Free Trial

US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR NOV 27

EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
            USF    USH     TYF    TYH     FVF    TUH     EDZ     EDF
10:30      7.18%  7.35%   3.40%  3.55%   1.98%  2.14%   16.28%  12.79%
9:00       7.17%  7.36%   3.28%  3.53%   1.98%  2.09%   16.26%  12.03%
MON OPEN   7.19%  7.35%   3.47%  3.42%   2.09%  2.15%   16.70%  12.77%
LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE
JAN18 10Y NOTE  125.50 C   89,358   +7,983   124.00 P  134,801  +8,079
MAR18 10Y NOTE  127.00 C   20,839   +1,748   114.00 P  108,127    UNCH
JAN18 5Y NOTE   118.00 C   24,721     UNCH   116.00 P   25,380  +1,508
MAR18 5Y NOTE   117.25 C   11,392     UNCH   108.50 P  140,106    UNCH
JAN18 2Y NOTE   107.50 C    8,600   +6,130   107.50 P    1,650    UNCH
MAR18 2Y NOTE   107.88 C    3,470     UNCH   107.12 P   21,653    UNCH
DEC17 EURODLR    98.62 C  747,660     UNCH    98.37 P1,074,644  -5,683
JAN18 EURODLR    98.62 C  245,189     UNCH    98.25 P  382,927    UNCH
DEC18 1Y-MIDC    98.50 C  276,378     UNCH    98.00 P  632,371    UNCH
DEC19 2Y-MIDC    97.87 C  148,447     +251    97.75 P  279,523  -3,550
DEC20 3Y-MIDC    97.75 C   92,538     +492    97.75 P  137,869    -235
NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE
JAN18 10Y NOTE  124.00 C    9,900       +5   124.00 P  134,801  +8,079
JAN18 10Y NOTE  124.50 C   28,740     +477   124.50 P   54,822  +5,771
MAR18 10Y NOTE  124.00 C    6,328     UNCH   124.00 P   26,322  +1,866
MAR18 10Y NOTE  124.50 C   13,092     -285   124.50 P   15,916     -61
JAN18 5Y NOTE   116.75 C   10,318     UNCH   116.75 P    7,480    +269
JAN18 5Y NOTE   117.00 C   15,559      -31   117.00 P    8,299    UNCH
MAR18 5Y NOTE   116.75 C    1,613     UNCH   116.75 P    1,866      +2
MAR18 5Y NOTE   117.00 C    3,572     UNCH   117.00 P    3,256    UNCH
JAN18 2Y NOTE   107.00 C        0     UNCH   107.00 P      670    UNCH
JAN18 2Y NOTE   107.12 C      223     UNCH   107.12 P      746     -60
MAR18 2Y NOTE   107.00 C        0     UNCH   107.00 P      434    +250
MAR18 2Y NOTE   107.12 C        1     UNCH   107.12 P   21,653    UNCH
DEC17 EURODLR    98.50 C  456,220     UNCH    98.50 P  510,815      -2
DEC17 EURODLR    98.62 C  747,660     UNCH    98.62 P  210,686    UNCH
JAN18 EURODLR    98.50 C  142,545     UNCH    98.50 P   18,353    UNCH
JAN18 EURODLR    98.62 C  245,189     UNCH    98.62 P        0    UNCH
DEC18 1Y-MIDC    98.12 C  227,882      -19    98.12 P  281,637    UNCH
DEC18 1Y-MIDC    98.25 C  261,831     UNCH    98.25 P  169,730    UNCH
DEC19 2Y-MIDC    97.87 C  148,447     +251    97.88 P  167,836    -420
DEC19 2Y-MIDC    98.00 C  127,037   +3,000    98.00 P  191,929    UNCH
DEC20 3Y-MIDC    97.75 C   92,538     +492    97.75 P  137,869    -235
DEC20 3Y-MIDC    97.87 C   74,718     +750    97.87 P   85,190    UNCH
PUT/CALL RATIO FOR VOLUME CLEARED:
JAN18 10Y NOTE PUT/CALL RATIO -- 1.17 (65,681 PUTS VS. 55,710 CALLS)
MAR18 10Y NOTE PUT/CALL RATIO -- 1.94 (34,874 PUTS VS. 17,967 CALLS)
JAN18 5Y NOTE PUT/CALL RATIO  -- 0.83 (4,696 PUTS VS. 5,603 CALLS)
MAR18 5Y NOTE PUT/CALL RATIO  -- 6.59 (3,455 PUTS VS. 524 CALLS)
JAN18 2Y NOTE PUT/CALL RATIO -- 0.04 (322 PUTS VS. 6,942 CALLS)
MAR18 2Y NOTE PUT/CALL RATIO -- 0.80 (534 PUTS VS. 667 CALLS)
DEC17 EURODLRS PUT/CALL RATIO -- 0.00 (7,502 PUTS VS. 0 CALLS)
JAN18 EURODLRS PUT/CALL RATIO -- 0.33 (2,188 PUTS VS. 6,376 CALLS)
DEC18 1Y-MIDCRVE PUT/CALL RATIO -- 4.33 (5,251 PUTS VS. 1,250 CALLS)
DEC19 2Y-MIDCRVE PUT/CALL RATIO -- 3.05 (17,743 PUTS VS. 5,852 CALLS)
DEC20 3Y-MIDCRVE PUT/CALL RATIO -- 0.47 (9,405 PUTS VS. 19,750 CALLS)
(VOLUME, OPEN INTEREST, PUT/CALL RATIOS FOR VOLUME CLEARED 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
10:30        38.26    51.47    50.31    54.23    68.33    74.27
9:00         38.35    51.94    50.36    54.28    68.35    74.27
Mon Open     38.24    51.50    50.41    54.21    68.35    74.42
--MNI Chicago Bureau; tel: +1 312-431-0089; email: bill.sokolis@marketnews.com
[TOPICS: MTABLE,M$U$$$,M$$FI$,MN$FI$]

To read the full story

Close

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.