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Free AccessUS TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR NOV 19
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USZ USH TYZ TYH FVZ FVH EDZ EDF
MON OPEN 6.67% 7.58% 3.34% 4.10% 2.46% 2.71% 10.94% 12.38%
FRI 3:00 5.96% 7.59% 3.29% 4.09% 2.39% 2.68% 10.14% N/A
FRI OPEN 6.00% 7.56% 3.23% 3.97% 2.07% 2.61% 10.54% N/A
THU 3:00 6.09% 7.54% 3.26% 3.99% 2.16% 2.63% 10.78% N/A
THU OPEN 6.52% 7.57% 3.58% 4.05% 2.54% 2.64% 10.32% N/A
WED 3:00 N/A N/A N/A N/A N/A N/A N/A N/A
WED OPEN 6.28% 7.52% 3.42% 4.03% 2.25% 2.55% 10.56% N/A
TUE 3:00 6.63% 7.49% 3.52% 3.98% 2.25% 2.54% 8.92% N/A
TUE OPEN N/A N/A N/A N/A N/A N/A N/A N/A
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
DEC18 10Y NOTE 120.00 C 230,287 -3,479 117.50 P 212,015 +7,336
MAR19 10Y NOTE 123.50 C 40,000 UNCH 118.00 P 25,493 +279
DEC18 5Y NOTE 113.00 C 58,905 -6,309 107.25 P 246,719 UNCH
MAR19 5Y NOTE 112.50 C 8,666 -433 112.25 P 5,705 +228
DEC18 2Y NOTE 105.50 C 23,904 +78 105.12 P 16,673 UNCH
MAR19 2Y NOTE 105.87 C 2,003 UNCH 105.12 P 312 +300
DEC18 EURODLR 97.62 C 483,548 -100 97.25 P 510,035 +2,825
JAN18 EURODLR 97.25 C 149,635 +5,628 97.25 P 94,347 -10,198
DEC19 1Y-MIDC 97.00 C 504,388 +22,050 96.75 P 491,724 -18,950
DEC20 2Y-MIDC 97.00 C 304,368 +1,959 96.62 P 382,872 +586
DEC21 3Y-MIDC 97.00 C 73,872 +1,300 96.50 P 155,804 +750
NEAREST ATM: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
DEC18 10Y NOTE 120.00 C 230,287 -3,479 120.00 P 32,619 -15
DEC18 10Y NOTE 120.50 C 102,572 -904 120.50 P 19,798 UNCH
MAR19 10Y NOTE 120.00 C 14,597 +125 120.00 P 10 +2
MAR19 10Y NOTE 120.50 C 15,176 +312 120.50 P 6 +2
DEC18 5Y NOTE 113.50 C 48,144 +1,256 113.50 P 7,030 UNCH
DEC18 5Y NOTE 113.75 C 21,507 +115 113.75 P 396 -1
MAR19 5Y NOTE 113.50 C 2,180 +139 113.50 P 1 UNCH
MAR19 5Y NOTE 113.75 C 2,119 -126 113.75 P 4 +3
DEC18 2Y NOTE 105.62 C 7,203 -1,196 105.62 P 322 UNCH
DEC18 2Y NOTE 105.75 C 17,615 -689 105.75 P 247 UNCH
MAR19 2Y NOTE 105.62 C 4 UNCH 105.62 P 0 UNCH
MAR19 2Y NOTE 105.75 C 361 +303 105.75 P 14 UNCH
DEC18 EURODLR 97.50 C 442,377 -621 97.50 P 325,946 UNCH
DEC18 EURODLR 97.62 C 483,548 -100 97.62 P 192,501 UNCH
JAN18 EURODLR 97.37 C 131,044 -1,902 97.12 P 86,585 -3,150
JAN18 EURODLR 97.50 C 39,586 -3,705 97.25 P 10,262 -500
DEC19 1Y-MIDC 97.12 C 201,118 +29,082 97.12 P 111,235 UNCH
DEC19 1Y-MIDC 97.25 C 180,698 -11,721 97.25 P 84,588 -260
DEC20 2Y-MIDC 97.00 C 304,368 +1,959 97.00 P 252,429 -754
DEC20 2Y-MIDC 97.12 C 100,339 +484 97.12 P 42,287 UNCH
DEC21 3Y-MIDC 96.87 C 61,735 -250 96.87 P 56,952 UNCH
DEC21 3Y-MIDC 97.00 C 73,872 +1,300 97.00 P 102,203 +500
PUT/CALL RATIO FOR VOLUME CLEARED:
DEC18 10Y NOTE PUT/CALL RATIO -- 0.85 (206,140 PUTS VS. 242,189 CALLS)
MAR19 10Y NOTE PUT/CALL RATIO -- 1.49 (13,717 PUTS VS. 9,229 CALLS)
DEC18 5Y NOTE PUT/CALL RATIO -- 2.01 (200,054 PUTS VS. 99,665 CALLS)
MAR19 5Y NOTE PUT/CALL RATIO -- 0.51 (5,776 PUTS VS. 11,337 CALLS)
DEC18 2Y NOTE PUT/CALL RATIO -- 0.09 (922 PUTS VS. 10,631 CALLS)
MAR19 2Y NOTE PUT/CALL RATIO -- 1.03 (366 PUTS VS. 356 CALLS)
DEC18 EURODLRS PUT/CALL RATIO -- 0.45 (63,576 PUTS VS. 141,284 CALLS)
JAN18 EURODLRS PUT/CALL RATIO -- 1.16 (49,574 PUTS VS. 42,800 CALLS)
DEC19 1Y-MIDCRVE PUT/CALL RATIO-- 0.43 (91,950 PUTS VS. 214,058 CALLS)
DEC20 2Y-MIDCRVE PUT/CALL RATIO-- 1.53 (41,900 PUTS VS. 27,300 CALLS)
DEC21 3Y-MIDCRVE PUT/CALL RATIO-- 12.3 (12,250 PUTS VS. 1,000 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 OPEN 53.88 60.28 62.03 61.35 71.06 77.33
FRI 3:00 51.66 58.85 59.43 60.22 70.79 77.22
FRI OPEN 49.91 58.50 59.09 60.19 70.63 76.97
THU 3:00 49.89 57.60 59.50 60.28 70.70 77.04
THU OPEN 48.47 56.91 58.37 59.52 70.49 76.88
WED 3:00 N/A N/A N/A N/A N/A N/A
WED OPEN 46.26 56.65 57.25 58.73 70.44 76.87
TUE 3:00 45.55 55.77 56.83 58.34 70.31 76.77
TUE OPEN N/A N/A N/A N/A N/A N/A
--MNI Chicago Bureau; +1 630-698-0154; email: ryan.martin@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.