EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USM USN TYM TYN FVM FVN EDK EDM
WED OPEN 7.63% 7.23% 3.82% 3.60% 2.25% 2.20% 11.46% 10.35%
TUE 3:00 7.29% 7.05% 3.50% 3.46% 2.13% 2.08% 12.96% 9.84%
TUE OPEN 6.91% 6.90% 3.37% 3.34% 2.01% 1.99% 13.83% 10.20%
MON 3:00 7.00% 7.02% 3.40% 3.55% 2.06% 2.15% 12.60% 10.58%
MON OPEN 6.96% 6.93% 3.43% 3.47% 1.98% 2.02% 12.21% 10.54%
FRI 3:00 6.59% 6.73% 3.26% 3.43% 1.98% 2.10% 11.01% 10.74%
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%
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
JUN18 10Y NOTE 120.00 C 129,581 +3,335 119.00 P 177,231 +5,207
JUL18 10Y NOTE 120.00 C 53,248 +554 118.00 P 49,039 +1,507
JUN18 5Y NOTE 113.50 C 38,701 +2,222 105.50 P 156,003 UNCH
JUL18 5Y NOTE 113.50 C 16,451 +953 113.00 P 21,884 UNCH
JUN18 2Y NOTE 106.80 C 58,101 UNCH 106.12 P 30,215 UNCH
JUL18 2Y NOTE 106.25 C 107,400 +44,500 105.50 P 6,012 UNCH
MAY18 EURODLR 97.87 C 139,198 UNCH 97.62 P 202,933 -8,047
JUN18 EURODLR 98.00 C 386,828 +206 97.50 P 574,392 -11,846
JUN19 1Y-MIDC 98.12 C 219,693 UNCH 97.12 P 503,907 -7,600
JUN20 2Y-MIDC 97.37 C 152,294 +4,100 96.75 P 177,952 -550
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 17,830 -5 119.00 P 177,231 +5,207
JUN18 10Y NOTE 119.50 C 36,064 +110 119.50 P 99,560 +1,633
JUL18 10Y NOTE 119.00 C 11,410 -495 119.00 P 19,142 -593
JUL18 10Y NOTE 119.50 C 16,526 +2,401 119.50 P 8,635 +1,008
JUN18 5Y NOTE 113.00 C 8,057 -1 113.00 P 57,795 -185
JUN18 5Y NOTE 113.50 C 38,701 +2,222 113.50 P 45,399 +513
JUL18 5Y NOTE 113.00 C 9,430 -59 113.00 P 21,884 UNCH
JUL18 5Y NOTE 113.50 C 16,451 +953 113.50 P 6,090 -7
JUN18 2Y NOTE 106.00 C 938 UNCH 106.00 P 3,405 +79
JUN18 2Y NOTE 106.12 C 8,242 UNCH 106.12 P 30,215 UNCH
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 62,302 UNCH 97.75 P 80,559 UNCH
MAY18 EURODLR 97.87 C 139,198 UNCH 97.87 P 11,222 UNCH
JUN18 EURODLR 97.75 C 361,203 -465 97.75 P 405,699 -400
JUN18 EURODLR 97.87 C 386,539 +150 97.87 P 371,767 UNCH
JUN19 1Y-MIDC 97.37 C 158,818 UNCH 97.37 P 300,719 UNCH
JUN19 1Y-MIDC 97.50 C 198,479 UNCH 97.50 P 123,935 UNCH
JUN20 2Y-MIDC 97.00 C 25,085 +280 97.00 P 88,902 -910
JUN20 2Y-MIDC 97.12 C 64,066 +3,243 97.12 P 103,894 UNCH
JUN21 3Y-MIDC 96.87 C 13,573 +220 96.87 P 54,813 +131
JUN21 3Y-MIDC 97.00 C 52,634 UNCH 97.00 P 70,207 -250
PUT/CALL RATIO FOR VOLUME CLEARED:
JUN18 10Y NOTE PUT/CALL RATIO -- 2.77 (236,663 PUTS VS. 85,429 CALLS)
JUL18 10Y NOTE PUT/CALL RATIO -- 1.22 (35,252 PUTS VS. 28,828 CALLS)
JUN18 5Y NOTE PUT/CALL RATIO -- 1.42 (15,526 PUTS VS. 10,944 CALLS)
JUL18 5Y NOTE PUT/CALL RATIO -- 0.42 (7,120 PUTS VS. 16,916 CALLS)
JUN18 2Y NOTE PUT/CALL RATIO -- 0.19 (136 PUTS VS. 700 CALLS)
JUL18 2Y NOTE PUT/CALL RATIO -- 0.00 (0 PUTS VS. 89,004 CALLS)
MAY18 EURODLRS PUT/CALL RATIO -- 1.93 (31,950 PUTS VS. 16,542 CALLS)
JUN18 EURODLRS PUT/CALL RATIO -- 2.47 (87,368 PUTS VS. 35,442 CALLS)
JUN19 1Y-MIDCRVE PUT/CALL RATIO-- 174.3 (26,150 PUTS VS. 150 CALLS)
JUN20 2Y-MIDCRVE PUT/CALL RATIO-- 0.47 (7,340 PUTS VS. 15,650 CALLS)
JUN21 3Y-MIDCRVE PUT/CALL RATIO-- 3.78 (25,150 PUTS VS. 6,650 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
WED OPEN 41.28 56.61 55.03 59.39 68.33 73.23
TUE 3:00 40.81 56.46 54.31 58.45 67.93 72.92
Tue Open 40.80 55.66 53.92 58.21 67.70 72.95
Mon 3:00 40.73 55.27 53.65 58.19 67.78 72.82
MON OPEN 41.11 54.70 53.84 58.42 67.93 73.01
FRI 3:00 40.86 54.45 53.60 58.18 67.94 72.74
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
--MNI Chicago Bureau; +1 630-698-0154; email: ryan.martin@marketnews.com
[TOPICS: MTABLE,M$U$$$,M$$FI$,MN$FI$]
