Free Trial

US 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$]

To read the full story

Close

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.