Free Trial

US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR MAY 11

EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
            USM    USN     TYM    TYN     FVM    FVN     EDK     EDM
FRI OPEN   6.34%  6.55%   3.14%  3.18%   1.71%  1.97%   48.52%  10.23%
THU 3:00   6.87%  6.81%   3.35%  3.36%   1.95%  2.03%   15.69%   8.14%
THU OPEN   7.35%  6.58%   3.68%  3.50%   2.18%  2.14%   18.94%   9.11%
WED 3:00   7.53%  6.93%   3.61%  3.42%   2.14%  2.13%   12.26%   9.58%
WED OPEN   7.63%  7.23%   3.82%  3.60%   2.25%  2.20%   11.46%  10.35%
TUE 3:00   7.29%  7.05%   3.50%  3.46%   2.13%  2.08%   12.96%   9.84%
TUE OPEN   6.91%  6.90%   3.37%  3.34%   2.01%  1.99%   13.83%  10.20%
MON 3:00   7.00%  7.02%   3.40%  3.55%   2.06%  2.15%   12.60%  10.58%
MON OPEN   6.96%  6.93%   3.43%  3.47%   1.98%  2.02%   12.21%  10.54%
FRI 3:00   6.59%  6.73%   3.26%  3.43%   1.98%  2.10%   11.01%  10.74%
FRI OPEN   6.86%  6.88%   3.45%  3.40%   2.09%  2.17%   10.62%  10.75%
THU 3:00   6.80%  6.88%   3.40%  3.49%   2.11%  2.18%    7.52%   9.27%
THU OPEN   6.74%  6.70%   3.45%  3.45%   2.09%  2.13%   12.30%  11.15%
     LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE
JUN18 10Y NOTE  120.00 C  126,837     -328   119.00 P  164,194 -14,604
JUL18 10Y NOTE  120.00 C   84,578   +7,782   118.00 P   54,792 +18,476 
JUN18 5Y NOTE   113.50 C   39,533   +2,069   105.50 P  156,003    UNCH
JUL18 5Y NOTE   113.50 C   15,772     -679   113.00 P   22,284    +400
JUN18 2Y NOTE   106.80 C   58,101     UNCH   106.12 P   30,210    UNCH
JUL18 2Y NOTE   106.37 C  112,311     UNCH   105.50 P    6,012    UNCH
MAY18 EURODLR    97.87 C  136,198   -3,000    97.62 P  198,723  -3,215
JUN18 EURODLR    98.00 C  390,339   +3,511    97.50 P  582,035  +6,084
JUN19 1Y-MIDC    98.12 C  219,693     UNCH    97.12 P  509,557  +6,400
JUN20 2Y-MIDC    97.37 C  152,294     UNCH    96.75 P  175,686  -1,266
JUN21 3Y-MIDC    98.00 C  138,150     UNCH    97.25 P  145,831    UNCH
     NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE
JUN18 10Y NOTE  119.00 C   17,724      -16   119.00 P  164,194 -14,604
JUN18 10Y NOTE  119.50 C   45,140     +623   119.50 P   93,059  -6,270
JUL18 10Y NOTE  119.00 C   16,031   +3,315   119.00 P   21,659  +1,611
JUL18 10Y NOTE  119.50 C   21,429   +4,411   119.50 P    8,635      +2
JUN18 5Y NOTE   113.00 C    8,057     UNCH   113.00 P   50,491  -3,329
JUN18 5Y NOTE   113.50 C   39,533   +2,069   113.50 P   41,273  -1,581
JUL18 5Y NOTE   113.00 C    9,625      +80   113.00 P   22,541    +257
JUL18 5Y NOTE   113.50 C   15,779       +7   113.50 P    6,031      +3
JUN18 2Y NOTE   106.00 C      938     UNCH   106.00 P    3,455    UNCH
