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Free AccessUS TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR MAY 29
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USN USU TYN TYU FVN FVU EDM EDN
WED 1500 7.59% 7.19% 4.53% 4.29% 3.03% 2.87% 7.92% 17.95%
1330 7.52% 7.16% 4.54% 4.28% 3.05% 2.86% 7.71% 17.80%
1145 7.65% 7.24% 4.56% 4.31% 3.08% 2.90% 7.80% 18.14%
0930 7.65% 7.29% 4.51% 4.31% 3.07% 2.88% 7.40% 18.10%
WED OPEN 7.69% 7.31% 4.56% 4.34% 3.07% 2.89% 7.28% 17.50%
TUE 1500 7.05% 6.95% 4.23% 4.14% 2.95% 2.81% 7.10% 16.70%
TUE OPEN 6.65% 6.68% 4.01% 3.90% 2.70% 2.65% 7.41% 15.35%
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
JUL19 10Y NOTE 126.00 C 101,546 +13,190 124.00 P 89,577 +571
SEP19 10Y NOTE 126.00 C 28,997 +1,037 112.00 P 39,785 +2,085
JUL19 5Y NOTE 117.25 C 46,356 +6,232 116.00 P 74,484 +12,016
SEP19 5Y NOTE 116.75 C 8,327 -1 106.50 P 80,403 UNCH
JUL19 2Y NOTE 107.00 C 10,580 +711 106.25 P 14,653 UNCH
SEP19 2Y NOTE 107.25 C 4,248 +5 104.12 P 15,023 +1,875
JUN19 EURODLR 97.37 C 364,374 UNCH 96.75 P 728,209 UNCH
JUL19 EURODLR 97.37 C 206,242 -7,500 97.50 P 142,702 +2,499
JUN19 1Y-MIDC 98.00 C 233,897 -2,865 97.62 P 319,871 -1
JUN20 2Y-MIDC 98.00 C 118,249 -1,788 97.50 P 110,468 UNCH
JUN21 3Y-MIDC 97.75 C 94,808 UNCH 97.62 P 80,749 UNCH
NEAREST ATM: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
JUL19 10Y NOTE 126.00 C 101,546 +13,190 126.00 P 3,336 +355
JUL19 10Y NOTE 126.50 C 67,094 +14,707 126.50 P 449 -2
SEP19 10Y NOTE 126.00 C 28,997 +1,037 126.00 P 234 +154
SEP19 10Y NOTE 126.50 C 7,122 -721 126.50 P 165 -1
JUL19 5Y NOTE 116.75 C 29,725 -2,934 116.75 P 864 +385
JUL19 5Y NOTE 117.00 C 44,442 +194 117.00 P 77 -8
SEP19 5Y NOTE 116.75 C 8,327 -1 116.75 P 115 +100
SEP19 5Y NOTE 117.00 C 7,316 +1,379 117.00 P 29 -1
JUL19 2Y NOTE 107.00 C 10,580 +711 107.00 P 151 +51
JUL19 2Y NOTE 107.12 C 7,130 +3,862 107.12 P 0 UNCH
SEP19 2Y NOTE 107.00 C 28 +5 107.00 P 7 UNCH
SEP19 2Y NOTE 107.12 C 806 +800 107.12 P 1 UNCH
JUN19 EURODLR 97.25 C 251,959 -1,500 97.25 P 316,665 UNCH
JUN19 EURODLR 97.37 C 364,374 UNCH 97.37 P 255,388 UNCH
JUL19 EURODLR 97.25 C 53,755 UNCH 97.25 P 85,853 UNCH
JUL19 EURODLR 97.37 C 206,242 -7,500 97.37 P 138,172 UNCH
JUN20 1Y-MIDC 97.50 C 71,392 UNCH 97.50 P 224,220 UNCH
JUN20 1Y-MIDC 97.62 C 94,223 -1,750 97.62 P 319,871 -1
JUN21 2Y-MIDC 97.62 C 26,496 UNCH 97.62 P 60,568 UNCH
JUN21 2Y-MIDC 97.75 C 106,325 UNCH 97.75 P 100,992 UNCH
JUN22 3Y-MIDC 97.62 C 27,111 UNCH 97.62 P 80,749 UNCH
JUN22 3Y-MIDC 97.75 C 94,808 UNCH 97.75 P 43,174 -2,675
PUT/CALL RATIO FOR VOLUME CLEARED:
JUN19 10Y NOTE PUT/CALL RATIO -- 0.53 (120,197 PUTS VS. 225,893 CALLS)
JUL19 10Y NOTE PUT/CALL RATIO -- 1.13 (66,058 PUTS VS. 57,913 CALLS)
JUN19 5Y NOTE PUT/CALL RATIO -- 1.25 (68,989 PUTS VS. 55,354 CALLS)
JUL19 5Y NOTE PUT/CALL RATIO -- 1.78 (50,140 PUTS VS. 28,228 CALLS)
JUN19 2Y NOTE PUT/CALL RATIO -- 2.84 (19,948 PUTS VS. 7,004 CALLS)
JUL19 2Y NOTE PUT/CALL RATIO -- 3.37 (5,464 PUTS VS. 1,651 CALLS)
JUN19 EURODLRS PUT/CALL RATIO -- 0.01 (25 PUTS VS. 3,600 CALLS)
JUL19 EURODLRS PUT/CALL RATIO -- 0.91 (108,637 PUTS VS. 119,336 CALLS)
JUN20 1Y-MIDCRVE PUT/CALL RATIO -- 0.19 (33,953 PUTS VS. 172,369 CALLS)
JUN21 2Y-MIDCRVE PUT/CALL RATIO -- 1.22 (45,307 PUTS VS. 37,017 CALLS)
JUN22 3Y-MIDCRVE PUT/CALL RATIO -- 1.73 (9,201 PUTS VS. 5,351 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
Wed 1500 72.39 68.20 71.56 66.31 64.29 69.04
1330 74.00 68.71 72.04 66.75 64.49 69.12
1145 74.52 68.57 72.42 66.97 64.42 69.01
0930 73.87 65.91 71.70 64.34 64.78 69.17
Wed Open 71.12 64.99 70.11 63.71 64.20 68.64
Tue 1500 69.24 62.08 66.65 61.80 63.45 67.49
Tue Open 66.10 60.80 65.60 60.05 62.80 67.45
--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.