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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 USF TYZ TYF FVZ FVF EDZ EDF
TUE 1500 7.80% 7.51% 3.97% 4.09% 2.40% 2.64% 16.28% 25.05%
1315 8.03% 7.49% 4.06% 4.06% 2.42% 2.65% 15.94% 24.45%
1145 7.82% 7.42% 4.04% 4.03% 2.48% 2.62% 15.80% 24.00%
0915 7.80% 7.35% 3.95% 4.01% 2.50% 2.59% 15.50% 23.15%
TUE OPEN 8.13% 7.50% 4.19% 4.03% 2.75% 2.65% 15.45% 23.35%
MON 1500 7.67% 7.65% 4.13% 4.12% 2.59% 2.69% 16.08% 23.35%
MON OPEN 8.16% 7.80% 4.35% 4.17% 2.78% 2.72% 16.30% 23.85%
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 154,096 -1,583 128.00 P 121,695 -3,588
JAN20 10Y NOTE 131.50 C 94,680 +537 127.00 P 63,856 +3,711
DEC19 5Y NOTE 119.50 C 92,981 UNCH 116.00 P 119,610 UNCH
JAN20 5Y NOTE 120.50 C 66,061 UNCH 118.75 P 66,652 -375
DEC19 2Y NOTE 108.00 C 29,923 UNCH 107.00 P 29,375 UNCH
JAN20 2Y NOTE 108.00 C 9,736 +5,263 107.62 P 10,971 +2,000
DEC19 EURODLR 98.25 C 583,138 -1,051 97.25 P1,066,055 UNCH
JAN20 EURODLR 99.00 C 100,158 UNCH 98.12 P 160,144 -1,000
DEC20 1Y-MIDC 98.75 C 205,718 +4,819 98.12 P 199,993 -2,000
DEC21 2Y-MIDC 98.50 C 90,131 +341 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 27,901 +322 128.50 P 90,461 +417
DEC19 10Y NOTE 129.00 C 37,794 -931 129.00 P 72,293 -4,007
JAN20 10Y NOTE 128.50 C 17,496 +15 128.50 P 37,438 +4,818
JAN20 10Y NOTE 129.00 C 30,588 +968 129.00 P 38,868 +2,916
DEC19 5Y NOTE 118.25 C 3,432 -3 118.25 P 54,451 +2,644
DEC19 5Y NOTE 118.50 C 16,414 +506 118.50 P 21,311 -2,613
JAN20 5Y NOTE 118.50 C 31,566 UNCH 118.50 P 24,010 -21
JAN20 5Y NOTE 118.75 C 10,717 UNCH 118.75 P 66,652 -375
DEC19 2Y NOTE 107.50 C 1,912 UNCH 107.50 P 15,820 UNCH
DEC19 2Y NOTE 107.62 C 4,984 +50 107.62 P 2,824 UNCH
JAN20 2Y NOTE 107.75 C 410 +136 107.75 P 7,351 +200
JAN20 2Y NOTE 107.88 C 6,018 -290 107.88 P 4,168 UNCH
DEC19 EURODLR 98.00 C 322,093 -1,689 98.00 P 301,860 -12,796
DEC19 EURODLR 98.12 C 519,050 +4,100 98.12 P 220,834 -6,582
JAN20 EURODLR 98.25 C 31,040 +2,200 98.25 P 145,593 +2,450
JAN20 EURODLR 98.37 C 51,008 +1,119 98.37 P 28,738 +1,493
DEC20 1Y-MIDC 98.50 C 89,081 +476 98.50 P 101,999 -657
DEC20 1Y-MIDC 98.62 C 141,369 -798 98.62 P 49,071 -1,547
DEC21 2Y-MIDC 98.50 C 90,131 +341 98.50 P 61,862 -728
DEC21 2Y-MIDC 98.62 C 58,567 +5 98.62 P 22,118 UNCH
DEC22 3Y-MIDC 98.50 C 35,880 -87 98.50 P 15,476 +250
DEC22 3Y-MIDC 98.62 C 41,101 +800 98.62 P 18,440 UNCH
PUT/CALL RATIO FOR VOLUME CLEARED:
DEC19 10Y NOTE PUT/CALL RATIO -- 1.01 (123,687 PUTS VS. 122,087 CALLS)
JAN20 10Y NOTE PUT/CALL RATIO -- 2.63 (100,569 PUTS VS. 38,816 CALLS)
DEC19 5Y NOTE PUT/CALL RATIO -- 0.54 (30,526 PUTS VS. 55,836 CALLS)
JAN20 5Y NOTE PUT/CALL RATIO -- 7.04 (28,927 PUTS VS. 4,176 CALLS)
DEC19 2Y NOTE PUT/CALL RATIO -- 2.12 (3,454 PUTS VS. 1,672 CALLS)
JAN20 2Y NOTE PUT/CALL RATIO -- 0.29 (2,832 PUTS VS. 9,444 CALLS)
DEC19 EURODLRS PUT/CALL RATIO -- 0.27 (21,356 PUTS VS. 77,618 CALLS)
JAN20 EURODLRS PUT/CALL RATIO -- 0.25 (8,706 PUTS VS. 33,496 CALLS)
DEC20 1Y-MIDCRVE PUT/CALL RATIO -- 0.53 (22,000 PUTS VS. 41,491 CALLS)
DEC21 2Y-MIDCRVE PUT/CALL RATIO -- 0.48 (14,391 PUTS VS. 29,613 CALLS)
DEC22 3Y-MIDCRVE PUT/CALL RATIO -- 1.85 (6,556 PUTS VS. 3,556 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 1500 58.84 66.37 64.68 64.64 65.28 64.85
1315 58.51 66.39 64.53 64.60 65.24 64.76
1145 58.46 66.43 64.55 64.64 65.29 64.82
0915 58.56 66.55 64.70 64.85 65.41 64.96
Tue Open 58.70 66.56 64.76 64.87 65.42 64.96
Mon 1500 58.86 67.73 64.56 64.98 65.18 64.85
Mon Open 58.64 66.83 64.94 65.56 65.36 65.03
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.