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Free AccessUS TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR NOV 20
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%
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
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
DEC19 10Y NOTE 131.00 C 154,164 +68 128.00 P 120,677 -1,025
JAN20 10Y NOTE 131.50 C 90,742 -3,938 127.00 P 74,718 +10,862
DEC19 5Y NOTE 119.50 C 92,981 UNCH 116.00 P 119,610 UNCH
JAN20 5Y NOTE 120.50 C 65,264 -797 118.75 P 66,652 UNCH
DEC19 2Y NOTE 108.00 C 29,923 UNCH 107.00 P 29,374 -1
JAN20 2Y NOTE 108.00 C 9,736 UNCH 107.62 P 10,970 -1
DEC19 EURODLR 98.25 C 584,594 +1,456 97.25 P1,066,055 UNCH
JAN20 EURODLR 99.00 C 100,158 UNCH 98.12 P 159,881 -263
DEC20 1Y-MIDC 98.75 C 203,058 -2,660 98.12 P 179,993 -20,000
DEC21 2Y-MIDC 98.00 C 84,249 UNCH 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 129.50 C 67,469 -1,163 129.50 P 41,038 -8,061
DEC19 10Y NOTE 130.00 C 95,382 +2,542 130.00 P 54,837 -1,754
JAN20 10Y NOTE 129.50 C 30,002 -568 129.50 P 26,151 +4,926
JAN20 10Y NOTE 130.00 C 36,390 +4,583 130.00 P 23,571 +6
DEC19 5Y NOTE 118.75 C 18,574 -2,452 118.75 P 39,251 -1,135
DEC19 5Y NOTE 119.00 C 56,774 -1,222 119.00 P 29,511 -13
JAN20 5Y NOTE 119.00 C 15,313 -1,048 119.00 P 7,704 +102
JAN20 5Y NOTE 119.25 C 23,468 +911 119.25 P 5,384 +2
DEC19 2Y NOTE 107.50 C 1,912 UNCH 107.50 P 15,846 +26
DEC19 2Y NOTE 107.62 C 4,984 UNCH 107.62 P 2,774 -50
JAN20 2Y NOTE 107.75 C 410 UNCH 107.75 P 7,351 UNCH
JAN20 2Y NOTE 107.88 C 6,018 UNCH 107.88 P 4,168 UNCH
DEC19 EURODLR 98.00 C 322,083 -10 98.00 P 301,950 +90
DEC19 EURODLR 98.12 C 526,550 +7,500 98.12 P 222,354 +1,520
JAN20 EURODLR 98.25 C 31,040 UNCH 98.25 P 145,593 UNCH
JAN20 EURODLR 98.37 C 51,358 +350 98.37 P 28,738 UNCH
DEC20 1Y-MIDC 98.50 C 89,536 +455 98.50 P 102,651 +652
DEC20 1Y-MIDC 98.62 C 140,209 -1,160 98.62 P 49,071 UNCH
DEC21 2Y-MIDC 98.50 C 84,231 -5,900 98.50 P 56,569 -5,293
DEC21 2Y-MIDC 98.62 C 54,472 -4,095 98.62 P 22,118 UNCH
DEC22 3Y-MIDC 98.50 C 35,580 -300 98.50 P 15,476 UNCH
DEC22 3Y-MIDC 98.62 C 44,171 +3,070 98.62 P 18,440 UNCH
PUT/CALL RATIO FOR VOLUME CLEARED:
DEC19 10Y NOTE PUT/CALL RATIO -- 0.74 (92,078 PUTS VS. 124,702 CALLS)
JAN20 10Y NOTE PUT/CALL RATIO -- 1.16 (87,094 PUTS VS. 75,526 CALLS)
DEC19 5Y NOTE PUT/CALL RATIO -- 3.08 (37,984 PUTS VS. 12,394 CALLS)
JAN20 5Y NOTE PUT/CALL RATIO -- 0.87 (21,145 PUTS VS. 24,737 CALLS)
DEC19 2Y NOTE PUT/CALL RATIO -- 0.21 (217 PUTS VS. 977 CALLS)
JAN20 2Y NOTE PUT/CALL RATIO -- 0.00 (2,451 PUTS VS. 0 CALLS)
DEC19 EURODLRS PUT/CALL RATIO -- 0.06 (3,170 PUTS VS. 50,676 CALLS)
JAN20 EURODLRS PUT/CALL RATIO -- 0.02 (883 PUTS VS. 40,274 CALLS)
DEC20 1Y-MIDCRVE PUT/CALL RATIO -- 1.16 (43,339 PUTS VS. 37,778 CALLS)
DEC21 2Y-MIDCRVE PUT/CALL RATIO -- 0.63 (14,035 PUTS VS. 22,680 CALLS)
DEC22 3Y-MIDCRVE PUT/CALL RATIO -- 1.11 (20,664 PUTS VS. 18,164 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
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
--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.