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Free AccessUS TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR MAR 21
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USJ USM TYJ TYM FVJ FVM EDJ EDM
THU 3:00 N/A 5.80% N/A 3.23% N/A 2.17% 6.25% 5.88%
12:30 N/A 5.79% N/A 3.21% N/A 2.16% 6.07% 5.64%
10:30 N/A 5.73% N/A 3.21% N/A 2.15% 6.02% 5.50%
THU OPEN N/A 5.74% N/A 3.20% N/A 2.14% 6.77% 5.69%
WED 3:00 N/A 5.74% N/A 3.17% N/A 2.13% 6.09% 5.69%
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
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
APR19 10Y NOTE 123.00 C 93,717 +2,152 121.50 P 133,081 UNCH
JUN19 10Y NOTE 124.50 C 37,224 -672 121.00 P 58,559 +8,516
APR19 5Y NOTE 115.25 C 47,718 +15,838 114.75 P 54,303 +3,627
JUN19 5Y NOTE 116.00 C 28,647 +1,833 108.25 P 151,557 UNCH
APR19 2Y NOTE 106.38 C 4,508 -822 105.88 P 6,609 -1
JUN19 2Y NOTE 106.50 C 16,729 -502 106.00 P 47,682 +3,599
APR19 EURODLR 97.37 C 151,846 UNCH 97.12 P 69,739 UNCH
JUN19 EURODLR 97.37 C 425,918 -952 96.75 P 728,209 UNCH
JUN19 1Y-MIDC 98.00 C 159,124 +6,302 97.00 P 139,532 UNCH
JUN20 2Y-MIDC 97.75 C 90,339 +2,663 97.25 P 102,110 +500
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 28,444 -301 122.00 P 87,030 +3,716
APR19 10Y NOTE 122.50 C 77,932 -937 122.50 P 68,583 +12,196
JUN19 10Y NOTE 122.00 C 22,407 UNCH 122.00 P 36,159 -307
JUN19 10Y NOTE 122.50 C 23,340 +554 122.50 P 28,607 +1,241
APR19 5Y NOTE 114.50 C 13,532 -1 114.50 P 41,841 +2,318
APR19 5Y NOTE 114.75 C 26,846 -34 114.75 P 54,303 +3,627
JUN19 5Y NOTE 114.50 C 11,230 UNCH 114.50 P 17,888 -1,189
JUN19 5Y NOTE 114.75 C 10,264 UNCH 114.75 P 35,603 -474
APR19 2Y NOTE 106.00 C 1,660 UNCH 106.00 P 4,233 UNCH
APR19 2Y NOTE 106.12 C 4,358 -1,025 106.12 P 7,641 +2,163
JUN19 2Y NOTE 106.00 C 4,246 UNCH 106.00 P 47,682 +3,599
JUN19 2Y NOTE 106.12 C 2,398 -150 106.12 P 14,030 -2,615
APR19 EURODLR 97.25 C 75,473 UNCH 97.25 P 68,786 -1,700
APR19 EURODLR 97.37 C 151,846 UNCH 97.37 P 65,224 +6,450
JUN19 EURODLR 97.25 C 258,260 +600 97.25 P 295,518 UNCH
JUN19 EURODLR 97.37 C 425,918 -952 97.37 P 232,302 +6,902
JUN20 1Y-MIDC 97.50 C 79,789 +3,816 97.50 P 98,772 -11,654
JUN20 1Y-MIDC 97.62 C 68,471 +5,764 97.62 P 11,750 +3,125
JUN21 2Y-MIDC 97.62 C 23,903 +50 97.62 P 16,542 +6,157
JUN21 2Y-MIDC 97.75 C 90,339 +2,663 97.75 P 6,240 -100
JUN22 3Y-MIDC 97.62 C 12,899 +50 97.62 P 31,634 UNCH
JUN22 3Y-MIDC 97.75 C 96,916 UNCH 97.75 P 19,086 UNCH
PUT/CALL RATIO FOR VOLUME CLEARED:
APR19 10Y NOTE PUT/CALL RATIO -- 0.61 (138,868 PUTS VS. 224,673 CALLS)
JUN19 10Y NOTE PUT/CALL RATIO -- 1.27 (83,198 PUTS VS. 65,315 CALLS)
APR19 5Y NOTE PUT/CALL RATIO -- 0.32 (34,582 PUTS VS. 106,117 CALLS)
JUN19 5Y NOTE PUT/CALL RATIO -- 0.42 (13,867 PUTS VS. 32,672 CALLS)
MAR19 2Y NOTE PUT/CALL RATIO -- 0.39 (2,955 PUTS VS. 7,476 CALLS)
APR19 2Y NOTE PUT/CALL RATIO -- 19.5 (44,073 PUTS VS. 2,249 CALLS)
APR19 EURODLRS PUT/CALL RATIO -- 0.17 (9,300 PUTS VS. 51,730 CALLS)
JUN19 EURODLRS PUT/CALL RATIO -- 0.12 (13,312 PUTS VS. 107,868 CALLS)
JUN20 1Y-MIDCRVE PUT/CALL RATIO -- 1.82 (112,200 PUTS VS. 61,500 CALLS)
JUN21 2Y-MIDCRVE PUT/CALL RATIO -- 3.55 (49,136 PUTS VS. 13,786 CALLS)
JUN22 3Y-MIDCRVE PUT/CALL RATIO -- 131.0 (6,550 PUTS VS. 50 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
Thu 3:00 43.08 46.53 49.45 48.91 57.46 63.70
12:30 42.91 46.26 49.23 48.67 57.42 63.68
10:30 42.78 45.93 49.17 48.65 57.48 63.73
Thu Open 42.98 45.84 49.18 48.64 57.38 63.98
Wed 3:00 44.01 46.94 50.68 49.62 58.13 64.53
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
--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.