y NOTE 122.00 C 64,104 +1,234 108.50 P 113,574 UNCH
APR18 5Y NOTE 114.50 C 134,667 +2,041 113.50 P 52,744 +204
JUN18 5Y NOTE 114.00 C 13,423 +822 105.50 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
APR18 EURODLR 98.37 C 235,781 UNCH 98.00 P 268,886 UNCH
JUN18 EURODLR 98.00 C 354,252 -675 97.75 P 488,926 -560
JUN19 1Y-MIDC 97.50 C 217,929 -1,800 97.12 P 519,812 +21,462
JUN20 2Y-MIDC 97.87 C 128,203 UNCH 97.37 P 161,761 UNCH
JUN21 3Y-MIDC 98.00 C 116,986 UNCH 97.25 P 144,669 UNCH
NEAREST ATM: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
APR18 10Y NOTE 120.00 C 56,816 -371 120.00 P 137,801 -1,116
APR18 10Y NOTE 120.50 C 89,234 -3,331 120.50 P 36,258 -3,607
JUN18 10Y NOTE 120.00 C 33,236 -73 120.00 P 48,878 -265
JUN18 10Y NOTE 120.50 C 18,979 +2,315 120.50 P 24,437 +1,808
APR18 5Y NOTE 114.25 C 24,069 +65 114.25 P 21,476 UNCH
APR18 5Y NOTE 114.50 C 134,667 +2,041 114.50 P 15,166 UNCH
JUN18 5Y NOTE 114.25 C 10,100 -118 114.25 P 12,622 -18
JUN18 5Y NOTE 114.50 C 7,008 +125 114.50 P 18,380 UNCH
APR18 2Y NOTE 106.38 C 1,322 UNCH 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 1,373 +10 106.38 P 30,000 UNCH
JUN18 2Y NOTE 106.50 C 642 UNCH 106.50 P 1,800 UNCH
APR18 EURODLR 97.75 C 62,482 +17,925 97.75 P 132,444 +1,199
APR18 EURODLR 97.87 C 119,189 -11,963 97.87 P 245,279 UNCH
JUN18 EURODLR 97.75 C 164,432 +9,050 97.75 P 488,926 -560
JUN18 EURODLR 97.89 C 345,457 +4,980 97.87 P 435,606 -277
JUN19 1Y-MIDC 97.37 C 52,910 -670 97.37 P 343,994 +7,902
JUN19 1Y-MIDC 97.50 C 217,929 -1,800 97.50 P 121,010 UNCH
JUN20 2Y-MIDC 97.00 C 18,576 UNCH 97.00 P 108,575 -600
JUN20 2Y-MIDC 97.12 C 47,386 -125 97.12 P 147,859 UNCH
JUN21 3Y-MIDC 96.87 C 250 UNCH 96.87 P 44,104 UNCH
JUN21 3Y-MIDC 97.00 C 24,635 UNCH 97.00 P 66,751 +650
PUT/CALL RATIO FOR VOLUME CLEARED:
APR18 10Y NOTE PUT/CALL RATIO -- 0.80 (91,111 PUTS VS. 113,462 CALLS)
JUN18 10Y NOTE PUT/CALL RATIO -- 0.91 (36,352 PUTS VS. 39,768 CALLS)
APR18 5Y NOTE PUT/CALL RATIO -- 1.16 (34,766 PUTS VS. 29,743 CALLS)
JUN18 5Y NOTE PUT/CALL RATIO -- 0.60 (6,630 PUTS VS. 10,965 CALLS)
APR18 2Y NOTE PUT/CALL RATIO -- 5.00 (2,516 PUTS VS. 502 CALLS)
JUN18 2Y NOTE PUT/CALL RATIO -- 0.16 (105 PUTS VS. 605 CALLS)
APR18 EURODLRS PUT/CALL RATIO -- 1.86 (134,935 PUTS VS. 72,370 CALLS)
JUN18 EURODLRS PUT/CALL RATIO -- 2.33 (245,687 PUTS VS. 105,162 CALLS)
JUN19 1Y-MIDCRVE PUT/CALL RATIO -- 9.09 (88,258 PUTS VS. 9,750 CALLS)
JUN20 2Y-MIDCRVE PUT/CALL RATIO -- 0.06 (650 PUTS VS. 10,000 CALLS)
JUN21 3Y-MIDCRVE PUT/CALL RATIO -- 1.23 (1,050 PUTS VS. 850 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
Mon 3:00 51.69 63.41 64.34 64.69 71.64 74.48
1:45 51.67 63.46 64.36 64.72 71.67 74.50
12:15 51.42 63.04 63.91 64.23 71.68 74.44
10:45 51.50 62.81 64.04 64.31 71.66 74.48
9:15 51.50 62.73 64.04 64.32 71.67 74.50
Mon Open 51.36 62.52 64.04 64.31 71.65 74.47
Fri 3:00 50.98 61.56 63.45 63.71 71.55 74.35
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
--MNI Chicago Bureau; tel: +1 312-431-0089; email: bill.sokolis@marketnews.com
[TOPICS: MTABLE,M$U$$$,M$$FI$,MN$FI$]
