EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USM USN TYM TYN FVM FVN EDM EDN
3:00 7.18% 7.15% 3.55% 3.58% 2.26% 2.21% 12.62% 10.50%
11:00 8.04% 7.35% 4.10% 3.63% 2.20% 2.29% 12.03% 10.83%
TUE OPEN 7.64% 7.35% 4.05% 3.61% 2.30% 2.25% 13.36% 11.23%
MON 3:00 8.07% 7.55% 4.00% 3.80% 2.34% 2.38% 13.04% 11.82%
MON OPEN 7.92% 7.50% 3.83% 3.72% 2.32% 2.28% 12.71% 11.46%
FRI 3:00 6.81% 7.21% 3.37% 3.66% 1.78% 2.18% 12.37% 10.40%
FRI OPEN 7.03% 7.31% 3.46% 3.64% 1.89% 2.23% 12.65% 11.32%
THU 3:00 7.33% 7.47% 3.58% 3.80% 2.14% 2.24% 12.21% 10.68%
THU OPEN 7.57% 7.64% 3.96% 3.90% 2.34% 2.32% 13.31% 10.78%
WED 3:00 7.45% 7.48% 3.66% 3.79% 2.24% 2.27% 12.61% 10.27%
WED OPEN 8.00% 7.45% 4.04% 3.76% 2.40% 2.41% 14.83% 10.96%
TUE 3:00 7.75% 7.44% 3.66% 3.67% 2.32% 2.31% 13.09% 10.13%
TUE OPEN 7.52% 7.04% 3.64% 3.51% 2.12% 2.12% 13.19% 9.89%
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
JUN18 10Y NOTE 120.00 C 119,699 +7,042 118.00 P 155,892 -18,853
JUL18 10Y NOTE 120.00 C 102,403 +1,934 117.50 P 108,947 +9,976
JUN18 5Y NOTE 113.50 C 45,102 +1,037 105.50 P 156,003 UNCH
JUL18 5Y NOTE 113.00 C 60,693 -3 112.25 P 25,025 UNCH
JUN18 2Y NOTE 106.80 C 58,101 UNCH 106.12 P 30,010 UNCH
JUL18 2Y NOTE 106.37 C 112,511 +200 105.50 P 6,013 UNCH
JUN18 EURODLR 98.00 C 387,011 UNCH 97.50 P 558,022 +445
JUL18 EURODLR 97.75 C 110,160 +500 97.37 P 106,865 UNCH
JUN19 1Y-MIDC 98.12 C 219,693 UNCH 97.12 P 475,413 -1,000
JUN20 2Y-MIDC 97.37 C 152,394 UNCH 97.37 P 164,602 UNCH
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 40,073 +327 119.00 P 94,316 -6,991
JUN18 10Y NOTE 119.50 C 67,939 +1,358 119.50 P 79,010 -199
JUL18 10Y NOTE 119.00 C 51,838 +4,440 119.00 P 25,871 UNCH
JUL18 10Y NOTE 119.50 C 90,472 +16,124 119.50 P 9,383 +102
JUN18 5Y NOTE 113.00 C 7,207 -2,927 113.00 P 37,299 -3,292
JUN18 5Y NOTE 113.50 C 45,102 +1,037 113.50 P 34,919 -707
JUL18 5Y NOTE 113.00 C 60,693 -3 113.00 P 22,900 UNCH
JUL18 5Y NOTE 113.50 C 24,014 -466 113.50 P 5,779 -2
JUN18 2Y NOTE 106.00 C 6,542 +2,487 106.00 P 3,254 UNCH
JUN18 2Y NOTE 106.12 C 6,811 UNCH 106.12 P 30,010 UNCH
JUL18 2Y NOTE 106.00 C 1,024 UNCH 106.00 P 60 UNCH
JUL18 2Y NOTE 106.12 C 40,904 UNCH 106.12 P 1 UNCH
JUN18 EURODLR 97.75 C 347,085 +2,520 97.75 P 378,849 +693
JUN18 EURODLR 97.87 C 381,338 UNCH 97.87 P 319,338 -5
JUL18 EURODLR 97.50 C 30,155 UNCH 97.50 P 100,246 UNCH
JUL18 EURODLR 97.62 C 66,766 UNCH 97.62 P 44,198 UNCH
JUN19 1Y-MIDC 97.37 C 153,159 -5,000 97.37 P 257,719 UNCH
JUN19 1Y-MIDC 97.50 C 192,254 UNCH 97.50 P 122,685 -1,000
JUN20 2Y-MIDC 97.00 C 38,555 +5,203 97.00 P 88,953 -244
JUN20 2Y-MIDC 97.12 C 75,005 +5,250 97.12 P 104,144 UNCH
JUN21 3Y-MIDC 96.87 C 19,605 UNCH 96.87 P 54,776 UNCH
JUN21 3Y-MIDC 97.00 C 63,336 UNCH 97.00 P 68,929 UNCH
PUT/CALL RATIO FOR VOLUME CLEARED:
JUN18 10Y NOTE PUT/CALL RATIO -- 1.19 (143,994 PUTS VS. 121,385 CALLS)
JUL18 10Y NOTE PUT/CALL RATIO -- 0.76 (60,670 PUTS VS. 79,392 CALLS)
JUN18 5Y NOTE PUT/CALL RATIO -- 1.58 (25,648 PUTS VS. 16,196 CALLS)
JUL18 5Y NOTE PUT/CALL RATIO -- 2.42 (10,076 PUTS VS. 4,162 CALLS)
JUN18 2Y NOTE PUT/CALL RATIO -- 0.00 (0 PUTS VS. 3,215 CALLS)
JUL18 2Y NOTE PUT/CALL RATIO -- 0.00 (0 PUTS VS. 200 CALLS)
JUN18 EURODLRS PUT/CALL RATIO -- 2.19 (18,726 PUTS VS. 8,550 CALLS)
JUL18 EURODLRS PUT/CALL RATIO -- 3.75 (16,875 PUTS VS. 4,500 CALLS)
JUN19 1Y-MIDCRVE PUT/CALL RATIO-- 0.28 (9,200 PUTS VS. 32,450 CALLS)
JUN20 2Y-MIDCRVE PUT/CALL RATIO-- 0.00 (222,500 PUTS VS. 0 CALLS)
JUN21 3Y-MIDCRVE PUT/CALL RATIO-- 0.00 (0 PUTS VS. 0 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 43.53 59.31 56.77 60.41 69.62 73.42
11:00 43.57 59.41 56.72 60.52 69.49 73.37
TUE OPEN 43.60 59.54 56.72 60.52 69.45 73.32
MON 3:00 43.63 59.72 56.71 60.72 69.33 73.21
MON OPEN 43.50 59.06 56.31 60.50 69.29 73.20
FRI 3:00 43.26 59.09 56.17 60.36 69.12 73.13
FRI OPEN 43.27 60.28 56.90 61.42 69.23 73.24
THU 3:00 43.26 60.12 56.69 61.35 69.19 73.21
THU OPEN 32.62 61.30 57.55 61.97 69.21 73.27
WED 3:00 42.93 60.04 56.60 61.17 69.04 73.32
WED OPEN 42.86 60.12 56.70 61.13 68.91 73.24
TUE 3:00 41.50 61.25 55.05 59.64 68.61 73.15
TUE OPEN 40.74 55.68 53.34 58.08 67.97 72.94
--MNI Chicago Bureau; +1 630-698-0154; email: ryan.martin@marketnews.com
[TOPICS: MTABLE,M$U$$$,M$$FI$,MN$FI$]
