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Free AccessUS TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR OCT 18
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USX USZ TYX TYZ FVX TUZ EDX EDZ
12:00 7.32% 7.16% 3.70% 3.78% 2.24% 2.36% 13.90% 16.75%
10:45 7.12% 7.15% 3.61% 3.77% 2.29% 2.38% 13.80% 16.75%
WED OPEN 7.28% 7.13% 3.60% 3.76% 2.32% 2.38% 14.45% 16.95%
TUE 3:00 7.07% 7.03% 3.48% 3.63% 2.15% 2.32% 14.55% 16.85%
TUE OPEN 7.37% 7.07% 3.50% 3.66% 2.05% 2.26% 14.30% 16.60%
MON 3:00 7.48% 7.15% 3.62% 3.67% 2.32% 2.31% 14.40% 16.25%
MON OPEN 7.50% 7.22% 3.65% 3.71% 2.10% 2.27% 14.14% 16.85%
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
NOV17 10Y NOTE 128.50 C 114,830 -3 124.50 P 151,485 -2,869
DEC17 10Y NOTE 129.00 C 94,945 -278 124.00 P 134,060 +3,046
NOV17 5Y NOTE 118.50 C 70,671 +499 116.75 P 41,873 -2,401
DEC17 5Y NOTE 118.25 C 26,058 -410 112.25 P 104,871 UNCH
NOV17 EURODLR 98.62 C 100,885 +9,330 98.50 P 121,688 +8,075
DEC17 EURODLR 98.75 C 668,028 +300 98.37 P1,122,256 +6,654
DEC18 1Y-MIDC 98.50 C 275,330 -4,000 98.00 P 775,923 +33,643
DEC19 2Y-MIDC 98.50 C 120,712 +250 97.75 P 306,879 -2,420
DEC20 3Y-MIDC 97.87 C 62,913 +737 97.75 P 115,370 -194
NEAREST ATM: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
NOV17 10Y NOTE 125.50 C 39,635 +391 125.50 P 91,379 -245
NOV17 10Y NOTE 126.00 C 65,029 -394 126.00 P 47,533 -595
DEC17 10Y NOTE 125.50 C 23,505 +362 125.50 P 46,587 -1,722
DEC17 10Y NOTE 126.00 C 41,185 -57 126.00 P 42,576 +84
NOV17 5Y NOTE 117.50 C 15,324 -315 117.50 P 23,219 +150
NOV17 5Y NOTE 117.75 C 20,839 +1,564 117.75 P 20,194 UNCH
DEC17 5Y NOTE 117.50 C 8,328 +95 117.50 P 35,572 UNCH
DEC17 5Y NOTE 117.75 C 21,034 +3,249 117.75 P 8,026 +319
NOV17 EURODLR 98.50 C 45,018 +5,971 98.50 P 121,688 +8,075
NOV17 EURODLR 98.62 C 100,885 +9,330 98.62 P 13,100 UNCH
DEC17 EURODLR 98.50 C 300,793 -16,870 98.50 P 604,831 -2,114
DEC17 EURODLR 98.62 C 550,210 +3,231 98.62 P 229,713 +9,500
DEC18 1Y-MIDC 98.12 C 98,603 +5,799 98.12 P 534,385 +1,849
DEC18 1Y-MIDC 98.25 C 228,653 -838 98.25 P 197,985 -4,212
DEC19 2Y-MIDC 97.87 C 27,812 +1,668 97.88 P 187,720 -5,759
DEC19 2Y-MIDC 98.00 C 92,532 +2,595 98.00 P 204,332 +5,095
DEC20 3Y-MIDC 97.75 C 52,191 +1,370 97.75 P 115,370 -194
DEC20 3Y-MIDC 97.87 C 62,913 +737 97.87 P 71,415 UNCH
PUT/CALL RATIO FOR VOLUME CLEARED:
NOV17 10Y NOTE PUT/CALL RATIO -- 1.07 (66,963 PUTS VS. 62,091 CALLS)
DEC17 10Y NOTE PUT/CALL RATIO -- 2.23 (132,418 PUTS VS. 59,171 CALLS)
NOV17 5Y NOTE PUT/CALL RATIO -- 1.12 (19,390 PUTS VS. 17,332 CALLS)
DEC17 5Y NOTE PUT/CALL RATIO -- 6.82 (43,022 PUTS VS. 6,338 CALLS)
NOV17 EURODLRS PUT/CALL RATIO -- 0.51 (16,410 PUTS VS. 31,900 CALLS)
DEC17 EURODLRS PUT/CALL RATIO -- 0.97 (66,948 PUTS VS. 68,348 CALLS)
DEC18 1Y-MIDCRVE PUT/CALL RATIO -- 4.07 (229,810 PUTS VS. 56,394 CALLS)
DEC19 2Y-MIDCRVE PUT/CALL RATIO -- 18.6 (160,427 PUTS VS. 8,570 CALLS)
DEC20 3Y-MIDCRVE PUT/CALL RATIO -- 4.76 (36,150 PUTS VS. 7,631 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
12:00 43.29 56.20 56.89 58.52 70.93 77.15
10:45 43.29 56.06 56.82 58.46 70.91 77.10
Wed Open 42.85 55.90 56.30 58.07 70.83 77.01
Tue 3:00 42.33 56.29 56.27 58.01 70.81 77.04
Tue Open 41.65 56.88 55.88 58.62 70.89 77.09
Mon 3:00 41.14 56.34 55.57 58.75 70.96 77.07
Mon Open 41.44 57.19 56.04 59.28 71.08 77.18
--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.