Free Trial

US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR MAY 14

EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
             USM    USN     TYM    TYN     FVM    FVN     EDM     EDN
10:15       6.35%  6.36%   3.79%  3.73%   2.61%  2.6%   8.25%   16.09%
TUE OPEN    6.35%  6.36%   3.79%  3.74%   2.65%  2.61%   8.23%   16.39%
MON 3:00    6.58%  6.46%   3.95%  3.88%   2.80%  2.60%   8.60%   16.30%
MON OPEN    6.70%  6.45%   4.00%  3.85%   2.80%  2.55%   8.01%   15.55%
FRI 3:00    5.98%  6.20%   3.51%  3.62%   2.35%  2.43%   8.32%    N/A
FRI OPEN    6.69%  6.38%   4.07%  3.68%   2.76%  2.53%   7.38%    N/A
THU 3:00    6.73%  6.40%   4.02%  3.79%   2.75%  2.54%   7.89%    N/A
THU OPEN    6.80%  6.50%   4.22%  3.97%   2.82%  2.58%   7.90%    N/A
WED 3:00    6.55%  6.17%   3.89%  3.77%   2.61%  2.44%   7.70%    N/A
WED OPEN    6.67%  6.43%   3.98%  3.95%   2.69%  2.54%   8.25%    N/A
TUE 3:00    6.41%  6.40%   3.85%  3.80%   2.54%  2.52%   8.40%    N/A
TUE OPEN    6.28%  6.20%   3.75%  3.62%   2.44%  2.45%   8.81%    N/A
LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE
JUN19 10Y NOTE  125.00 C  118,981   +5,373   122.50 P  190,196    -237
JUL19 10Y NOTE  124.50 C   88,766   -1,311   123.00 P   64,739  +1,950
JUN19 5Y NOTE   116.00 C   52,436   +1,391   108.25 P  151,203    UNCH
JUL19 5Y NOTE   116.50 C   35,384   +3,853   114.75 P   57,233 +16,971
JUN19 2Y NOTE   106.75 C   21,961      -83   105.25 P   46,830    UNCH
JUL19 2Y NOTE   107.38 C    5,401       +1   106.38 P    8,463  +3,000
JUN19 EURODLR    97.62 C  473,481   +4,000    96.75 P  728,209    UNCH
JUL19 EURODLR    97.50 C  233,169  -12,907    97.37 P  125,228  +1,973
JUN19 1Y-MIDC    97.87 C  198,430   +6,077    97.62 P  353,463  -5,550
JUN20 2Y-MIDC    97.75 C  101,364     UNCH    97.50 P  112,718  +1,639
JUN21 3Y-MIDC    97.75 C   92,808     UNCH    97.62 P   80,319    UNCH
NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE
JUN19 10Y NOTE  124.00 C   89,294     -780   124.00 P   41,086 +15,285
JUN19 10Y NOTE  124.50 C  118,578   -7,666   124.50 P   20,324    +128
JUL19 10Y NOTE  124.00 C   20,925     +190   124.00 P   29,079 +11,533
JUL19 10Y NOTE  124.50 C   88,766   -1,311   124.50 P   13,074  +5,492
JUN19 5Y NOTE   115.75 C   29,438     -709   115.75 P   10,642  +2,308
JUN19 5Y NOTE   116.00 C   52,436   +1,391   116.00 P   20,173  +5,498
JUL19 5Y NOTE   115.75 C   14,376       +1   115.75 P   18,600  +2,643
JUL19 5Y NOTE   116.00 C    8,111   +3,430   116.00 P    3,484     -32
JUN19 2Y NOTE   106.50 C   14,365     -101   106.50 P   23,275  +8,122
JUN19 2Y NOTE   106.62 C   13,533      +35   106.62 P    3,430    +615
JUL19 2Y NOTE   106.50 C    2,150     UNCH   106.50 P    6,111     +25
JUL19 2Y NOTE   106.62 C    2,776       +5   106.62 P    2,513    +172
JUN19 EURODLR    97.25 C  257,214     UNCH    97.25 P  309,081    UNCH
JUN19 EURODLR    97.37 C  366,426     -516    97.37 P  250,275    UNCH
JUL19 EURODLR    97.25 C   53,755     UNCH    97.25 P   85,853     +15
JUL19 EURODLR    97.37 C  211,071   +2,425    97.37 P  125,228  +1,973
JUN20 1Y-MIDC    97.50 C   77,293   +1,510    97.50 P  211,831     +25
JUN20 1Y-MIDC    97.62 C   99,936     -400    97.62 P  353,463  -5,550
JUN21 2Y-MIDC    97.62 C   26,496     UNCH    97.62 P   66,911  +9,667
JUN21 2Y-MIDC    97.75 C  101,364     UNCH    97.75 P   90,561  +2,060
JUN22 3Y-MIDC    97.62 C   27,111     UNCH    97.62 P   80,319    UNCH
JUN22 3Y-MIDC    97.75 C   92,808     UNCH    97.75 P   46,350    UNCH
PUT/CALL RATIO FOR VOLUME CLEARED:
JUN19 10Y NOTE PUT/CALL RATIO   -- 0.65 (117,292 PUTS VS. 180,185 CALLS)
JUL19 10Y NOTE PUT/CALL RATIO   -- 0.70 (75,389 PUTS VS. 107,591 CALLS)
JUN19 5Y NOTE PUT/CALL RATIO    -- 1.07 (103,561 PUTS VS. 96,591 CALLS)
JUL19 5Y NOTE PUT/CALL RATIO    -- 2.02 (60,046 PUTS VS. 29,700 CALLS)
JUN19 2Y NOTE PUT/CALL RATIO    -- 4.51 (17,642 PUTS VS. 3,953 CALLS)
JUL19 2Y NOTE PUT/CALL RATIO    -- 1.20 (6,902 PUTS VS. 6,031 CALLS)
JUN19 EURODLRS PUT/CALL RATIO   -- 0.11 (6,865 PUTS VS. 57,752 CALLS)
JUL19 EURODLRS PUT/CALL RATIO   -- 0.35 (48,631 PUTS VS. 129,252 CALLS)
JUN20 1Y-MIDCRVE PUT/CALL RATIO -- 0.35 (51,657 PUTS VS. 145,671 CALLS)
JUN21 2Y-MIDCRVE PUT/CALL RATIO -- 0.35 (40,072 PUTS VS. 112,889 CALLS)
JUN22 3Y-MIDCRVE PUT/CALL RATIO -- 0.40 (3,025 PUTS VS. 7,525 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
10:15       62.36    59.94    61.78    57.23    60.18     64.65
Tue Open    61.72    60.60    62.09    57.49    60.38     64.54
Mon 3:00    61.69    60.39    62.17    57.64    60.27     64.78
Mon Open    56.90    55.80    58.15    54.95    59.25     64.15
Fri 3:00    55.63    54.06    56.58    54.14    59.11     64.21
Fri Open    56.45    55.84    57.50    55.13    59.43     64.31
Thu 3:00    56.48    56.61    58.40    55.44    59.33     64.20
Thu Open    53.25    54.29    57.39    54.24    59.39     64.20
Wed 3:00    52.29    53.39    57.04    54.19    59.43     64.30
Wed Open    54.59    54.51    58.57    55.41    59.78     64.41
Tue 3:00    55.22    53.73    56.73    54.64    59.07     64.18
Tue Open    51.07    51.94    55.00    52.02    58.17     63.34
--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.