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Free AccessUS TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR MAR 5
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USJ USM TYJ TYM FVJ FVM EDH EDJ
1:30 6.21% 6.33% 3.35% 3.47% 2.16% 2.26% 7.60% 7.60%
12:15 6.32% 6.39% 3.35% 3.52% 2.18% 2.27% 7.46% 7.35%
10:45 6.20% 6.37% 3.35% 3.53% 2.17% 2.29% 7.45% 7.43%
9:00 6.33% 6.44% 3.44% 3.54% 2.24% 2.31% 7.42% 7.65%
TUE OPEN 6.32% 6.43% 3.40% 3.56% 2.24% 2.31% 7.60% 7.43%
MON 3:00 6.29% 6.43% 3.42% 3.54% 2.20% 2.32% 7.40% 7.15%
MON OPEN 6.50% 6.49% 3.55% 3.61% 2.34% 2.33% 8.37% 7.31%
FRI 3:00 6.15% 6.50% 3.36% 3.58% 2.17% 2.32% 7.20% 7.65%
FRI OPEN 6.29% 6.38% 3.44% 3.53% 2.23% 2.33% 7.88% 8.19%
THU 3:00 6.16% 6.30% 3.40% 3.54% 2.20% 2.30% 7.39% 8.41%
THU OPEN 6.23% 6.30% 3.35% 3.47% 2.28% 2.30% 8.23% 7.61%
WED 3:00 6.23% 6.30% 3.35% 3.47% 2.28% 2.30% 7.31% 7.57%
WED OPEN 5.71% 6.04% 3.22% 3.36% 2.14% 2.23% 6.67% 7.74%
TUE 3:00 5.80% 6.07% 3.23% 3.38% 2.17% 2.23% 7.16% 7.27%
TUE OPEN 5.82% 6.10% 3.29% 3.39% 2.16% 2.21% 6.65% 7.75%
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
APR19 10Y NOTE 123.00 C 95,330 -2,771 121.00 P 139,717 +9,868
JUN19 10Y NOTE 124.50 C 24,014 +569 121.50 P 50,096 +5,169
APR19 5Y NOTE 115.50 C 43,540 UNCH 114.25 P 54,030 +8,977
JUN19 5Y NOTE 116.00 C 12,525 +200 108.25 P 151,523 UNCH
APR19 2Y NOTE 106.12 C 5,600 -1 105.62 P 7,165 +319
JUN19 2Y NOTE 106.00 C 4,598 UNCH 105.25 P 35,000 UNCH
MAR19 EURODLR 97.25 C 322,759 -102 97.00 P 886,549 UNCH
APR19 EURODLR 97.37 C 135,486 UNCH 97.12 P 69,739 UNCH
MAR19 1Y-MIDC 97.50 C 137,007 -3,855 96.62 P 790,236 UNCH
MAR20 2Y-MIDC 97.62 C 87,313 -3,524 96.62 P 220,789 UNCH
MAR21 3Y-MIDC 97.00 C 49,340 UNCH 97.00 P 64,925 UNCH
NEAREST ATM: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
APR19 10Y NOTE 122.00 C 33,164 +3,050 122.00 P 57,064 -1,086
APR19 10Y NOTE 122.50 C 76,802 +1,988 122.50 P 40,984 -1
JUN19 10Y NOTE 122.00 C 20,780 +302 122.00 P 28,018 -275
JUN19 10Y NOTE 122.50 C 15,871 -764 122.50 P 19,338 +290
APR19 5Y NOTE 114.50 C 13,507 -85 114.50 P 40,621 -247
APR19 5Y NOTE 114.75 C 26,487 +2,081 114.75 P 16,988 +7
JUN19 5Y NOTE 114.50 C 8,925 +604 114.50 P 9,995 +30
JUN19 5Y NOTE 114.75 C 11,973 +20 114.75 P 36,275 UNCH
APR19 2Y NOTE 106.00 C 837 +2 106.00 P 4,523 UNCH
