EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USM USN TYM TYN FVM FVN EDK EDM
11:15 6.61% 6.77% 3.27% 3.38% 1.97% 2.06% 9.92% 9.69%
FRI OPEN 6.86% 6.88% 3.45% 3.40% 2.09% 2.17% 10.62% 10.75%
THU 3:00 6.80% 6.88% 3.40% 3.49% 2.11% 2.18% 7.52% 9.27%
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%
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
JUN18 10Y NOTE 120.00 C 125,543 +5,077 119.00 P 167,580 +8,664
JUL18 10Y NOTE 120.00 C 34,649 +1,050 118.00 P 56,821 +356
JUN18 5Y NOTE 113.50 C 35,401 +797 105.50 P 156,003 UNCH
JUL18 5Y NOTE 113.50 C 13,042 +5,239 113.00 P 21,857 +288
JUN18 2Y NOTE 106.80 C 58,101 UNCH 106.12 P 30,215 -1
JUL18 2Y NOTE 106.25 C 62,340 +2,840 105.50 P 6,012 UNCH
MAY18 EURODLR 97.87 C 139,198 UNCH 97.62 P 207,630 -8,079
JUN18 EURODLR 98.00 C 386,622 -3,250 97.50 P 582,625 -450
JUN19 1Y-MIDC 98.12 C 219,693 UNCH 97.12 P 541,438 -16,630
JUN20 2Y-MIDC 97.37 C 144,194 UNCH 96.75 P 197,983 -950
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 18,045 +280 119.00 P 167,580 +8,664
JUN18 10Y NOTE 119.50 C 34,850 -1,078 119.50 P 96,996 -581
JUL18 10Y NOTE 119.00 C 11,839 +214 119.00 P 16,502 +1,039
JUL18 10Y NOTE 119.50 C 11,181 +3,359 119.50 P 4,596 +849
JUN18 5Y NOTE 113.00 C 8,072 +23 113.00 P 57,691 +6,173
JUN18 5Y NOTE 113.50 C 35,401 +797 113.50 P 46,309 +3,728
JUL18 5Y NOTE 113.00 C 9,434 +4 113.00 P 21,857 +288
JUL18 5Y NOTE 113.50 C 13,042 +5,239 113.50 P 5,210 +124
JUN18 2Y NOTE 106.00 C 917 +11 106.00 P 3,567 UNCH
JUN18 2Y NOTE 106.12 C 8,242 -50 106.12 P 30,215 -1
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 65,050 -74 97.75 P 80,559 -2
MAY18 EURODLR 97.87 C 139,198 UNCH 97.87 P 11,872 -1
JUN18 EURODLR 97.75 C 358,909 +5,852 97.75 P 405,699 UNCH
JUN18 EURODLR 97.87 C 384,560 -7,220 97.87 P 371,867 UNCH
JUN19 1Y-MIDC 97.37 C 159,818 +9,100 97.37 P 309,969 UNCH
JUN19 1Y-MIDC 97.50 C 198,479 UNCH 97.50 P 123,935 UNCH
JUN20 2Y-MIDC 97.00 C 25,258 +80 97.00 P 110,862 +1,133
JUN20 2Y-MIDC 97.12 C 66,566 +7,139 97.12 P 103,894 -904
JUN21 3Y-MIDC 96.87 C 13,384 +100 96.87 P 54,678 -100
JUN21 3Y-MIDC 97.00 C 53,434 -55,111 97.00 P 73,934 -1,305
PUT/CALL RATIO FOR VOLUME CLEARED:
JUN18 10Y NOTE PUT/CALL RATIO -- 1.05 (149,971 PUTS VS. 142,240 CALLS)
JUL18 10Y NOTE PUT/CALL RATIO -- 1.22 (33,715 PUTS VS. 27,626 CALLS)
JUN18 5Y NOTE PUT/CALL RATIO -- 1.40 (41,210 PUTS VS. 29,368 CALLS)
JUL18 5Y NOTE PUT/CALL RATIO -- 0.67 (20,860 PUTS VS. 31,037 CALLS)
JUN18 2Y NOTE PUT/CALL RATIO -- 7.37 (4,553 PUTS VS. 618 CALLS)
JUL18 2Y NOTE PUT/CALL RATIO -- 0.00 (0 PUTS VS. 5,641 CALLS)
MAY18 EURODLRS PUT/CALL RATIO -- 126.8 (15,979 PUTS VS. 126 CALLS)
JUN18 EURODLRS PUT/CALL RATIO -- 0.67 (33,807 PUTS VS. 50,351 CALLS)
JUN19 1Y-MIDCRVE PUT/CALL RATIO -- 2.82 (73,900 PUTS VS. 26,200 CALLS)
JUN20 2Y-MIDCRVE PUT/CALL RATIO -- 0.29 (5,600 PUTS VS. 19,100 CALLS)
JUN21 3Y-MIDCRVE PUT/CALL RATIO -- 0.55 (81,050 PUTS VS. 147,650 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
11:15 40.60 54.03 53.14 57.81 67.84 72.85
FRI OPEN 40.99 55.69 53.82 58.54 68.01 73.09
THU 3:00 41.41 55.90 54.22 59.00 68.17 73.15
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
--MNI Chicago Bureau; +1 630-698-0154; email: ryan.martin@marketnews.com
[TOPICS: MTABLE,M$U$$$,M$$FI$,MN$FI$]
