Free Trial

US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR MAY 8

EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
             USM    USN     TYM    TYN     FVM    FVN     EDK     EDM
TUE 3:00    6.41%  6.40%   3.85%  3.80%   2.54%  2.52%    N/A    8.40%
TUE OPEN    6.28%  6.20%   3.75%  3.62%   2.44%  2.45%    N/A    8.81%
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%
LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE
JUN19 10Y NOTE  125.00 C  115,793  +10,163   122.50 P  183,719  -1,100
JUL19 10Y NOTE  124.50 C   73,045  +21,493   123.00 P   48,064 +32,039
JUN19 5Y NOTE   116.50 C   54,749   +1,173   108.25 P  151,203    UNCH
JUL19 5Y NOTE   117.25 C   29,526     -200   114.75 P   29,951  +2,623
JUN19 2Y NOTE   106.75 C   18,593     +360   106.25 P   51,996     +29
JUL19 2Y NOTE   106.75 C    3,561     UNCH   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  469,491     +500    96.75 P  728,209    UNCH
JUN19 1Y-MIDC    97.87 C  195,344   -8,937    97.62 P  349,615  +7,300
JUN20 2Y-MIDC    97.75 C   90,049     UNCH    97.50 P  109,370    +239
JUN21 3Y-MIDC    97.75 C   92,317   +1,237    97.62 P   80,764    UNCH
NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE
JUN19 10Y NOTE  124.00 C   99,268   -4,594   124.00 P   21,900    -198
JUN19 10Y NOTE  124.50 C  107,391   +7,736   124.50 P   20,034  -2,451
JUL19 10Y NOTE  124.00 C   18,544   +1,768   124.00 P   13,098  +1,162
JUL19 10Y NOTE  124.50 C   73,045  +21,493   124.50 P    1,447    +844
JUN19 5Y NOTE   115.75 C   30,895     +378   115.75 P    7,240    +147
JUN19 5Y NOTE   116.00 C   48,696   +1,904   116.00 P   15,121    UNCH
JUL19 5Y NOTE   115.75 C   12,694     +100   115.75 P   10,801    +129
JUL19 5Y NOTE   116.00 C    4,062      -72   116.00 P    2,516    UNCH
JUN19 2Y NOTE   106.50 C   15,208     +603   106.50 P   15,000      +1
JUN19 2Y NOTE   106.62 C   12,727   +1,309   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     UNCH   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   47,133    UNCH
JUN19 EURODLR    97.25 C  257,514   -1,611    97.25 P  309,081    UNCH
JUN19 EURODLR    97.37 C  369,174     UNCH    97.37 P  250,275    UNCH
JUN20 1Y-MIDC    97.50 C   75,173     UNCH    97.50 P  215,105    +124
JUN20 1Y-MIDC    97.62 C   97,477     UNCH    97.62 P  349,615  +7,300
JUN21 2Y-MIDC    97.62 C   26,496     UNCH    97.62 P   44,750    +826
JUN21 2Y-MIDC    97.75 C   90,049     UNCH    97.75 P   82,280  -1,272
JUN22 3Y-MIDC    97.62 C   19,449     UNCH    97.62 P   80,764    UNCH
JUN22 3Y-MIDC    97.75 C   92,317   +1,237    97.75 P   49,609  +5,469
PUT/CALL RATIO FOR VOLUME CLEARED:
JUN19 10Y NOTE PUT/CALL RATIO   -- 0.54 (111,411 PUTS VS. 204,744 CALLS)
JUL19 10Y NOTE PUT/CALL RATIO   -- 1.50 (95,257 PUTS VS. 63,403 CALLS)
JUN19 5Y NOTE PUT/CALL RATIO    -- 1.33 (41,943 PUTS VS. 31,306 CALLS)
JUL19 5Y NOTE PUT/CALL RATIO    -- 1.97 (29,099 PUTS VS. 14,743 CALLS)
JUN19 2Y NOTE PUT/CALL RATIO    -- 0.36 (3,631 PUTS VS. 9,125 CALLS)
JUL19 2Y NOTE PUT/CALL RATIO    -- 7.52 (1,504 PUTS VS. 200 CALLS)
MAY19 EURODLRS PUT/CALL RATIO   -- 0.00 (1 PUTS VS. 2,011 CALLS)
JUN19 EURODLRS PUT/CALL RATIO   -- 39.5 (1,000 PUTS VS. 39,545 CALLS)
JUN20 1Y-MIDCRVE PUT/CALL RATIO -- 0.65 (29,262 PUTS VS. 44,409 CALLS)
JUN21 2Y-MIDCRVE PUT/CALL RATIO -- 0.19 (9,691 PUTS VS. 48,631 CALLS)
JUN22 3Y-MIDCRVE PUT/CALL RATIO -- 1.31 (14,902 PUTS VS. 11,317 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
Tue 3:00    55.22    53.73    56.73    54.64    59.07     64.18
Tue Open    51.07    51.94    55.00    52.02    58.17     63.34
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
--MNI Chicago Bureau; tel: +1 312-431-0089; email: bill.sokolis@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.