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Free AccessUS TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR MAR 20
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USJ USM TYJ TYM FVJ FVM EDJ EDM
WED 3:00 N/A 5.74% N/A 3.17% N/A 2.13% 6.09% 5.69%
11:30 N/A 5.77% N/A 3.23% N/A 2.18% 7.36% 6.20%
9:45 N/A 5.77% N/A 3.28% N/A 2.21% 7.34% 6.26%
WED OPEN N/A 5.79% N/A 3.29% N/A 2.18% 7.03% 6.31%
TUE 3:00 N/A 5.80% N/A 3.29% N/A 2.18% 6.99% 6.39%
TUE OPEN 6.91% 5.97% 4.09% 3.37% 2.85% 2.24% 6.93% 6.30%
MON 3:00 6.91% 5.97% 4.09% 3.37% 2.85% 2.24% 6.93% 6.30%
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
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
APR19 10Y NOTE 123.00 C 89,878 +3,764 121.50 P 133,081 -91
JUN19 10Y NOTE 124.50 C 37,896 +5,376 121.50 P 51,535 -1,700
APR19 5Y NOTE 115.50 C 44,318 -1,344 114.75 P 50,676 +583
JUN19 5Y NOTE 116.00 C 26,814 +13,069 108.25 P 151,557 UNCH
APR19 2Y NOTE 106.12 C 5,383 -1 105.88 P 6,610 +2
JUN19 2Y NOTE 106.50 C 17,231 UNCH 106.00 P 44,083 UNCH
APR19 EURODLR 97.37 C 151,846 UNCH 97.25 P 70,486 UNCH
JUN19 EURODLR 97.37 C 426,870 +250 96.75 P 728,209 UNCH
JUN19 1Y-MIDC 98.00 C 152,822 UNCH 97.37 P 143,125 +1,970
JUN20 2Y-MIDC 97.75 C 87,676 +5,000 97.25 P 101,610 UNCH
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 28,745 -503 122.00 P 83,314 +1,825
APR19 10Y NOTE 122.50 C 78,869 -1,385 122.50 P 56,387 +5,522
JUN19 10Y NOTE 122.00 C 22,407 UNCH 122.00 P 33,668 +811
JUN19 10Y NOTE 122.50 C 23,786 +3,098 122.50 P 23,666 -580
APR19 5Y NOTE 114.50 C 13,533 -407 114.50 P 41,841 +2,318
APR19 5Y NOTE 114.75 C 26,880 -19 114.75 P 50,676 +583
JUN19 5Y NOTE 114.50 C 11,230 -1 114.50 P 19,077 +75
JUN19 5Y NOTE 114.75 C 10,264 -950 114.75 P 36,077 -650
APR19 2Y NOTE 106.00 C 1,660 UNCH 106.00 P 4,233 -263
APR19 2Y NOTE 106.12 C 5,383 -1 106.12 P 5,478 +2,058
JUN19 2Y NOTE 106.00 C 4,246 UNCH 106.00 P 44,083 UNCH
JUN19 2Y NOTE 106.12 C 2,548 UNCH 106.12 P 16,645 UNCH
APR19 EURODLR 97.25 C 75,473 UNCH 97.25 P 70,486 UNCH
APR19 EURODLR 97.37 C 151,846 UNCH 97.37 P 58,774 +3,600
JUN19 EURODLR 97.25 C 257,660 UNCH 97.25 P 295,518 -2,000
JUN19 EURODLR 97.37 C 426,870 +250 97.37 P 225,400 +100
JUN20 1Y-MIDC 97.50 C 75,973 +2,092 97.50 P 110,376 -550
JUN20 1Y-MIDC 97.62 C 62,707 +1,000 97.62 P 8,625 UNCH
JUN21 2Y-MIDC 97.62 C 23,853 +100 97.62 P 10,385 +1,200
JUN21 2Y-MIDC 97.75 C 87,676 +5,000 97.75 P 6,340 UNCH
JUN22 3Y-MIDC 97.62 C 12,849 +3,040 97.62 P 31,634 +7,548
JUN22 3Y-MIDC 97.75 C 96,916 UNCH 97.75 P 19,086 +6,000
PUT/CALL RATIO FOR VOLUME CLEARED:
APR19 10Y NOTE PUT/CALL RATIO -- 0.42 (60,905 PUTS VS. 142,694 CALLS)
JUN19 10Y NOTE PUT/CALL RATIO -- 1.08 (57,872 PUTS VS. 53,299 CALLS)
APR19 5Y NOTE PUT/CALL RATIO -- 1.07 (24,397 PUTS VS. 22,726 CALLS)
JUN19 5Y NOTE PUT/CALL RATIO -- 0.95 (24,000 PUTS VS. 25,243 CALLS)
MAR19 2Y NOTE PUT/CALL RATIO -- 1.26 (3,837 PUTS VS. 3,001 CALLS)
APR19 2Y NOTE PUT/CALL RATIO -- 1.87 (1,727 PUTS VS. 919 CALLS)
APR19 EURODLRS PUT/CALL RATIO -- 0.83 (5,000 PUTS VS. 6,000 CALLS)
JUN19 EURODLRS PUT/CALL RATIO -- 1.21 (7,790 PUTS VS. 6,390 CALLS)
JUN20 1Y-MIDCRVE PUT/CALL RATIO -- 0.60 (12,177 PUTS VS. 19,887 CALLS)
JUN21 2Y-MIDCRVE PUT/CALL RATIO -- 0.91 (7,350 PUTS VS. 8,000 CALLS)
JUN22 3Y-MIDCRVE PUT/CALL RATIO -- 3.84 (31,500 PUTS VS. 8,250 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
Wed 3:00 44.01 46.94 50.68 49.62 58.13 64.53
11:30 44.06 47.22 50.72 49.62 58.12 64.70
9:45 44.00 47.32 50.71 49.60 58.18 64.76
Wed Open 43.98 48.13 50.65 49.59 58.33 64.89
Tue 3:00 43.97 48.67 50.70 49.77 58.78 65.33
Tue Open 44.09 49.86 51.40 51.13 59.72 65.70
Mon 3:00 44.09 49.86 51.40 51.13 59.72 65.70
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
--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.