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Free AccessUS TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR OCT 22
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USX USZ TYV TYZ FVV FVZ EDX EDZ
1330 N/A 8.96% N/A 5.00% N/A 3.30% 24.16% 26.30%
1030 N/A 8.92% N/A 5.01% N/A 3.32% 25.45% 25.75%
TUE OPEN N/A 8.94% N/A 5.04% N/A 3.33% 24.22% 26.43%
MON 1500 N/A 9.18% N/A 5.15% N/A 3.41% 24.05% 25.74%
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 113,432 -3,041 128.00 P 110,697 -3,211
DEC19 10Y NOTE 132.00 C 126,308 +17,030 128.00 P 136,768 +9,096
NOV19 5Y NOTE 120.50 C 82,546 UNCH 118.25 P 68,319 -178
DEC19 5Y NOTE 119.75 C 57,313 +2,000 118.25 P 51,690 +526
NOV19 2Y NOTE 108.50 C 18,051 UNCH 107.50 P 11,865 -69
DEC19 2Y NOTE 108.00 C 18,061 +16 107.75 P 16,677 +3,586
NOV19 EURODLR 98.25 C 198,879 -3,353 97.87 P 134,849 +883
DEC19 EURODLR 98.37 C 699,625 +6,715 97.25 P1,066,055 UNCH
DEC20 1Y-MIDC 98.87 C 192,722 UNCH 98.12 P 196,511 UNCH
DEC21 2Y-MIDC 98.50 C 88,855 +3,125 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 23,473 +221 129.50 P 87,676 -8,823
NOV19 10Y NOTE 130.00 C 48,400 +530 130.00 P 75,045 -2,279
DEC19 10Y NOTE 129.50 C 21,070 +73 129.50 P 72,086 +6,295
DEC19 10Y NOTE 130.00 C 54,055 +875 130.00 P 65,623 +893
NOV19 5Y NOTE 118.75 C 7,625 -2 118.75 P 37,190 -1,440
NOV19 5Y NOTE 119.00 C 29,819 +166 119.00 P 21,963 -5,764
DEC19 5Y NOTE 118.75 C 4,199 -436 118.75 P 43,037 +891
DEC19 5Y NOTE 119.00 C 14,802 +2,599 119.00 P 21,490 +2,408
NOV19 2Y NOTE 107.75 C 3,177 +1 107.75 P 5,919 -45
NOV19 2Y NOTE 107.88 C 7,168 -108 107.88 P 5,521 UNCH
DEC19 2Y NOTE 107.75 C 3,992 -3 107.75 P 16,677 +3,586
DEC19 2Y NOTE 107.88 C 11,764 UNCH 107.88 P 3,121 UNCH
NOV19 EURODLR 98.00 C 95,783 UNCH 98.00 P 107,372 -999
NOV19 EURODLR 98.12 C 190,826 +600 98.12 P 39,532 +1,150
DEC19 EURODLR 98.00 C 349,408 -1,343 98.00 P 391,706 -5,010
DEC19 EURODLR 98.12 C 480,392 -887 98.12 P 189,547 +500
DEC20 1Y-MIDC 98.50 C 97,946 +594 98.50 P 52,498 -3,144
DEC20 1Y-MIDC 98.62 C 81,194 UNCH 98.62 P 51,713 UNCH
DEC21 2Y-MIDC 98.50 C 88,855 +3,125 98.50 P 43,182 +3,858
DEC21 2Y-MIDC 98.62 C 65,386 UNCH 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 UNCH 98.62 P 18,440 UNCH
PUT/CALL RATIO FOR VOLUME CLEARED:
NOV19 10Y NOTE PUT/CALL RATIO -- 1.35 (136,611 PUTS VS. 100,626 CALLS)
DEC19 10Y NOTE PUT/CALL RATIO -- 1.25 (131,893 PUTS VS. 104,960 CALLS)
NOV19 5Y NOTE PUT/CALL RATIO -- 1.62 (30,637 PUTS VS. 18,876 CALLS)
DEC19 5Y NOTE PUT/CALL RATIO -- 0.56 (13,894 PUTS VS. 24,395 CALLS)
NOV19 2Y NOTE PUT/CALL RATIO -- 0.06 (145 PUTS VS. 2,110 CALLS)
DEC19 2Y NOTE PUT/CALL RATIO -- 3.86 (11,613 PUTS VS. 2,997 CALLS)
NOV19 EURODLRS PUT/CALL RATIO -- 1.21 (23,301 PUTS VS. 19,216 CALLS)
DEC19 EURODLRS PUT/CALL RATIO -- 0.16 (13,955 PUTS VS. 84,286 CALLS)
DEC20 1Y-MIDCRVE PUT/CALL RATIO -- 2.59 (27,274 PUTS VS. 10,545 CALLS)
DEC21 2Y-MIDCRVE PUT/CALL RATIO -- 1.67 (18,108 PUTS VS. 10,858 CALLS)
DEC22 3Y-MIDCRVE PUT/CALL RATIO -- 50.1 (501 PUTS VS. 10 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
1330 75.06 80.06 76.43 74.20 67.17 65.97
1030 74.92 81.03 76.37 74.11 67.04 65.87
Tue Open 75.78 81.40 77.17 74.55 67.03 65.89
Mon 1500 76.03 82.25 78.09 75.39 67.52 66.29
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
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.