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Free AccessUS TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR MAY 7
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USM USN TYM TYN FVM FVN EDK EDM
MON 3:00 6.02% 5.88% 3.53% 3.56% 2.45% 2.36% N/A 8.22%
MON OPEN 5.98% 5.98% 3.55% 3.56% 2.37% 2.35% 15.52% 7.66%
FRI 3:00 5.32% 5.64% 3.10% 3.30% 2.02% 2.14% 12.60% 6.70%
FRI OPEN 5.30% 5.55% 3.10% 3.25% 2.05% 2.15% 13.35% 7.38%
THU 3:00 5.62% 5.88% 3.30% 3.41% 2.22% 2.23% 12.65% 7.95%
THU OPEN 5.62% 5.75% 3.34% 3.44% 2.35% 2.33% 10.10% 9.20%
WED 3:00 5.62% 5.75% 3.34% 3.44% 2.35% 2.33% 10.10% 9.20%
WED OPEN 5.81% 5.82% 3.55% 3.62% 2.53% 2.48% 12.40% 9.95%
TUE 3:00 5.71% 5.85% 3.41% 3.51% 2.40% 2.45% 12.50% 9.50%
TUE OPEN 5.75% 5.80% 3.44% 3.52% 2.38% 2.49% 12.40% 9.92%
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
JUN19 10Y NOTE 125.00 C 105,630 +774 122.50 P 184,819 +317
JUL19 10Y NOTE 124.50 C 51,552 +1,962 122.50 P 19,155 +2,194
JUN19 5Y NOTE 116.50 C 53,576 +854 108.25 P 151,203 UNCH
JUL19 5Y NOTE 117.25 C 29,726 UNCH 114.75 P 27,328 -150
JUN19 2Y NOTE 106.75 C 18,233 -481 106.25 P 51,967 -1,211
JUL19 2Y NOTE 106.75 C 3,561 +761 106.25 P 10,050 UNCH
MAY19 EURODLR 97.37 C 45,211 UNCH 97.25 P 64,254 UNCH
JUN19 EURODLR 97.62 C 468,991 +1,268 96.75 P 728,209 UNCH
JUN19 1Y-MIDC 97.87 C 204,281 -14,668 97.62 P 342,315 +2,800
JUN20 2Y-MIDC 97.75 C 90,049 +61 97.50 P 109,131 -125
JUN21 3Y-MIDC 97.75 C 91,080 UNCH 97.62 P 80,764 UNCH
NEAREST ATM: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
JUN19 10Y NOTE 123.50 C 90,100 -834 123.50 P 71,706 +8,901
JUN19 10Y NOTE 124.00 C 103,862 -912 124.00 P 22,098 -225
JUL19 10Y NOTE 123.50 C 9,413 -153 123.50 P 12,817 +2,026
JUL19 10Y NOTE 124.00 C 16,776 +3,217 124.00 P 11,936 +3,236
JUN19 5Y NOTE 115.50 C 28,336 +1,524 115.50 P 37,197 +707
JUN19 5Y NOTE 115.75 C 30,517 -3,629 115.75 P 7,093 +37
JUL19 5Y NOTE 115.50 C 11,223 -30 115.50 P 26,842 +6,479
JUL19 5Y NOTE 115.75 C 12,594 +2,033 115.75 P 10,672 +2,168
JUN19 2Y NOTE 106.50 C 14,605 +173 106.50 P 14,999 UNCH
JUN19 2Y NOTE 106.62 C 11,418 +29 106.62 P 2,765 UNCH
JUL19 2Y NOTE 106.50 C 2,150 UNCH 106.50 P 5,049 UNCH
JUL19 2Y NOTE 106.62 C 2,671 +100 106.62 P 2,827 +100
MAY19 EURODLR 97.25 C 5,727 UNCH 97.25 P 64,254 UNCH
MAY19 EURODLR 97.37 C 45,211 UNCH 97.37 P 47,123 UNCH
JUN19 EURODLR 97.25 C 259,125 +1,900 97.25 P 309,081 UNCH
JUN19 EURODLR 97.37 C 369,174 -1,500 97.37 P 250,275 UNCH
JUN20 1Y-MIDC 97.50 C 75,173 -1,234 97.50 P 214,981 -216
JUN20 1Y-MIDC 97.62 C 97,477 UNCH 97.62 P 342,315 +2,800
JUN21 2Y-MIDC 97.62 C 26,496 UNCH 97.62 P 43,924 UNCH
JUN21 2Y-MIDC 97.75 C 90,049 +61 97.75 P 83,552 UNCH
JUN22 3Y-MIDC 97.62 C 19,449 UNCH 97.62 P 80,764 UNCH
JUN22 3Y-MIDC 97.75 C 91,080 UNCH 97.75 P 44,140 UNCH
PUT/CALL RATIO FOR VOLUME CLEARED:
JUN19 10Y NOTE PUT/CALL RATIO -- 0.64 (68,883 PUTS VS. 106,000 CALLS)
JUL19 10Y NOTE PUT/CALL RATIO -- 1.09 (28,791 PUTS VS. 26,385 CALLS)
JUN19 5Y NOTE PUT/CALL RATIO -- 1.80 (17,915 PUTS VS. 9,965 CALLS)
JUL19 5Y NOTE PUT/CALL RATIO -- 4.91 (32,944 PUTS VS. 6,725 CALLS)
JUN19 2Y NOTE PUT/CALL RATIO -- 1.12 (3,631 PUTS VS. 3,283 CALLS)
JUL19 2Y NOTE PUT/CALL RATIO -- 0.04 (103 PUTS VS. 2,100 CALLS)
MAY19 EURODLRS PUT/CALL RATIO -- 0.00 (0 PUTS VS. 2,000 CALLS)
JUN19 EURODLRS PUT/CALL RATIO -- 0.02 (700 PUTS VS. 27,678 CALLS)
JUN20 1Y-MIDCRVE PUT/CALL RATIO -- 0.34 (17,991 PUTS VS. 52,293 CALLS)
JUN21 2Y-MIDCRVE PUT/CALL RATIO -- 0.02 (125 PUTS VS. 5,246 CALLS)
JUN22 3Y-MIDCRVE PUT/CALL RATIO -- 0.00 (0 PUTS VS. 0 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
Mon 3:00 51.15 51.59 55.17 52.01 58.43 63.27
Mon Open 48.65 49.41 53.25 50.18 57.45 62.64
Fri 3:00 47.90 47.49 52.14 49.30 57.38 62.57
Fri Open 48.86 48.12 53.29 49.84 57.68 62.74
Thu 3:00 50.05 47.89 53.80 50.26 58.01 63.03
Thu Open 53.10 48.22 54.25 51.15 58.10 63.50
Wed 3:00 53.04 48.79 54.50 51.19 58.28 63.52
Wed Open 53.77 49.71 55.20 51.29 58.42 63.51
Tue 3:00 53.21 49.74 54.84 51.12 58.56 63.58
Tue Open 51.73 49.79 54.24 51.15 58.56 63.61
--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.