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Free AccessUS TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR MAY 2
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USM USN TYM TYN FVM FVN EDK EDM
3:00 6.85% 6.28% 3.57% 3.70% 2.06% 2.19% 10.02% 10.33%
10:30 6.89% 6.99% 3.61% 3.60% 2.12% 2.27% 12.50% 10.30%
WED OPEN 7.11% 6.94% 3.71% 3.78% 2.25% 2.25% 11.61% 11.40%
TUE 3:00 7.17% 7.02% 3.71% 3.62% 2.26% 2.18% 12.54% 11.65%
TUE OPEN 7.10% 7.29% 3.63% 3.60% 2.27% 2.08% 12.07% 11.19%
MON 3:00 7.20% 6.72% 3.55% 3.77% 2.25% 2.38% 11.37% 11.20%
MON OPEN 7.29% 7.15% 3.74% 3.80% 2.31% 2.34% 12.78% 11.89%
FRI 3:00 6.97% 6.94% 3.56% 3.62% 2.18% 2.44% 10.66% 10.34%
FRI OPEN 7.19% 7.37% 3.66% 3.74% 2.26% 2.52% 10.93% 12.58%
THU 3:00 10.80% 8.44% 4.03% 3.93% 2.38% 2.22% 10.24% 11.12%
THU OPEN 7.75% 7.42% 3.83% 3.88% 2.36% 2.38% 12.25% 11.44%
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
JUN18 10Y NOTE 120.00 C 118,800 -76 119.00 P 149,163 +2,969
JUL18 10Y NOTE 120.00 C 31,583 +336 118.00 P 41,778 +5,336
JUN18 5Y NOTE 114.00 C 41,275 +1,362 105.50 P 156,003 UNCH
JUL18 5Y NOTE 114.25 C 10,970 +292 113.00 P 16,114 +572
JUN18 2Y NOTE 106.80 C 58,101 UNCH 106.12 P 30,223 UNCH
JUL18 2Y NOTE 106.60 C 42,050 UNCH 105.50 P 6,012 UNCH
MAY18 EURODLR 97.87 C 139,198 -1,146 97.62 P 198,335 -2,850
JUN18 EURODLR 97.87 C 392,780 UNCH 97.50 P 591,821 +3,892
JUN19 1Y-MIDC 98.12 C 219,693 UNCH 97.12 P 629,849 -365
JUN20 2Y-MIDC 97.37 C 144,694 UNCH 96.75 P 218,927 -2,842
JUN21 3Y-MIDC 97.25 C 197,873 +2,085 96.62 P 150,186 +635
NEAREST ATM: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
JUN18 10Y NOTE 119.00 C 17,790 +110 119.00 P 156,141 +6,978
JUN18 10Y NOTE 119.50 C 34,642 +1,714 119.50 P 94,482 +1,129
JUL18 10Y NOTE 119.00 C 10,424 +1,097 119.00 P 13,860 +597
JUL18 10Y NOTE 119.50 C 7,131 +826 119.50 P 3,647 +74
JUN18 5Y NOTE 113.00 C 186 +29 113.00 P 50,125 +4,063
JUN18 5Y NOTE 113.50 C 31,606 -1,115 113.50 P 42,503 +1,019
JUL18 5Y NOTE 113.00 C 7,776 +27 113.00 P 16,114 +572
JUL18 5Y NOTE 113.50 C 7,075 +158 113.50 P 5,087 +160
JUN18 2Y NOTE 106.00 C 909 -5 106.00 P 4,176 -114
JUN18 2Y NOTE 106.12 C 8,234 -15 106.12 P 30,223 UNCH
JUL18 2Y NOTE 106.00 C 253 UNCH 106.00 P 60 UNCH
JUL18 2Y NOTE 106.12 C 0 UNCH 106.12 P 1 UNCH
MAY18 EURODLR 97.75 C 65,124 +905 97.75 P 80,561 -2,000
MAY18 EURODLR 97.87 C 139,198 -1,146 97.87 P 13,107 UNCH
JUN18 EURODLR 97.75 C 353,032 +2,800 97.75 P 403,349 UNCH
JUN18 EURODLR 97.87 C 392,780 UNCH 97.87 P 371,867 UNCH
JUN19 1Y-MIDC 97.37 C 150,718 +11,325 97.37 P 335,469 UNCH
JUN19 1Y-MIDC 97.50 C 198,479 +2,562 97.50 P 123,935 UNCH
JUN20 2Y-MIDC 97.00 C 25,728 +250 97.00 P 105,929 -205
JUN20 2Y-MIDC 97.12 C 59,202 UNCH 97.12 P 106,798 UNCH
JUN21 3Y-MIDC 96.87 C 13,284 UNCH 96.87 P 55,028 +1,932
JUN21 3Y-MIDC 97.00 C 108,545 -1,101 97.00 P 75,339 UNCH
PUT/CALL RATIO FOR VOLUME CLEARED:
JUN18 10Y NOTE PUT/CALL RATIO -- 1.20 (72,651 PUTS VS. 60,329 CALLS)
JUL18 10Y NOTE PUT/CALL RATIO -- 1.16 (14,575 PUTS VS. 12,579 CALLS)
JUN18 5Y NOTE PUT/CALL RATIO -- 1.37 (55,506 PUTS VS. 40,500 CALLS)
JUL18 5Y NOTE PUT/CALL RATIO -- 0.87 (4,772 PUTS VS. 5,463 CALLS)
JUN18 2Y NOTE PUT/CALL RATIO -- 1.05 (2,520 PUTS VS. 2,410 CALLS)
JUL18 2Y NOTE PUT/CALL RATIO -- 0.00 (0 PUTS VS. 7,201 CALLS)
MAY18 EURODLRS PUT/CALL RATIO -- 0.66 (5,855 PUTS VS. 8,850 CALLS)
JUN18 EURODLRS PUT/CALL RATIO -- 4.31 (28,428 PUTS VS. 6,600 CALLS)
JUN19 1Y-MIDCRVE PUT/CALL RATIO -- 0.78 (20,550 PUTS VS. 26,300 CALLS)
JUN20 2Y-MIDCRVE PUT/CALL RATIO -- 10.0 (8,000 PUTS VS. 800 CALLS)
JUN21 3Y-MIDCRVE PUT/CALL RATIO -- 0.60 (3,481 PUTS VS. 5,812 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
3:00 41.71 56.04 54.30 59.11 68.43 73.19
10:30 42.02 57.59 54.50 59.56 68.67 73.33
WED OPEN 42.46 58.49 54.86 59.99 69.04 73.55
TUE 3:00 42.53 58.38 54.50 59.51 68.91 73.29
TUE OPEN 42.50 57.82 54.37 59.35 68.64 73.03
MON 3:00 42.49 57.32 54.24 59.12 68.61 72.99
MON OPEN 43.29 57.12 55.10 59.88 68.96 73.34
FRI 3:00 44.14 58.37 56.11 60.76 69.19 73.46
FRI OPEN 44.55 60.43 57.60 61.84 69.74 73.89
THU 3:00 45.08 60.36 58.20 62.10 69.88 73.87
THU OPEN 46.70 62.42 59.48 63.38 70.34 74.22
--MNI Chicago Bureau; +1 630-698-0154; email: ryan.martin@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.