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Free AccessUS TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR NOV 13
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USZ USF TYZ TYF FVZ FVF EDX EDZ
1145 8.42% 8.23% 4.27% 4.26% 2.76% 2.75% N/A 16.05%
1030 8.38% 8.17% 4.26% 4.23% 2.71% 2.74% N/A 16.70%
WED OPEN 8.40% 8.22% 4.33% 4.25% 2.75% 2.75% N/A 16.90%
TUE 1500 8.85% 8.38% 4.62% 4.37% 2.95% 2.84% N/A 15.76%
TUE OPEN 8.98% 8.44% 4.73% 4.43% 3.02% 2.84% N/A 15.63%
FRI 1500 8.48% 8.45% 4.39% 4.40% 2.78% 2.86% 16.80% 17.50%
FRI OPEN 9.16% 8.78% 4.63% 4.53% 3.04% 2.94% 15.00% 17.35%
THU 1500 8.96% 8.54% 4.69% 4.50% 2.94% 2.94% 14.75% 17.50%
THU OPEN 8.25% 7.99% 4.15% 4.20% 2.55% 2.65% 15.05% 19.00%
WED 1500 7.98% 7.85% 4.04% 4.08% 2.51% 2.59% 14.45% 19.15%
WED OPEN 7.99% 7.70% 4.05% 4.09% 2.52% 2.54% 16.10% 19.65%
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
DEC19 10Y NOTE 131.00 C 156,034 +2,082 128.00 P 120,543 -5,470
JAN20 10Y NOTE 131.50 C 84,280 +165 127.00 P 62,456 +8,850
DEC19 5Y NOTE 119.50 C 92,481 -9 116.00 P 119,710 UNCH
JAN20 5Y NOTE 120.50 C 64,899 +300 118.75 P 67,127 +375
DEC19 2Y NOTE 108.00 C 29,269 UNCH 107.00 P 29,375 UNCH
JAN20 2Y NOTE 108.00 C 4,239 +710 107.62 P 7,856 +10
NOV19 EURODLR 98.25 C 182,351 UNCH 97.87 P 155,863 UNCH
DEC19 EURODLR 98.25 C 589,108 -543 97.25 P1,066,055 UNCH
DEC20 1Y-MIDC 98.75 C 203,266 UNCH 98.12 P 202,993 UNCH
DEC21 2Y-MIDC 98.50 C 90,103 -25 97.37 P 125,829 UNCH
DEC22 3Y-MIDC 97.37 C 52,101 UNCH 97.37 P 63,651 UNCH
NEAREST ATM: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
DEC19 10Y NOTE 128.50 C 27,005 +4,474 128.50 P 97,371 +2,169
DEC19 10Y NOTE 129.00 C 38,722 +4,877 129.00 P 70,859 -1,445
JAN20 10Y NOTE 128.50 C 18,197 +8,508 128.50 P 28,465 -362
JAN20 10Y NOTE 129.00 C 22,180 +1,680 129.00 P 25,197 +32
DEC19 5Y NOTE 118.25 C 2,872 +250 118.25 P 52,700 +45
DEC19 5Y NOTE 118.50 C 15,362 +602 118.50 P 29,713 -409
JAN20 5Y NOTE 118.50 C 31,549 +4 118.50 P 12,700 -24,265
JAN20 5Y NOTE 118.75 C 10,124 +564 118.75 P 67,127 +375
DEC19 2Y NOTE 107.50 C 1,913 +21 107.50 P 24,472 -704
DEC19 2Y NOTE 107.62 C 5,427 -1,208 107.62 P 3,042 -259
JAN20 2Y NOTE 107.75 C 224 UNCH 107.75 P 4,495 UNCH
JAN20 2Y NOTE 107.88 C 3,009 UNCH 107.88 P 4,168 UNCH
NOV19 EURODLR 98.00 C 42,486 UNCH 98.00 P 137,308 UNCH
NOV19 EURODLR 98.12 C 110,176 +500 98.12 P 33,740 UNCH
DEC19 EURODLR 98.00 C 321,203 -72 98.00 P 306,475 -4,698
DEC19 EURODLR 98.12 C 485,464 -9,175 98.12 P 227,116 +100
DEC20 1Y-MIDC 98.50 C 99,763 +4,250 98.50 P 101,841 UNCH
DEC20 1Y-MIDC 98.62 C 140,924 +1,348 98.62 P 53,718 UNCH
DEC21 2Y-MIDC 98.50 C 90,103 -25 98.50 P 58,738 UNCH
DEC21 2Y-MIDC 98.62 C 55,536 UNCH 98.62 P 22,118 UNCH
DEC22 3Y-MIDC 98.50 C 36,443 -500 98.50 P 15,226 UNCH
DEC22 3Y-MIDC 98.62 C 41,094 UNCH 98.62 P 18,440 UNCH
PUT/CALL RATIO FOR VOLUME CLEARED:
DEC19 10Y NOTE PUT/CALL RATIO -- 2.24 (173,292 PUTS VS. 77,431 CALLS)
JAN20 10Y NOTE PUT/CALL RATIO -- 0.91 (76,765 PUTS VS. 83,137 CALLS)
DEC19 5Y NOTE PUT/CALL RATIO -- 1.31 (20,554 PUTS VS. 15,646 CALLS)
JAN20 5Y NOTE PUT/CALL RATIO -- 10.4 (104,317 PUTS VS. 10,634 CALLS)
DEC19 2Y NOTE PUT/CALL RATIO -- 5.27 (9,566 PUTS VS. 1,873 CALLS)
JAN20 2Y NOTE PUT/CALL RATIO -- 1.01 (1,044 PUTS VS. 1,006 CALLS)
NOV19 EURODLRS PUT/CALL RATIO -- 0.00 (0 PUTS VS. 1,000 CALLS)
DEC19 EURODLRS PUT/CALL RATIO -- 0.25 (17,477 PUTS VS. 67,768 CALLS)
DEC20 1Y-MIDCRVE PUT/CALL RATIO -- 0.52 (6,670 PUTS VS. 12,500 CALLS)
DEC21 2Y-MIDCRVE PUT/CALL RATIO -- 4.91 (4,907 PUTS VS. 1,025 CALLS)
DEC22 3Y-MIDCRVE PUT/CALL RATIO -- 2.87 (2,350 PUTS VS. 850 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
1145 58.35 74.36 66.92 69.42 65.54 64.67
1030 58.07 74.36 66.94 69.37 65.48 64.65
Wed Open 58.12 75.01 67.05 69.45 65.50 64.66
Tue 1500 57.70 76.07 66.55 68.98 65.57 64.57
Tue Open 57.92 72.77 67.28 69.08 66.05 64.85
Fri 1500 57.14 71.10 67.28 69.08 66.05 64.85
Fri Open 58.04 73.82 68.42 70.88 66.20 64.90
Thu 1500 57.51 73.19 69.03 71.16 66.20 64.89
Thu Open 56.80 66.55 65.55 66.60 65.40 64.90
Wed 1500 57.15 66.69 65.11 66.62 65.44 64.94
Wed Open 59.05 65.78 65.05 66.20 65.46 64.77
--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
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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.