Free Trial

US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR MAR 26

EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
            USK    USM     TYK    TYM     FVK    TUM     EDJ     EDM
1:15       7.25%  7.59%   3.73%  3.86%   2.31%  2.42%   17.20%  13.80%
10:45      7.30%  7.58%   3.72%  3.85%   2.31%  2.42%   17.88%  13.71%
9:30       7.33%  7.68%   3.78%  3.65%   2.30%  2.41%   17.98%  13.71%
MON OPEN   7.41%  7.68%   3.75%  3.89%   2.32%  2.42%   18.34%  14.54%
FRI 3:00    N/A   7.46%    N/A   3.77%    N/A   2.44%   19.40%  16.28%
FRI OPEN    N/A   7.45%    N/A   3.82%    N/A   2.38%   17.89%  15.44%
THU 3:00    N/A   7.40%    N/A   3.82%    N/A   2.38%   17.06%  14.28%
THU OPEN    N/A   7.27%    N/A   3.73%    N/A   2.38%   16.91%  15.24%
WED 3:00    N/A   7.57%    N/A   3.92%    N/A   2.47%   17.87%  14.81%
WED OPEN    N/A   7.91%    N/A   4.14%    N/A   2.63%   20.10%  17.19%
TUE 3:00    N/A   7.90%    N/A   4.15%    N/A   2.66%   20.50%  17.18%
TUE OPEN    N/A   7.91%    N/A   4.11%    N/A   2.67%   18.05%  16.21%
MON 3:00  10.28%  8.03%   5.87%  4.19%   3.88%  2.72%   18.05%  16.21%
MON OPEN   9.85%  7.80%   5.34%  4.04%   3.69%  2.62%   20.28%  15.64%
LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE
MAY18 10Y NOTE  122.00 C   86,942  +27,330   119.00 P   69,027 +11,841
JUN18 10Y NOTE  122.00 C   72,294   +2,638   108.50 P  113,574    UNCH
MAY18 5Y NOTE   116.00 C   33,534   +6,553   111.00 P   45,740  +2,300
JUN18 5Y NOTE   114.75 C   22,700  +15,641   105.50 P  156,003    UNCH
MAY18 2Y NOTE   106.75 C   83,333      +50   105.75 P   13,422    UNCH
JUN18 2Y NOTE   106.75 C   10,914     UNCH   106.12 P   30,005    UNCH
APR18 EURODLR    98.00 C  236,989     UNCH    98.00 P  268,886    UNCH
JUN18 EURODLR    98.00 C  360,673   +2,496    97.75 P  449,106    +115
JUN19 1Y-MIDC    97.50 C  245,671  -22,722    97.00 P  492,630 -17,599
JUN20 2Y-MIDC    97.87 C  128,203     UNCH    96.87 P  212,175  +4,200
JUN21 3Y-MIDC    98.00 C  116,986     UNCH    97.25 P  149,683    UNCH
NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE
MAY18 10Y NOTE  120.00 C   36,742      -51   120.00 P   48,874  +2,670
MAY18 10Y NOTE  120.50 C   53,884   +4,216   120.50 P   36,847  +6,532
JUN18 10Y NOTE  120.00 C   37,986   -1,208   120.00 P   53,187    +730
JUN18 10Y NOTE  120.50 C   26,492   +1,409   120.50 P   27,802  +3,090
MAY18 5Y NOTE   114.25 C   15,974   +2,342   114.25 P    6,782    +295
MAY18 5Y NOTE   114.50 C   24,683   +9,701   114.50 P   30,409    +776
JUN18 5Y NOTE   114.25 C   12,514   +1,275   114.25 P   13,123    +500
JUN18 5Y NOTE   114.50 C    7,690      -22   114.50 P   18,380    UNCH
MAY18 2Y NOTE   106.38 C      306       +1   106.38 P      313    UNCH
MAY18 2Y NOTE   106.50 C    5,892   +4,000   106.50 P       31    UNCH