JUN18 2Y NOTE   106.12 C    8,242     UNCH   106.12 P   30,210    UNCH
JUL18 2Y NOTE   106.00 C      253     UNCH   106.00 P       60    UNCH
JUL18 2Y NOTE   106.12 C    1,056   +1,056   106.12 P        1    UNCH
MAY18 EURODLR    97.75 C   59,192   -2,673    97.75 P   73,435  -3,000
MAY18 EURODLR    97.87 C  136,198   -3,000    97.87 P   11,111    UNCH
JUN18 EURODLR    97.75 C  354,911  -11,332    97.75 P  401,239  -3,600
JUN18 EURODLR    97.87 C  383,698   -2,841    97.87 P  371,767    UNCH 
JUN19 1Y-MIDC    97.37 C  169,296     -600    97.37 P  300,719    UNCH
JUN19 1Y-MIDC    97.50 C  198,229     -250    97.50 P  123,935    UNCH
JUN20 2Y-MIDC    97.00 C   31,135   +5,800    97.00 P   97,329  +7,730
JUN20 2Y-MIDC    97.12 C   65,566   +1,500    97.12 P  103,894    UNCH
JUN21 3Y-MIDC    96.87 C   13,773     +200    96.87 P   56,063  +1,250
JUN21 3Y-MIDC    97.00 C   50,609   +2,060    97.00 P   69,397    -810
     PUT/CALL RATIO FOR VOLUME CLEARED:
     JUN18 10Y NOTE PUT/CALL RATIO  -- 2.36 (231,122 PUTS VS. 97,964 CALLS)
JUL18 10Y NOTE PUT/CALL RATIO  -- 1.70 (86,763 PUTS VS. 50,953 CALLS)
JUN18 5Y NOTE PUT/CALL RATIO   -- 0.93 (19,913 PUTS VS. 21,431 CALLS)
JUL18 5Y NOTE PUT/CALL RATIO   -- 1.36 (13,728 PUTS VS. 10,061 CALLS)
JUN18 2Y NOTE PUT/CALL RATIO   -- 0.01 (1 PUTS VS. 125 CALLS)
JUL18 2Y NOTE PUT/CALL RATIO   -- 0.59 (1,250 PUTS VS. 2,118 CALLS)
MAY18 EURODLRS PUT/CALL RATIO  -- 1.95 (22,525 PUTS VS. 11,525 CALLS)
JUN18 EURODLRS PUT/CALL RATIO  -- 0.91 (39,022 PUTS VS. 42,661 CALLS)
JUN19 1Y-MIDCRVE PUT/CALL RATIO-- 0.81 (12,350 PUTS VS. 15,200 CALLS)
JUN20 2Y-MIDCRVE PUT/CALL RATIO-- 1.96 (28,000 PUTS VS. 14,250 CALLS)
JUN21 3Y-MIDCRVE PUT/CALL RATIO-- 1.00 (1,300 PUTS VS. 1,300 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
FRI OPEN     39.64    53.62    52.70    57.36    67.61    72.42
THU 3:00     40.46    54.43    53.70    58.46    67.86    72.72
THU OPEN     41.12    55.95    54.92    59.36    68.21    73.05
WED 3:00     40.88    55.96    54.41    58.81    68.19    73.04
WED OPEN     41.28    56.61    55.03    59.39    68.33    73.23
TUE 3:00     40.81    56.46    54.31    58.45    67.93    72.92
Tue Open     40.80    55.66    53.92    58.21    67.70    72.95
Mon 3:00     40.73    55.27    53.65    58.19    67.78    72.82
MON OPEN     41.11    54.70    53.84    58.42    67.93    73.01 
FRI 3:00     40.86    54.45    53.60    58.18    67.94    72.74
FRI OPEN     40.99    55.69    53.82    58.54    68.01    73.09
THU 3:00     41.41    55.90    54.22    59.00    68.17    73.15
THU OPEN     41.45    56.10    54.21    59.12    68.26    73.12
--MNI Chicago Bureau; +1 630-698-0154; email: ryan.martin@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.