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Free AccessUS TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR OCT 24
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USX USZ TYX TYZ FVX TUZ EDX EDZ
TUE 3:00 N/A 7.78% N/A 4.21% N/A 2.69% 10.60% 14.10%
1:45 N/A 7.84% N/A 4.24% N/A 2.66% 10.50% 13.40%
12:30 N/A 7.82% N/A 4.22% N/A 2.66% 10.25% 13.50%
10:30 N/A 7.75% N/A 4.27% N/A 2.65% 10.40% 12.87%
9:15 N/A 7.72% N/A 4.23% N/A 2.66% 10.95% 12.86%
TUE OPEN N/A 7.71% N/A 4.28% N/A 2.63% 11.25% 12.86%
MON 3:00 N/A 7.62% N/A 4.08% N/A 2.58% 11.22% 12.77%
MON OPEN 8.78% 7.63% 4.88% 4.10% 3.05% 2.60% 11.10% 13.90%
FRI 3:00 7.55% 7.30% 4.09% 3.98% 2.78% 2.53% 12.00% 13.90%
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%
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
NOV17 10Y NOTE 128.50 C 115,414 UNCH 124.50 P 152,534 +2,961
DEC17 10Y NOTE 126.50 C 182,222 +42,373 124.50 P 186,789 +2,673
NOV17 5Y NOTE 118.50 C 45,185 UNCH 116.50 P 35,048 -309
DEC17 5Y NOTE 118.25 C 42,751 -75 112.25 P 104,983 UNCH
NOV17 EURODLR 98.62 C 108,130 UNCH 98.50 P 113,047 UNCH
DEC17 EURODLR 98.75 C 671,789 +500 98.37 P1,091,072 -2,350
DEC18 1Y-MIDC 98.50 C 272,330 -750 98.00 P 834,697 -19,950
DEC19 2Y-MIDC 98.25 C 128,601 UNCH 97.75 P 283,604 +1,765
DEC20 3Y-MIDC 97.87 C 72,155 -600 97.75 P 126,329 -2,024
NEAREST ATM: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
NOV17 10Y NOTE 125.50 C 41,797 -2,447 125.50 P 88,880 -101
NOV17 10Y NOTE 126.00 C 69,454 +10,370 126.00 P 47,408 -1
DEC17 10Y NOTE 125.50 C 80,917 +22,281 125.50 P 55,486 +170
DEC17 10Y NOTE 126.00 C 55,067 +4,033 126.00 P 41,488 -1
NOV17 5Y NOTE 117.50 C 22,214 +2,474 117.50 P 23,122 +3
NOV17 5Y NOTE 117.75 C 23,797 -24 117.75 P 20,195 UNCH
DEC17 5Y NOTE 117.50 C 31,786 +4,709 117.50 P 35,388 UNCH
DEC17 5Y NOTE 117.75 C 23,802 -1,866 117.75 P 8,019 +1
NOV17 EURODLR 98.50 C 48,671 UNCH 98.50 P 118,064 UNCH
NOV17 EURODLR 98.62 C 108,130 UNCH 98.62 P 13,100 UNCH
DEC17 EURODLR 98.50 C 370,499 +6,100 98.50 P 559,600 -4,957
DEC17 EURODLR 98.62 C 609,196 +1,880 98.62 P 224,503 -1,950
DEC18 1Y-MIDC 98.12 C 108,430 +659 98.12 P 529,126 -7,365
DEC18 1Y-MIDC 98.25 C 230,091 -100 98.25 P 193,289 UNCH
DEC19 2Y-MIDC 97.87 C 30,772 +1,100 97.88 P 179,541 -150
DEC19 2Y-MIDC 98.00 C 114,668 +1,566 98.00 P 207,833 +4,251
DEC20 3Y-MIDC 97.75 C 56,580 UNCH 97.75 P 126,329 -2,024
DEC20 3Y-MIDC 97.87 C 72,155 -600 97.87 P 85,615 UNCH
PUT/CALL RATIO FOR VOLUME CLEARED:
NOV17 10Y NOTE PUT/CALL RATIO -- 0.93 (119,589 PUTS VS. 127,380 CALLS)
DEC17 10Y NOTE PUT/CALL RATIO -- 0.25 (59,249 PUTS VS. 228,947 CALLS)
NOV17 5Y NOTE PUT/CALL RATIO -- 0.82 (15,439 PUTS VS. 18,596 CALLS)
DEC17 5Y NOTE PUT/CALL RATIO -- 0.29 (9,487 PUTS VS. 31,696 CALLS)
NOV17 EURODLRS PUT/CALL RATIO -- 1.00 (600 PUTS VS. 600 CALLS)
DEC17 EURODLRS PUT/CALL RATIO -- 1.66 (62,364 PUTS VS. 37,418 CALLS)
DEC18 1Y-MIDCRVE PUT/CALL RATIO -- 12.6 (64,317 PUTS VS. 5,161 CALLS)
DEC19 2Y-MIDCRVE PUT/CALL RATIO -- 3.94 (59,166 PUTS VS. 15,050 CALLS)
DEC20 3Y-MIDCRVE PUT/CALL RATIO -- 4.09 (25,028 PUTS VS. 6,119 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
Tue 3:00 44.22 63.13 60.62 62.43 72.59 77.59
1:45 44.22 63.01 60.57 62.35 72.46 77.59
12:30 44.20 62.83 60.37 62.22 72.36 77.59
10:30 44.24 62.60 59.97 61.80 72.33 77.56
9:15 44.72 62.72 59.97 61.80 72.21 77.10
Tue Open 44.69 62.20 59.79 61.62 72.06 76.83
Mon 3:00 44.57 61.76 59.56 61.40 71.79 77.14
Mon Open 44.02 60.35 59.07 60.92 71.90 77.31
Fri 3:00 43.58 60.28 58.58 60.43 71.67 77.31
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
--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.