JUN18 2Y NOTE   106.38 C    1,362     UNCH   106.38 P   30,000    UNCH
JUN18 2Y NOTE   106.50 C      653     UNCH   106.50 P    1,300    -500
APR18 EURODLR    97.75 C  105,737   +4,761    97.75 P  131,419    UNCH
APR18 EURODLR    97.87 C  218,066  +38,946    97.87 P  245,278    UNCH
JUN18 EURODLR    97.75 C  189,954  +38,180    97.75 P  449,106    +115
JUN18 EURODLR    97.89 C  333,107   -1,585    97.87 P  388,550  -1,885
JUN19 1Y-MIDC    97.37 C   83,864     +973    97.37 P  326,488 -16,000
JUN19 1Y-MIDC    97.50 C  245,671  -22,722    97.50 P  121,010    UNCH
JUN20 2Y-MIDC    97.00 C   23,893     UNCH    97.00 P  128,995  +5,863
JUN20 2Y-MIDC    97.12 C   52,418     -975    97.12 P  150,545    -722
JUN21 3Y-MIDC    96.87 C      450     UNCH    96.87 P   39,281  -1,186
JUN21 3Y-MIDC    97.00 C   26,814     UNCH    97.00 P   69,524    UNCH
PUT/CALL RATIO FOR VOLUME CLEARED:
MAY18 10Y NOTE PUT/CALL RATIO   -- 0.52 (116,353 PUTS VS. 223,083 CALLS)
JUN18 10Y NOTE PUT/CALL RATIO   -- 1.09 (89,049 PUTS VS. 81,754 CALLS)
MAY18 5Y NOTE PUT/CALL RATIO    -- 0.61 (35,124 PUTS VS. 57,018 CALLS)
JUN18 5Y NOTE PUT/CALL RATIO    -- 1.04 (35,550 PUTS VS. 34,141 CALLS)
APR18 2Y NOTE PUT/CALL RATIO    -- 0.00 (8 PUTS VS. 5,108 CALLS)
JUN18 2Y NOTE PUT/CALL RATIO    -- 0.05 (11 PUTS VS. 193 CALLS)
APR18 EURODLRS PUT/CALL RATIO   -- 0.11 (11,737 PUTS VS. 103,300 CALLS)
JUN18 EURODLRS PUT/CALL RATIO   -- 0.15 (27,046 PUTS VS. 178,452 CALLS)
JUN19 1Y-MIDCRVE PUT/CALL RATIO -- 1.92 (198,673 PUTS VS. 103,850 CALLS)
JUN20 2Y-MIDCRVE PUT/CALL RATIO -- 18.5 (48,334 PUTS VS. 2,600 CALLS)
JUN21 3Y-MIDCRVE PUT/CALL RATIO -- 3.38 (8,877 PUTS VS. 2,650 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
1:15         49.95    60.26    61.37    62.63    70.79    74.22
10:45        49.87    60.19    61.17    62.40    70.64    74.15
9:30         49.88    60.58    61.23    62.44    70.68    74.23
Mon Open     50.29    60.51    61.47    62.71    70.85    74.30
Fri 3:00     49.40    58.81    60.53    61.68    70.60    74.14
Fri Open     49.66    59.01    61.33    62.01    70.72    74.15
Thu 3:00     49.93    59.48    61.76    62.41    70.77    74.16
Thu Open     49.86    58.77    61.68    62.20    70.85    74.12
Wed 3:00     51.87    61.70    63.95    64.19    71.74    74.76
Wed Open     51.84    63.52    64.14    64.40    71.70    74.67
Tue 3:00     51.73    63.56    64.15    64.49    71.76    74.60
Tue Open     51.81    63.52    64.47    64.83    71.77    74.56
Mon 3:00     51.69    63.41    64.34    64.69    71.64    74.48
Mon Open     51.36    62.52    64.04    64.31    71.65    74.47
--MNI Chicago Bureau; tel: +1 312-431-0089; email: bill.sokolis@marketnews.com
[TOPICS: MTABLE,M$U$$$,M$$FI$,MN$FI$]

To read the full story

Close

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.