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Free AccessUS TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR OCT 21
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USX USZ TYV TYZ FVV FVZ EDX EDZ
0930 N/A 9.17% N/A 5.06% N/A 3.43% 25.71% 26.60%
MON OPEN 11.25% 9.27% 6.00% 5.12% 3.96% 3.45% 25.90% 26.60%
FRI 1500 9.21% 8.97% 5.26% 4.97% 3.44% 3.36% 24.68% 26.00%
FRI OPEN 9.45% 9.12% 5.29% 5.05% 3.41% 3.39% 25.70% 26.85%
THU 1500 9.30% 8.98% 5.10% 5.02% 3.27% 3.33% 26.00% 27.35%
THU OPEN 9.37% 9.04% 5.24% 5.00% 3.52% 3.40% 26.35% 27.65%
WED 1500 9.37% 9.04% 5.24% 5.00% 3.52% 3.40% 26.35% 27.65%
WED OPEN 9.55% 9.07% 5.30% 5.05% 3.63% 3.40% 26.55% 27.00%
TUE 1500 9.31% 9.06% 5.20% 5.06% 3.64% 3.45% 25.74% 27.05%
TUE OPEN 9.16% 8.97% 5.14% 5.04% 3.50% 3.43% 26.48% 28.49%
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
NOV19 10Y NOTE 132.00 C 116,473 +1,383 128.00 P 113,908 +356
DEC19 10Y NOTE 132.00 C 109,278 +5,677 128.00 P 127,672 +2,767
NOV19 5Y NOTE 120.50 C 82,546 UNCH 118.25 P 68,497 +158
DEC19 5Y NOTE 119.75 C 55,313 -1,245 118.25 P 51,164 +317
NOV19 2Y NOTE 108.00 C 18,474 +3,180 107.50 P 11,934 -100
DEC19 2Y NOTE 108.00 C 18,045 +7,931 106.75 P 13,542 +6,942
NOV19 EURODLR 98.25 C 202,232 +9,687 97.87 P 133,966 +1,645
DEC19 EURODLR 98.37 C 692,910 +27,030 97.25 P1,066,055 UNCH
DEC20 1Y-MIDC 98.87 C 192,722 +1,250 98.00 P 197,456 -8,820
DEC21 2Y-MIDC 98.50 C 85,760 +278 97.37 P 125,829 UNCH
DEC22 3Y-MIDC 97.37 C 52,101 UNCH 97.37 P 63,651 UNCH
NEAREST ATM: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
NOV19 10Y NOTE 129.50 C 23,252 +416 129.50 P 96,499 +10,854
NOV19 10Y NOTE 130.00 C 47,870 +2,196 130.00 P 77,324 -2,223
DEC19 10Y NOTE 129.50 C 20,997 +161 129.50 P 65,791 +69
DEC19 10Y NOTE 130.00 C 53,180 -42 130.00 P 64,730 +1,108
NOV19 5Y NOTE 118.75 C 7,627 UNCH 118.75 P 38,630 -3,916
NOV19 5Y NOTE 119.00 C 29,653 +1,600 119.00 P 27,727 -2,145
DEC19 5Y NOTE 118.75 C 4,635 UNCH 118.75 P 42,146 UNCH
DEC19 5Y NOTE 119.00 C 12,203 -369 119.00 P 19,082 -51
NOV19 2Y NOTE 107.75 C 3,176 -78 107.75 P 5,964 +125
NOV19 2Y NOTE 107.88 C 7,276 -60 107.88 P 5,521 UNCH
DEC19 2Y NOTE 107.75 C 3,995 +1,500 107.75 P 13,091 +4
DEC19 2Y NOTE 107.88 C 11,764 UNCH 107.88 P 3,121 UNCH
NOV19 EURODLR 98.00 C 95,783 -457 98.00 P 108,371 +693
NOV19 EURODLR 98.12 C 190,226 -1,322 98.12 P 38,382 +1,650
DEC19 EURODLR 98.00 C 350,751 -50 98.00 P 396,716 -4,100
DEC19 EURODLR 98.12 C 481,729 +1,888 98.12 P 189,047 +7,100
DEC20 1Y-MIDC 98.50 C 97,352 +1,134 98.50 P 55,642 +90
DEC20 1Y-MIDC 98.62 C 81,194 UNCH 98.62 P 51,713 UNCH
DEC21 2Y-MIDC 98.50 C 85,760 +278 98.50 P 39,324 -28
DEC21 2Y-MIDC 98.62 C 65,386 +4,000 98.62 P 21,340 UNCH
DEC22 3Y-MIDC 98.50 C 34,602 UNCH 98.50 P 11,750 UNCH
DEC22 3Y-MIDC 98.62 C 27,777 -11 98.62 P 18,440 UNCH
PUT/CALL RATIO FOR VOLUME CLEARED:
NOV19 10Y NOTE PUT/CALL RATIO -- 1.44 (108,621 PUTS VS. 75,672 CALLS)
DEC19 10Y NOTE PUT/CALL RATIO -- 0.47 (83,412 PUTS VS. 174,828 CALLS)
NOV19 5Y NOTE PUT/CALL RATIO -- 1.82 (31,103 PUTS VS. 17,453 CALLS)
DEC19 5Y NOTE PUT/CALL RATIO -- 0.13 (12,418 PUTS VS. 91,164 CALLS)
NOV19 2Y NOTE PUT/CALL RATIO -- 0.53 (2,862 PUTS VS. 5,275 CALLS)
DEC19 2Y NOTE PUT/CALL RATIO -- 0.59 (11,960 PUTS VS. 20,111 CALLS)
NOV19 EURODLRS PUT/CALL RATIO -- 0.31 (24,315 PUTS VS. 78,936 CALLS)
DEC19 EURODLRS PUT/CALL RATIO -- 0.23 (47,080 PUTS VS. 197,940 CALLS)
DEC20 1Y-MIDCRVE PUT/CALL RATIO -- 8.95 (59,851 PUTS VS. 6,750 CALLS)
DEC21 2Y-MIDCRVE PUT/CALL RATIO -- 1.51 (17,200 PUTS VS. 11,400 CALLS)
DEC22 3Y-MIDCRVE PUT/CALL RATIO -- 0.00 (0 PUTS VS. 1,250 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 76.67 82.11 78.21 75.48 67.90 66.66
Mon Open 76.61 80.18 78.02 75.25 67.86 66.57
Fri 1500 76.53 80.03 77.29 74.83 67.81 66.55
Fri Open 76.34 80.08 77.45 75.27 67.89 66.76
Thu 1500 76.98 79.86 78.65 75.92 67.94 66.78
Thu Open 77.72 80.26 78.70 75.97 68.03 66.87
Wed 1500 77.72 80.26 78.70 75.97 68.03 66.87
Wed Open 78.33 81.88 78.77 76.20 68.33 67.15
Tue 1500 78.66 82.32 78.63 76.08 68.58 67.24
Tue Open 78.81 82.43 79.03 76.24 68.63 67.22
--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.