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Free AccessUS TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR MAY 30
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%
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 102,063 +517 124.00 P 96,716 +7,136
SEP19 10Y NOTE 126.00 C 39,920 +10,923 112.00 P 39,785 UNCH
JUL19 5Y NOTE 117.25 C 49,386 +3,030 116.00 P 79,177 +4,693
SEP19 5Y NOTE 116.75 C 9,213 +886 106.50 P 80,403 UNCH
JUL19 2Y NOTE 107.00 C 10,512 -68 106.25 P 14,653 UNCH
SEP19 2Y NOTE 107.12 C 6,098 +5,292 104.12 P 15,023 UNCH
JUN19 EURODLR 97.37 C 364,374 UNCH 96.75 P 728,209 UNCH
JUL19 EURODLR 97.37 C 206,242 UNCH 97.50 P 145,081 +2,379
JUN19 1Y-MIDC 98.00 C 208,697 -25,200 97.62 P 319,871 UNCH
JUN20 2Y-MIDC 97.75 C 106,325 UNCH 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 102,063 +517 126.00 P 15,006 +11,670
JUL19 10Y NOTE 126.50 C 68,498 +1,404 126.50 P 475 +26
SEP19 10Y NOTE 126.00 C 39,920 +10,923 126.00 P 13,316 +13,082
SEP19 10Y NOTE 126.50 C 10,670 +3,548 126.50 P 217 +52
JUL19 5Y NOTE 116.75 C 29,704 -21 116.75 P 1,256 +392
JUL19 5Y NOTE 117.00 C 44,760 +943 117.00 P 2,803 +2,726
SEP19 5Y NOTE 116.75 C 9,213 +886 116.75 P 115 UNCH
SEP19 5Y NOTE 117.00 C 7,307 -9 117.00 P 956 +927
JUL19 2Y NOTE 107.00 C 10,512 -68 107.00 P 1,109 +958
JUL19 2Y NOTE 107.12 C 7,111 -11 107.12 P 50 +50
SEP19 2Y NOTE 107.00 C 42 +12 107.00 P 6,250 +6,243
SEP19 2Y NOTE 107.12 C 6,098 +5,292 107.12 P 144 +143
JUN19 EURODLR 97.25 C 251,959 UNCH 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 UNCH 97.37 P 138,172 UNCH
JUN20 1Y-MIDC 97.50 C 70,077 -1,315 97.50 P 224,220 UNCH
JUN20 1Y-MIDC 97.62 C 98,431 +4,208 97.62 P 319,871 UNCH
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 UNCH
PUT/CALL RATIO FOR VOLUME CLEARED:
JUN19 10Y NOTE PUT/CALL RATIO -- 0.75 (152,498 PUTS VS. 202,475 CALLS)
JUL19 10Y NOTE PUT/CALL RATIO -- 0.95 (57,912 PUTS VS. 61,200 CALLS)
JUN19 5Y NOTE PUT/CALL RATIO -- 2.62 (126,808 PUTS VS. 48,418 CALLS)
JUL19 5Y NOTE PUT/CALL RATIO -- 0.73 (11,767 PUTS VS. 15,534 CALLS)
JUN19 2Y NOTE PUT/CALL RATIO -- 4.81 (5,334 PUTS VS. 1,119 CALLS)
JUL19 2Y NOTE PUT/CALL RATIO -- 3.68 (23,298 PUTS VS. 6,369 CALLS)
JUN19 EURODLRS PUT/CALL RATIO -- 0.07 (525 PUTS VS. 7,200 CALLS)
JUL19 EURODLRS PUT/CALL RATIO -- 1.11 (49,686 PUTS VS. 44,478 CALLS)
JUN20 1Y-MIDCRVE PUT/CALL RATIO -- 0.21 (44,830 PUTS VS. 206,155 CALLS)
JUN21 2Y-MIDCRVE PUT/CALL RATIO -- 0.63 (43,924 PUTS VS. 68,087 CALLS)
JUN22 3Y-MIDCRVE PUT/CALL RATIO -- 0.15 (3,000 PUTS VS. 20,050 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
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.