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Free AccessUS TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR MAY 18
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USM USN TYM TYN FVM FVN EDM EDN
1100 10.90% 9.74% 4.30% 3.93% 2.34% 2.13% 82.20% 104.70%
0915 10.76% 9.67% 4.35% 3.94% 2.19% 2.11% 89.65% 106.74%
MON OPEN 10.85% 9.74% 4.12% 3.95% 2.19% 2.10% 99.89% 105.61%
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
JUN'20 10Y NOTE 131.00 C 25,030 UNCH 135.00 P 105,061 -3
JUL'20 10Y NOTE 140.00 C 43,572 -653 138.00 P 43,469 +3,754
JUN'20 5Y NOTE 126.50 C 78,490 -753 113.00 P 202,033 UNCH
JUL'20 5Y NOTE 126.25 C 38,614 +368 124.75 P 10,265 +1,997
JUN'20 2Y NOTE 110.25 C 65,628 -1 106.50 P 41,126 UNCH
JUL'20 2Y NOTE 110.38 C 82 UNCH 110.25 P 5,085 UNCH
JUN'20 EURODLR 99.50 C 413,542 +200 98.25 P 619,337 UNCH
JUL'20 EURODLR 99.62 C 163,698 UNCH 99.50 P 207,557 +1,796
JUN'21 1Y-MIDC 99.75 C 131,385 -5,025 98.50 P 201,925 UNCH
JUN'22 2Y-MIDC 99.62 C 85,873 UNCH 99.37 P 110,236 +856
JUN'23 3Y-MIDC 99.62 C 57,939 UNCH 98.75 P 25,810 UNCH
NEAREST ATM: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
JUN'20 10Y NOTE 139.00 C 59,811 -2,562 139.00 P 42,754 +1,649
JUN'20 10Y NOTE 139.50 C 57,880 +148 139.50 P 12,711 +1,130
JUL'20 10Y NOTE 138.50 C 17,703 +473 138.50 P 25,923 +5,027
JUL'20 10Y NOTE 139.00 C 23,224 -15 139.00 P 12,777 +1,589
JUN'20 5Y NOTE 125.50 C 38,532 -1,607 125.50 P 18,657 +706
JUN'20 5Y NOTE 125.75 C 26,086 +308 125.75 P 3,978 +71
JUL'20 5Y NOTE 125.50 C 9,866 +51 125.50 P 5,856 +1,218
JUL'20 5Y NOTE 125.75 C 12,421 +977 125.75 P 4,593 +3,845
JUN'20 2Y NOTE 110.12 C 39,621 UNCH 110.12 P 1,724 UNCH
JUN'20 2Y NOTE 110.25 C 65,628 -1 110.25 P 41,126 UNCH
JUL'20 2Y NOTE 110.25 C 6 UNCH 110.25 P 5,085 UNCH
JUL'20 2Y NOTE 110.38 C 82 UNCH 110.38 P 5,010 UNCH
JUN'20 EURODLR 99.62 C 277,157 -4,485 99.62 P 211,045 +133
JUN'20 EURODLR 99.75 C 342,057 +2,623 99.75 P 2,752 +750
JUL'20 EURODLR 99.62 C 163,698 UNCH 99.62 P 118,871 +270
JUL'20 EURODLR 99.75 C 151,618 -35,227 99.75 P 69,078 +547
JUN'21 1Y-MIDC 99.75 C 131,385 -5,025 99.75 P 30,796 -700
JUN'21 1Y-MIDC 99.88 C 35,875 -514 99.88 P 4,325 UNCH
JUN'22 2Y-MIDC 99.75 C 73,505 +100 99.75 P 49,701 UNCH
JUN'22 2Y-MIDC 99.88 C 15,943 UNCH 99.88 P 0 UNCH
JUN'23 3Y-MIDC 99.38 C 37,986 UNCH 99.38 P 19,147 UNCH
JUN'23 3Y-MIDC 99.50 C 22,850 UNCH 99.50 P 10,894 UNCH
PUT/CALL RATIO FOR VOLUME CLEARED:
JUN'20 10Y NOTE PUT/CALL RATIO -- 0.58 (52,438 PUTS VS. 89,010 CALLS)
JUL'20 10Y NOTE PUT/CALL RATIO -- 1.75 (49,873 PUTS VS. 28,713 CALLS)
JUN'20 5Y NOTE PUT/CALL RATIO -- 0.59 (13,170 PUTS VS. 22,172 CALLS)
JUL'20 5Y NOTE PUT/CALL RATIO -- 2.12 (17,591 PUTS VS. 7,926 CALLS)
JUN'20 2Y NOTE PUT/CALL RATIO -- 0.00 (0 PUTS VS. 2 CALLS)
JUL'20 2Y NOTE PUT/CALL RATIO -- 0.00 (150 PUTS VS. 0 CALLS)
JUN'20 EURODLRS PUT/CALL RATIO -- 2.24 (112,374 PUTS VS. 50,431 CALLS)
JUL'20 EURODLRS PUT/CALL RATIO -- 0.26 (29,305 PUTS VS. 108,572 CALLS)
JUN'21 1Y-MIDCRVE PUT/CALL RATIO -- 1.65 (17,186 PUTS VS. 10,405 CALLS)
JUN'22 2Y-MIDCRVE PUT/CALL RATIO -- 1.33 (8,770 PUTS VS. 6,563 CALLS)
JUN'23 3Y-MIDCRVE PUT/CALL RATIO -- 38.8 (4,850 PUTS VS. 125 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
1100 37.01 64.55 50.44 66.61 64.11 61.81
0915 35.99 65.23 50.65 66.62 64.11 61.79
Mon Open 36.00 64.26 50.86 66.72 64.06 61.78
--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.