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Free AccessUS TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR NOV 5
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USZ USH TYZ TYH FVZ FVH EDX EDZ
MON OPEN 8.52% 7.75% 4.42% 4.15% 2.61% 2.55% 12.57% 11.95%
FRI 3:00 8.05% 7.68% 4.20% 4.06% 2.44% 2.54% 11.87% 11.70%
FRI OPEN 7.85% 7.79% 4.09% 3.99% 2.40% 2.59% 12.70% 12.11%
THU 3:00 7.84% 7.48% 4.11% 4.06% 2.46% 2.58% 12.23% 11.57%
THU OPEN 7.72% 7.67% 4.02% 4.07% 2.46% 2.62% 13.35% 13.94%
WED 3:00 7.88% 7.65% 4.15% 4.04% 2.58% 2.56% 13.09% 14.12%
WED OPEN 8.07% 7.52% 4.20% 3.98% 2.68% 2.58% 12.96% 13.03%
TUE 3:00 8.26% 7.63% 4.37% 4.07% 2.79% 2.64% 14.10% 12.57%
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 240,013 -3,879 117.50 P 273,021 -9,385
MAR19 10Y NOTE 118.00 C 20,528 +2,371 118.00 P 23,932 +2,307
DEC18 5Y NOTE 112.75 C 72,292 +142 107.25 P 246,719 UNCH
MAR19 5Y NOTE 112.50 C 2,478 +49 112.50 P 2,783 +213
DEC18 2Y NOTE 105.50 C 25,440 -776 105.12 P 17,845 -250
MAR19 2Y NOTE 105.87 C 2,000 UNCH 105.00 P 15 UNCH
NOV18 EURODLR 97.37 C 145,179 +4,217 97.25 P 141,059 +1,029
DEC18 EURODLR 97.62 C 480,450 UNCH 97.25 P 531,180 -45,472
DEC19 1Y-MIDC 97.00 C 439,646 +6,860 96.75 P 569,762 -50,015
DEC20 2Y-MIDC 97.00 C 161,191 -2,296 96.62 P 300,110 +12,553
DEC21 3Y-MIDC 97.50 C 66,598 -500 96.50 P 146,354 UNCH
NEAREST ATM: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
DEC18 10Y NOTE 120.00 C 240,013 -3,879 120.00 P 32,756 -1,029
DEC18 10Y NOTE 120.50 C 93,382 +240 120.50 P 19,870 +3
MAR19 10Y NOTE 120.00 C 6,818 +28 120.00 P 8 +2
MAR19 10Y NOTE 120.50 C 8,252 +1,100 120.50 P 5 UNCH
DEC18 5Y NOTE 113.50 C 44,576 +187 113.50 P 7,025 +206
DEC18 5Y NOTE 113.75 C 21,788 UNCH 113.75 P 392 -3
MAR19 5Y NOTE 113.50 C 1,571 +407 113.50 P 0 UNCH
MAR19 5Y NOTE 113.75 C 860 UNCH 113.75 P 0 UNCH
DEC18 2Y NOTE 105.62 C 10,661 UNCH 105.62 P 322 UNCH
DEC18 2Y NOTE 105.75 C 19,329 -1 105.75 P 247 UNCH
MAR19 2Y NOTE 105.62 C 0 UNCH 105.62 P 0 UNCH
MAR19 2Y NOTE 105.75 C 51 UNCH 105.75 P 14 UNCH
NOV18 EURODLR 97.37 C 146,079 +900 97.37 P 84,672 UNCH
NOV18 EURODLR 97.50 C 89,169 UNCH 97.50 P 3,625 UNCH
DEC18 EURODLR 97.50 C 465,750 +671 97.50 P 336,981 UNCH
DEC18 EURODLR 97.62 C 480,450 UNCH 97.62 P 193,015 UNCH
DEC19 1Y-MIDC 97.12 C 176,168 +1,396 97.12 P 111,527 UNCH
DEC19 1Y-MIDC 97.25 C 193,857 UNCH 97.25 P 84,473 UNCH
DEC20 2Y-MIDC 97.00 C 161,191 -2,296 97.00 P 253,833 UNCH
DEC20 2Y-MIDC 97.12 C 110,345 +2,380 97.12 P 42,633 UNCH
DEC21 3Y-MIDC 96.87 C 57,009 +250 96.87 P 52,879 +250
DEC21 3Y-MIDC 97.00 C 56,852 +1,310 97.00 P 100,303 UNCH
PUT/CALL RATIO FOR VOLUME CLEARED:
DEC18 10Y NOTE PUT/CALL RATIO -- 1.43 (365,215 PUTS VS. 255,542 CALLS)
MAR19 10Y NOTE PUT/CALL RATIO -- 1.35 (11,940 PUTS VS. 8,861 CALLS)
DEC18 5Y NOTE PUT/CALL RATIO -- 4.76 (194,419 PUTS VS. 40,866 CALLS)
MAR19 5Y NOTE PUT/CALL RATIO -- 1.46 (1,578 PUTS VS. 1,080 CALLS)
DEC18 2Y NOTE PUT/CALL RATIO -- 0.35 (2,855 PUTS VS. 8,142 CALLS)
MAR19 2Y NOTE PUT/CALL RATIO -- 0.00 (0 PUTS VS. 0 CALLS)
NOV18 EURODLRS PUT/CALL RATIO -- 3.40 (36,925 PUTS VS. 10,850 CALLS)
DEC18 EURODLRS PUT/CALL RATIO -- 1.93 (144,462 PUTS VS. 74,822 CALLS)
DEC19 1Y-MIDCRVE PUT/CALL RATIO-- 5.81 (391,300 PUTS VS. 67,325 CALLS)
DEC20 2Y-MIDCRVE PUT/CALL RATIO-- 1.41 (41,100 PUTS VS. 29,225 CALLS)
DEC21 3Y-MIDCRVE PUT/CALL RATIO-- 0.00 (2,000 PUTS VS. 0 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 48.67 63.22 61.81 62.17 72.46 76.99
FRI 3:00 48.74 61.88 61.23 61.78 72.46 77.27
FRI OPEN 48.79 60.77 61.54 61.44 72.20 77.00
THU 3:00 49.43 61.25 62.21 62.29 72.23 77.09
THU OPEN 49.79 63.08 62.72 62.55 72.41 77.05
WED 3:00 50.13 64.19 62.85 62.58 72.38 76.99
WED OPEN 52.22 65.44 63.98 63.80 72.49 77.01
TUE 3:00 51.80 64.92 63.82 63.81 72.32 76.79
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
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.