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Free AccessUS TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR OCT 20
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USX USZ TYX TYZ FVX TUZ EDX EDZ
FRI OPEN 7.88% 7.24% 4.23% 3.94% 2.67% 2.50% 13.91% 15.47%
THU 3:00 7.60% 7.25% 4.02% 3.83% 2.50% 2.40% 13.90% 16.25%
THU OPEN 7.60% 7.25% 3.95% 3.86% 2.41% 2.44% 14.20% 17.20%
WED 3:00 7.38% 7.25% 3.74% 3.72% 2.31% 2.36% 13.70% 16.50%
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 115,331 +667 124.50 P 129,933 -6,150
DEC17 10Y NOTE 129.00 C 93,765 -1,654 124.50 P 150,865 -3,201
NOV17 5Y NOTE 118.50 C 45,185 UNCH 116.75 P 44,144 +1,656
DEC17 5Y NOTE 118.25 C 43,907 +17,850 112.25 P 104,871 UNCH
NOV17 EURODLR 98.62 C 104,279 +3,394 98.50 P 118,064 UNCH
DEC17 EURODLR 98.75 C 669,289 UNCH 98.37 P1,094,280 UNCH
DEC18 1Y-MIDC 98.50 C 273,080 UNCH 98.00 P 830,133 +12,390
DEC19 2Y-MIDC 98.25 C 112,629 +24,816 97.75 P 280,897 -21,907
DEC20 3Y-MIDC 97.87 C 67,174 UNCH 97.75 P 115,620 +500
NEAREST ATM: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
NOV17 10Y NOTE 125.50 C 42,701 +992 125.50 P 86,629 -1,261
NOV17 10Y NOTE 126.00 C 60,959 +100 126.00 P 47,475 -50
DEC17 10Y NOTE 125.50 C 28,743 +5,208 125.50 P 412531 +2,982
DEC17 10Y NOTE 126.00 C 48,556 +6,660 126.00 P 42,165 -265
NOV17 5Y NOTE 117.50 C 19,282 +2,258 117.50 P 23,119 -100
NOV17 5Y NOTE 117.75 C 23,737 +3,322 117.75 P 20,195 +1
DEC17 5Y NOTE 117.50 C 22,093 +12,729 117.50 P 35,313 -259
DEC17 5Y NOTE 117.75 C 26,377 +5,343 117.75 P 8,025 -1
NOV17 EURODLR 98.50 C 45,822 UNCH 98.50 P 118,064 UNCH
NOV17 EURODLR 98.62 C 104,279 +3,394 98.62 P 13,100 UNCH
DEC17 EURODLR 98.50 C 308,825 +681 98.50 P 578,707 -430
DEC17 EURODLR 98.62 C 558,785 +899 98.62 P 227,453 -10
DEC18 1Y-MIDC 98.12 C 109,548 +8,745 98.12 P 526,651 -12,034
DEC18 1Y-MIDC 98.25 C 232,314 +4,591 98.25 P 193,811 -550
DEC19 2Y-MIDC 97.87 C 29,672 +793 97.88 P 181,313 +781
DEC19 2Y-MIDC 98.00 C 111,522 +13,334 98.00 P 203,582 UNCH
DEC20 3Y-MIDC 97.75 C 54,341 +1,900 97.75 P 115,620 +500
DEC20 3Y-MIDC 97.87 C 67,174 UNCH 97.87 P 71,415 UNCH
PUT/CALL RATIO FOR VOLUME CLEARED:
NOV17 10Y NOTE PUT/CALL RATIO -- 1.12 (168,098 PUTS VS. 149,964 CALLS)
DEC17 10Y NOTE PUT/CALL RATIO -- 0.83 (71,000 PUTS VS. 85,440 CALLS)
NOV17 5Y NOTE PUT/CALL RATIO -- 1.33 (42,046 PUTS VS. 31,403 CALLS)
DEC17 5Y NOTE PUT/CALL RATIO -- 0.35 (29,471 PUTS VS. 84,239 CALLS)
NOV17 EURODLRS PUT/CALL RATIO -- 0.00 (0 PUTS VS. 16,500 CALLS)
DEC17 EURODLRS PUT/CALL RATIO -- 0.09 (3,400 PUTS VS. 34,396 CALLS)
DEC18 1Y-MIDCRVE PUT/CALL RATIO -- 1.11 (30,260 PUTS VS. 27,250 CALLS)
DEC19 2Y-MIDCRVE PUT/CALL RATIO -- 2.39 (126,054 PUTS VS. 52,750 CALLS)
DEC20 3Y-MIDCRVE PUT/CALL RATIO -- 0.48 (5,900 PUTS VS. 12,100 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
Fri Open 43.70 57.32 57.77 58.71 71.13 77.18
Thu 3:00 43.64 56.95 57.32 58.82 71.05 77.14
Thu Open 43.53 56.31 56.88 58.34 70.91 77.05
Wed 3:00 42.43 56.44 56.85 58.38 70.91 77.11
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
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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.