EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USX USZ TYV TYZ FVV FVZ EDV EDZ
0930 8.75% 8.95% 4.87% 4.99% 3.41% 3.33% N/A 31.00%
THU OPEN 8.69% 8.90% 4.84% 4.94% 3.26% 3.32% N/A 30.25%
WED 1500 8.75% 9.05% 4.92% 4.98% 3.28% 3.36% N/A 34.58%
WED OPEN 8.96% 9.14% 4.98% 5.01% 3.39% 3.42% N/A 32.05%
TUE 1500 9.08% 9.19% 5.00% 5.05% 3.38% 3.42% N/A 31.62%
TUE OPEN 9.28% 9.36% 5.16% 5.12% 3.48% 3.47% N/A 30.41%
MON 1500 9.09% 9.28% 4.95% 5.13% 3.44% 3.43% N/A 31.50%
FRI 1500 8.83% 9.23% 4.84% 5.05% 3.31% 3.42% 31.30% 33.90%
FRI OPEN 9.39% 9.37% 5.27% 5.22% 3.67% 3.54% 37.90% 36.05%
THU 1500 9.09% 9.16% 5.12% 5.11% 3.45% 3.41% 40.80% 35.95%
THU OPEN 10.01% 9.70% 5.20% 5.30% 3.58% 3.50% 39.10% 36.80%
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
NOV19 10Y NOTE 132.00 C 99,574 +1,471 128.00 P 125,045 -83
DEC19 10Y NOTE 134.00 C 86,004 +4,124 130.00 P 60,143 +3,907
NOV19 5Y NOTE 120.50 C 83,108 +5 115.50 P 72,753 UNCH
DEC19 5Y NOTE 119.75 C 68,188 +1,209 118.25 P 50,983 +286
NOV19 2Y NOTE 108.50 C 16,252 +2,636 107.50 P 13,176 UNCH
DEC19 2Y NOTE 107.88 C 11,764 UNCH 107.75 P 7,357 UNCH
OCT19 EURODLR 98.25 C 457,219 UNCH 98.00 P 126,695 +500
DEC19 EURODLR 98.25 C 613,155 -2,229 97.25 P1,067,355 UNCH
DEC20 1Y-MIDC 98.87 C 174,309 -5,000 98.00 P 203,976 UNCH
DEC21 2Y-MIDC 98.50 C 87,196 UNCH 97.37 P 125,829 UNCH
DEC22 3Y-MIDC 97.37 C 52,101 UNCH 97.37 P 64,958 UNCH
NEAREST ATM: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
NOV19 10Y NOTE 131.50 C 57,121 +3,402 131.50 P 27,065 +3,642
NOV19 10Y NOTE 132.00 C 99,574 +1,471 132.00 P 10,284 +380
DEC19 10Y NOTE 131.50 C 33,387 +109 131.50 P 23,615 +84
DEC19 10Y NOTE 132.00 C 76,785 -1,653 132.00 P 17,102 +378
NOV19 5Y NOTE 120.00 C 53,064 -1,351 120.00 P 26,369 +1,787
NOV19 5Y NOTE 120.25 C 24,661 +1 120.25 P 4,430 UNCH
DEC19 5Y NOTE 120.00 C 46,150 -168 120.00 P 10,556 -166
DEC19 5Y NOTE 120.25 C 12,153 -3 120.25 P 4,514 +50
NOV19 2Y NOTE 108.00 C 14,844 UNCH 108.00 P 2,508 -3
NOV19 2Y NOTE 108.12 C 5,800 -929 108.12 P 330 +3
DEC19 2Y NOTE 108.00 C 7,686 +84 108.00 P 3,929 +180
DEC19 2Y NOTE 108.12 C 7,179 UNCH 108.12 P 784 +23
OCT19 EURODLR 98.00 C 111,305 +351 98.00 P 126,695 +500
OCT19 EURODLR 98.12 C 96,952 -2,650 98.12 P 54,229 -1,400
DEC19 EURODLR 98.00 C 354,040 -8,354 98.00 P 352,542 -15,021
DEC19 EURODLR 98.12 C 488,660 -100 98.12 P 163,556 -1,000
DEC20 1Y-MIDC 98.50 C 91,717 UNCH 98.50 P 55,489 +3,023
DEC20 1Y-MIDC 98.62 C 81,244 -5,100 98.62 P 49,459 +4,836
DEC21 2Y-MIDC 98.50 C 87,196 UNCH 98.50 P 39,832 +3,932
DEC21 2Y-MIDC 98.62 C 60,761 UNCH 98.62 P 20,728 UNCH
DEC22 3Y-MIDC 98.50 C 34,602 UNCH 98.50 P 11,750 -3,750
DEC22 3Y-MIDC 98.62 C 23,062 -1,000 98.62 P 19,240 -1,000
PUT/CALL RATIO FOR VOLUME CLEARED:
NOV19 10Y NOTE PUT/CALL RATIO -- 1.15 (154,102 PUTS VS. 133,789 CALLS)
DEC19 10Y NOTE PUT/CALL RATIO -- 0.92 (53,740 PUTS VS. 57,541 CALLS)
NOV19 5Y NOTE PUT/CALL RATIO -- 1.07 (15,076 PUTS VS. 14,967 CALLS)
DEC19 5Y NOTE PUT/CALL RATIO -- 2.18 (24,567 PUTS VS. 11,280 CALLS)
NOV19 2Y NOTE PUT/CALL RATIO -- 0.97 (7,189 PUTS VS. 7,389 CALLS)
DEC19 2Y NOTE PUT/CALL RATIO -- 5.53 (723 PUTS VS. 134 CALLS)
OCT19 EURODLRS PUT/CALL RATIO -- 0.02 (2,600 PUTS VS. 103,928 CALLS)
DEC19 EURODLRS PUT/CALL RATIO -- 0.22 (52,330 PUTS VS. 229,272 CALLS)
DEC20 1Y-MIDCRVE PUT/CALL RATIO -- 3.23 (55,458 PUTS VS. 17,550 CALLS)
DEC21 2Y-MIDCRVE PUT/CALL RATIO -- 73.6 (16,200 PUTS VS. 220 CALLS)
DEC22 3Y-MIDCRVE PUT/CALL RATIO -- 4.15 (7,967 PUTS VS. 1,900 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
0930 79.24 76.52 77.65 74.52 68.70 68.21
Thu Open 79.54 76.70 78.85 74.64 68.91 68.33
Wed 1500 80.04 77.75 78.26 75.06 69.14 68.72
Wed Open 81.30 80.77 79.07 75.33 68.91 68.31
Tue 1500 81.88 82.11 79.04 75.29 68.89 68.25
Tue Open 81.91 81.84 78.91 75.36 68.73 68.13
Mon 1500 81.97 82.18 79.30 75.57 69.12 68.34
Mon Open 82.69 81.40 79.16 75.57 69.07 68.18
Fri 1500 81.92 81.27 78.84 75.45 69.08 68.22
Fri Open 83.13 86.68 79.98 76.65 69.31 68.18
Thu 1500 82.71 87.33 80.54 77.61 69.28 68.36
Thu Open 81.50 89.70 82.34 80.30 69.60 68.21
--MNI Chicago Bureau; tel: +1 312-431-0089; email: bill.sokolis@marketnews.com
[TOPICS: MTABLE,M$U$$$,M$$FI$,MN$FI$]
