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Free AccessUS TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR MAY 3
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USM USN TYM TYN FVM FVN EDK EDM
THU OPEN 6.74% 6.70% 3.45% 3.45% 2.09% 2.13% 12.30% 11.15%
WED 3:00 6.85% 6.28% 3.57% 3.70% 2.06% 2.19% 10.02% 10.33%
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 120,466 +1,666 119.00 P 158,916 +2,775
JUL18 10Y NOTE 120.00 C 33,599 +2,016 118.00 P 56,465 +14,687
JUN18 5Y NOTE 113.50 C 34,604 +2,998 105.50 P 156,003 UNCH
JUL18 5Y NOTE 114.25 C 10,970 UNCH 113.00 P 21,569 +5,455
JUN18 2Y NOTE 106.80 C 58,101 UNCH 106.12 P 30,216 -7
JUL18 2Y NOTE 106.37 C 59,501 +54,900 105.50 P 6,012 UNCH
MAY18 EURODLR 97.87 C 139,198 UNCH 97.62 P 215,709 +17,374
JUN18 EURODLR 97.87 C 391,780 -1,000 97.50 P 583,075 -8,746
JUN19 1Y-MIDC 98.12 C 219,693 UNCH 97.12 P 558,068 -71,781
JUN20 2Y-MIDC 97.37 C 144,194 -500 96.75 P 198,933 -19,994
JUN21 3Y-MIDC 97.25 C 197,873 UNCH 96.62 P 150,186 UNCH
NEAREST ATM: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
JUN18 10Y NOTE 119.00 C 17,765 -25 119.00 P 158,916 +2,775
JUN18 10Y NOTE 119.50 C 35,928 +1,286 119.50 P 97,577 +3,095
JUL18 10Y NOTE 119.00 C 11,625 +1,201 119.00 P 15,463 +1,603
JUL18 10Y NOTE 119.50 C 7,822 +691 119.50 P 3,747 +100
JUN18 5Y NOTE 113.00 C 8,049 +7,863 113.00 P 51,518 +1,393
JUN18 5Y NOTE 113.50 C 34,604 +2,998 113.50 P 42,581 +78
JUL18 5Y NOTE 113.00 C 9,430 +1,654 113.00 P 21,569 +5,455
JUL18 5Y NOTE 113.50 C 7,803 +728 113.50 P 5,086 -1
JUN18 2Y NOTE 106.00 C 906 -3 106.00 P 3,567 -609
JUN18 2Y NOTE 106.12 C 8,292 +58 106.12 P 30,216 -7
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 UNCH
MAY18 EURODLR 97.87 C 139,198 -1,146 97.87 P 11,873 -1,234
JUN18 EURODLR 97.75 C 353,057 +25 97.75 P 405,699 +2,350
JUN18 EURODLR 97.87 C 391,780 -1,000 97.87 P 371,867 UNCH
JUN19 1Y-MIDC 97.37 C 150,718 +11,325 97.37 P 309,969 -25,500
JUN19 1Y-MIDC 97.50 C 198,479 +2,562 97.50 P 123,935 UNCH
JUN20 2Y-MIDC 97.00 C 25,178 -550 97.00 P 109,729 +3,800
JUN20 2Y-MIDC 97.12 C 59,427 +225 97.12 P 104,798 -2,000
JUN21 3Y-MIDC 96.87 C 13,284 UNCH 96.87 P 54,778 -250
JUN21 3Y-MIDC 97.00 C 108,545 UNCH 97.00 P 75,239 -100
PUT/CALL RATIO FOR VOLUME CLEARED:
JUN18 10Y NOTE PUT/CALL RATIO -- 1.20 (138,584 PUTS VS. 87,354 CALLS)
JUL18 10Y NOTE PUT/CALL RATIO -- 1.16 (48,527 PUTS VS. 14,552 CALLS)
JUN18 5Y NOTE PUT/CALL RATIO -- 1.37 (31,394 PUTS VS. 49,443 CALLS)
JUL18 5Y NOTE PUT/CALL RATIO -- 0.87 (9,599 PUTS VS. 10,359 CALLS)
JUN18 2Y NOTE PUT/CALL RATIO -- 1.05 (1,073 PUTS VS. 668 CALLS)
JUL18 2Y NOTE PUT/CALL RATIO -- 0.00 (0 PUTS VS. 113,779 CALLS)
MAY18 EURODLRS PUT/CALL RATIO -- 0.66 (25,677 PUTS VS. 2,925 CALLS)
JUN18 EURODLRS PUT/CALL RATIO -- 4.31 (47,437 PUTS VS. 24,643 CALLS)
JUN19 1Y-MIDCRVE PUT/CALL RATIO -- 0.78 (311,400 PUTS VS. 19,025 CALLS)
JUN20 2Y-MIDCRVE PUT/CALL RATIO -- 10.0 (52,500 PUTS VS. 26,000 CALLS)
JUN21 3Y-MIDCRVE PUT/CALL RATIO -- 0.60 (4,600 PUTS VS. 37,950 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
THU OPEN 41.45 56.10 54.21 59.12 68.26 73.12
WED 3:00 41.71 56.04 54.30 59.11 68.43 73.19
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.