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Free AccessUS TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR MAY 4
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USM USN TYM TYN FVM FVN EDK EDM
3:00 6.59% 6.73% 3.26% 3.43% 1.98% 2.10% 11.01% 10.74%
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
3:00 40.86 54.45 53.60 58.18 67.94 72.74
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$]
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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.