APR19 2Y NOTE 106.12 C 5,600 -1 106.12 P 4,594 UNCH
JUN19 2Y NOTE 106.00 C 4,598 UNCH 106.00 P 26,506 -43
JUN19 2Y NOTE 106.12 C 2,078 UNCH 106.12 P 11,103 UNCH
MAR19 EURODLR 97.25 C 322,759 -102 97.25 P 318,126 UNCH
MAR19 EURODLR 97.37 C 294,381 -4,584 97.37 P 161,442 -1,150
APR19 EURODLR 97.25 C 75,473 UNCH 97.25 P 68,457 -383
APR19 EURODLR 97.37 C 135,486 UNCH 97.37 P 37,489 +1,532
MAR20 1Y-MIDC 97.37 C 134,923 -100 97.37 P 128,932 +1,030
MAR20 1Y-MIDC 97.50 C 137,007 -3,855 97.50 P 39,163 UNCH
MAR21 2Y-MIDC 97.50 C 85,756 +1,707 97.50 P 64,838 +329
MAR21 2Y-MIDC 97.62 C 87,313 -3,524 97.62 P 25,182 UNCH
MAR22 3Y-MIDC 97.50 C 41,494 -3,127 97.50 P 16,661 -150
MAR22 3Y-MIDC 97.62 C 48,705 +2,317 97.62 P 2,100 UNCH
PUT/CALL RATIO FOR VOLUME CLEARED:
APR19 10Y NOTE PUT/CALL RATIO -- 1.36 (87,823 PUTS VS. 64,460 CALLS)
JUN19 10Y NOTE PUT/CALL RATIO -- 1.13 (27,794 PUTS VS. 24,526 CALLS)
APR19 5Y NOTE PUT/CALL RATIO -- 1.63 (37,196 PUTS VS. 22,849 CALLS)
JUN19 5Y NOTE PUT/CALL RATIO -- 1.93 (4,605 PUTS VS. 2,377 CALLS)
MAR19 2Y NOTE PUT/CALL RATIO -- 18.7 (620 PUTS VS. 33 CALLS)
APR19 2Y NOTE PUT/CALL RATIO -- 84.2 (12,039 PUTS VS. 143 CALLS)
MAR19 EURODLRS PUT/CALL RATIO -- 0.18 (4,850 PUTS VS. 26,190 CALLS)
APR19 EURODLRS PUT/CALL RATIO -- 1.42 (5,383 PUTS VS. 3,800 CALLS)
MAR20 1Y-MIDCRVE PUT/CALL RATIO -- 4.12 (29,287 PUTS VS. 7,175 CALLS)
MAR21 2Y-MIDCRVE PUT/CALL RATIO -- 1.50 (32,594 PUTS VS. 21,588 CALLS)
MAR22 3Y-MIDCRVE PUT/CALL RATIO -- 0.54 (4,594 PUTS VS. 8,238 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
1:30 44.38 51.79 53.38 53.56 63.43 69.61
12:15 44.40 51.78 53.37 53.55 63.47 69.59
10:45 44.48 51.97 53.49 53.68 63.54 69.65
9:00 44.62 52.16 53.63 53.84 63.59 69.66
Tue Open 44.62 52.26 53.66 53.87 63.62 69.70
Mon 3:00 44.57 51.84 53.70 53.75 63.47 69.60
Mon Open 44.84 51.97 54.08 54.10 64.03 70.02
Fri 3:00 44.55 50.92 53.61 53.50 63.81 70.01
Fri Open 44.20 50.61 53.34 53.27 63.55 69.93
Thu 3:00 44.25 51.10 53.35 53.24 63.38 69.82
Thu Open 44.31 50.66 53.07 52.95 63.28 69.69
Wed 3:00 44.32 50.67 53.02 52.84 63.24 69.65
Wed Open 44.01 50.33 52.78 52.59 63.03 69.32
Tue 3:00 43.93 50.42 52.73 52.51 63.06 69.28
Tue Open 44.10 50.52 52.79 52.61 63.04 69.27
--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.