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Free AccessUS TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR NOV 18
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USZ USF TYZ TYF FVZ FVF EDZ EDF
FRI 1500 6.75% 7.65% 3.57% 4.07% 2.22% 2.63% 16.38% N/A
FRI OPEN 8.04% 8.10% 4.09% 4.28% 2.61% 2.72% 16.15% N/A
THU 1500 7.95% 8.07% 4.09% 4.24% 2.61% 2.73% 17.00% N/A
THU OPEN 8.06% 8.00% 4.16% 4.17% 2.57% 2.67% 16.62% N/A
WED 1500 8.08% 8.15% 4.12% 4.24% 2.65% 2.74% 16.35% N/A
WED OPEN 8.40% 8.22% 4.33% 4.25% 2.75% 2.75% 16.90% N/A
TUE 1500 8.85% 8.38% 4.62% 4.37% 2.95% 2.84% 15.76% N/A
TUE OPEN 8.98% 8.44% 4.73% 4.43% 3.02% 2.84% 15.63% N/A
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
DEC19 10Y NOTE 131.00 C 155,679 -128 128.00 P 125,987 -704
JAN20 10Y NOTE 131.50 C 94,143 +5,017 127.00 P 60,165 -2,992
DEC19 5Y NOTE 119.50 C 92,981 UNCH 116.00 P 119,610 UNCH
JAN20 5Y NOTE 120.50 C 66,061 -100 118.75 P 67,027 UNCH
DEC19 2Y NOTE 108.00 C 29,923 +72 107.00 P 29,375 UNCH
JAN20 2Y NOTE 107.88 C 6,308 UNCH 107.62 P 8,971 -105
DEC19 EURODLR 98.25 C 584,189 +3,477 97.25 P1,066,055 UNCH
JAN20 EURODLR 99.00 C 100,356 UNCH 98.12 P 161,144 +800
DEC20 1Y-MIDC 98.75 C 210,537 +2,102 98.12 P 201,993 UNCH
DEC21 2Y-MIDC 98.50 C 89,870 -501 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 27,579 +750 128.50 P 90,044 +659
DEC19 10Y NOTE 129.00 C 38,750 -11 129.00 P 76,300 +8,699
JAN20 10Y NOTE 128.50 C 17,481 UNCH 128.50 P 32,620 -482
JAN20 10Y NOTE 129.00 C 29,620 -372 129.00 P 35,952 +4,513
DEC19 5Y NOTE 118.25 C 3,435 -42 118.25 P 51,807 +714
DEC19 5Y NOTE 118.50 C 15,908 -1,476 118.50 P 23,924 -1,164
JAN20 5Y NOTE 118.50 C 31,566 +20 118.50 P 24,031 +7,695
JAN20 5Y NOTE 118.75 C 10,717 +199 118.75 P 67,027 UNCH
DEC19 2Y NOTE 107.50 C 1,912 UNCH 107.50 P 15,820 +158
DEC19 2Y NOTE 107.62 C 4,934 -397 107.62 P 2,824 -245
JAN20 2Y NOTE 107.75 C 274 UNCH 107.75 P 7,151 +919
JAN20 2Y NOTE 107.88 C 6,308 UNCH 107.88 P 4,168 UNCH
DEC19 EURODLR 98.00 C 323,782 +1,774 98.00 P 314,656 +4,988
DEC19 EURODLR 98.12 C 514,950 +4,043 98.12 P 227,416 +550
JAN20 EURODLR 98.25 C 28,840 +2,729 98.25 P 143,143 +4,126
JAN20 EURODLR 98.37 C 49,889 +5,763 98.37 P 28,738 +1,493
DEC20 1Y-MIDC 98.50 C 88,605 +150 98.50 P 102,656 +514
DEC20 1Y-MIDC 98.62 C 142,167 -1,700 98.62 P 50,618 -1,500
DEC21 2Y-MIDC 98.50 C 89,870 -501 98.50 P 62,590 +750
DEC21 2Y-MIDC 98.62 C 58,562 +657 98.62 P 22,118 UNCH
DEC22 3Y-MIDC 98.50 C 35,967 +115 98.50 P 15,476 +250
DEC22 3Y-MIDC 98.62 C 40,301 UNCH 98.62 P 18,440 UNCH
PUT/CALL RATIO FOR VOLUME CLEARED:
DEC19 10Y NOTE PUT/CALL RATIO -- 1.95 (174,116 PUTS VS. 89,623 CALLS)
JAN20 10Y NOTE PUT/CALL RATIO -- 0.70 (61,900 PUTS VS. 87,890 CALLS)
DEC19 5Y NOTE PUT/CALL RATIO -- 2.81 (31,923 PUTS VS. 11,942 CALLS)
JAN20 5Y NOTE PUT/CALL RATIO -- 1.27 (28,927 PUTS VS. 22,009 CALLS)
DEC19 2Y NOTE PUT/CALL RATIO -- 1.66 (3,514 PUTS VS. 2,099 CALLS)
JAN20 2Y NOTE PUT/CALL RATIO -- 5.29 (1,757 PUTS VS. 332 CALLS)
DEC19 EURODLRS PUT/CALL RATIO -- 0.27 (21,356 PUTS VS. 77,618 CALLS)
JAN20 EURODLRS PUT/CALL RATIO -- 1.01 (37,650 PUTS VS. 36,932 CALLS)
DEC20 1Y-MIDCRVE PUT/CALL RATIO -- 0.53 (22,000 PUTS VS. 41,491 CALLS)
DEC21 2Y-MIDCRVE PUT/CALL RATIO -- 0.20 (3,751 PUTS VS. 18,502 CALLS)
DEC22 3Y-MIDCRVE PUT/CALL RATIO -- 0.05 (1,948 PUTS VS. 38,286 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
Fri 1500 58.51 66.60 65.15 66.11 65.49 65.13
Fri Open 59.07 68.11 65.45 67.09 65.66 65.17
Thu 1500 58.91 68.37 66.65 67.83 65.59 64.98
Thu Open 58.34 70.10 66.84 68.54 65.55 64.74
Wed 1500 57.50 73.17 66.77 69.06 65.51 64.78
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
--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.