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

EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
             USF    USH     TYJ    TYH     FVF    FVH     EDZ     EDF
WED OPEN    7.35%  7.62%   4.02%  4.13%   2.52%  2.63%  13.16%  23.82%
TUE 1500    7.47%  7.65%   4.05%  4.10%   2.55%  2.64%  14.15%  23.66%
TUE OPEN    7.41%  7.61%   4.00%  4.12%   2.57%  2.65%  14.98%  23.99%
MON OPEN    7.42%  7.61%   4.04%  4.14%   2.62%  2.66%  15.95%  24.55%
FRI 1500    7.37%   N/A    4.06%   N/A    2.62%   N/A   16.00%  25.05%
FRI OPEN    7.41%   N/A    4.07%   N/A    2.63%   N/A   15.95%  24.95%
THU 1500    7.51%   N/A    4.15%   N/A    2.65%   N/A   15.95%  24.95%
THU OPEN    7.51%   N/A    4.20%   N/A    2.70%   N/A   16.33%  26.91%
WED 1500    7.60%   N/A    4.29%   N/A    2.71%   N/A   16.20%  27.38%
WED OPEN    7.44%   N/A    4.12%   N/A    2.69%   N/A   16.72%  25.95%
LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE
JAN20 10Y NOTE  131.50 C  100,912   +3,738   127.00 P   84,792   +3,917
MAR20 10Y NOTE  134.50 C   56,021     UNCH   117.50 P   63,246     +114
JAN20 5Y NOTE   120.50 C   71,634       +2   118.25 P   69,125     -398
MAR20 5Y NOTE   120.50 C   19,951     UNCH   111.00 P  250,582     UNCH
JAN20 2Y NOTE   108.00 C    9,878      +41   107.62 P   10,721     UNCH
MAR20 2Y NOTE   110.37 C    7,692     UNCH   105.75 P   55,000     UNCH
DEC19 EURODLR    98.25 C  629,397   +1,956    97.25 P1,065,805     -250
JAN20 EURODLR    99.00 C   97,724     UNCH    98.12 P  162,307   +3,251
DEC20 1Y-MIDC    98.75 C  192,944   -4,120    97.50 P  171,536     UNCH
DEC21 2Y-MIDC    98.00 C   84,249     UNCH    97.37 P  125,829     UNCH
DEC22 3Y-MIDC    98.75 C   65,614  +10,606    97.37 P   63,651     UNCH
NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE
JAN20 10Y NOTE  129.50 C   50,836     -146   129.50 P   55,448   +2,129
JAN20 10Y NOTE  130.00 C   73,099     -319   130.00 P   26,876     +200
MAR20 10Y NOTE  129.50 C   13,172   +1,690   129.50 P   10,528   +4,130
MAR20 10Y NOTE  130.00 C   12,934   +3,382   130.00 P    4,758     +289
JAN20 5Y NOTE   119.00 C   16,966      -19   119.00 P   12,888     -261
JAN20 5Y NOTE   119.25 C   31,163     -161   119.25 P    6,019     +194
MAR20 5Y NOTE   119.00 C   15,330     UNCH   119.00 P    3,591     UNCH
MAR20 5Y NOTE   119.25 C    4,788     +478   119.25 P    4,505     +400
JAN20 2Y NOTE   107.75 C      843     UNCH   107.75 P    7,456     UNCH
JAN20 2Y NOTE   107.88 C    5,505     -377   107.88 P    6,674     UNCH
MAR20 2Y NOTE   107.75 C      500     UNCH   107.75 P      373     UNCH
MAR20 2Y NOTE   107.88 C      300     UNCH   107.88 P      330       +5
DEC19 EURODLR    98.00 C  324,701   -1,682    98.00 P  308,841     -250
DEC19 EURODLR    98.12 C  559,409  +10,000    98.12 P  230,136   +5,055
JAN20 EURODLR    98.25 C   31,140     UNCH    98.25 P  145,278     UNCH
JAN20 EURODLR    98.37 C   53,316     +823    98.37 P   29,473     +514
DEC20 1Y-MIDC    98.50 C   87,726   -1,201    98.50 P  106,107   -2,555
DEC20 1Y-MIDC    98.62 C  144,568   +3,750    98.62 P   49,071     UNCH
DEC21 2Y-MIDC    98.50 C   79,314     -100    98.50 P   58,836   +3,416
DEC21 2Y-MIDC    98.62 C   62,709   +3,704    98.62 P   22,017     +262
DEC22 3Y-MIDC    98.50 C   37,824     -650    98.50 P   19,553     -500
DEC22 3Y-MIDC    98.62 C   43,056   -1,740    98.62 P   18,440     UNCH
PUT/CALL RATIO FOR VOLUME CLEARED:
JAN20 10Y NOTE PUT/CALL RATIO   -- 0.72 (63,971 PUTS VS. 88,033 CALLS)
MAR20 10Y NOTE PUT/CALL RATIO   -- 2.18 (59,448 PUTS VS. 27,961 CALLS)
JAN20 5Y NOTE PUT/CALL RATIO    -- 2.75 (33,626 PUTS VS. 12,239 CALLS)
MAR20 5Y NOTE PUT/CALL RATIO    -- 12.3 (55,468 PUTS VS. 4,508 CALLS)
JAN20 2Y NOTE PUT/CALL RATIO    -- 0.14 (345 PUTS VS. 2,374 CALLS)
MAR20 2Y NOTE PUT/CALL RATIO    -- 2.66 (1,659 PUTS VS. 605 CALLS)
DEC19 EURODLRS PUT/CALL RATIO   -- 0.17 (17,108 PUTS VS. 96,048 CALLS)
JAN20 EURODLRS PUT/CALL RATIO   -- 2.88 (26,093 PUTS VS. 9,016 CALLS)
DEC20 1Y-MIDCRVE PUT/CALL RATIO -- 0.71 (52,035 PUTS VS. 73,185 CALLS)
DEC21 2Y-MIDCRVE PUT/CALL RATIO -- 0.63 (7,574 PUTS VS. 11,819 CALLS)
DEC22 3Y-MIDCRVE PUT/CALL RATIO -- 0.09 (2,583 PUTS VS. 25,675 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
Wed Open    57.51    64.32    65.64    65.27    67.37     67.05
Tue 1500    57.46    65.08    65.57    65.16    67.30     66.88
Tue Open    57.99    66.01    65.98    66.13    67.15     66.55
Mon Open    59.16    66.53    66.84    66.81    67.17     66.44
Fri 1500    58.95    66.30    66.15    66.43    66.54     65.98
Fri Open    59.57    66.00    66.27    66.37    66.28     65.66
Thu 1500    60.05    66.03    66.85    66.83    66.39     65.66
Thu Open    60.48    68.47    66.77    66.81    65.75     65.66
Wed 1500    60.42    69.35    66.28    66.48    65.99     65.27
Wed Open    58.84    66.78    64.78    65.03    65.51     64.99
--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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