Free Trial

US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR OCT 25

EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
            USX    USZ     TYX    TYZ     FVX    TUZ     EDX     EDZ
9:45        N/A   8.30%    N/A   4.31%    N/A   2.75%   11.91%  14.91%
WED OPEN    N/A   8.16%    N/A   4.32%    N/A   2.73%   11.30%  13.96%
TUE 3:00    N/A   7.78%    N/A   4.21%    N/A   2.69%   10.60%  14.10%
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%
LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE
NOV17 10Y NOTE  128.50 C  115,414     UNCH   124.50 P  136,749 -15,785
DEC17 10Y NOTE  126.50 C  181,671     -551   124.50 P  187,035    +246
NOV17 5Y NOTE   118.50 C   45,185     UNCH   116.50 P   34,199    -849
DEC17 5Y NOTE   118.25 C   42,863     +112   112.25 P  104,983    UNCH
NOV17 EURODLR    98.62 C  122,730  +14,600    98.50 P  114,283  +1,236
DEC17 EURODLR    98.75 C  672,489     +700    98.37 P1,075,873 -15,199
DEC18 1Y-MIDC    98.50 C  271,830     -500    98.00 P  638,091-196,606
DEC19 2Y-MIDC    98.25 C  131,001   +2,400    97.75 P  294,885 +11,281
DEC20 3Y-MIDC    97.87 C   75,405   +3,250    97.75 P  120,985  -5,344
NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE
NOV17 10Y NOTE  124.50 C    7,113     +895   124.50 P  136,749 -15,785
NOV17 10Y NOTE  125.00 C   23,053   +2,796   125.00 P   36,957  +1,627
DEC17 10Y NOTE  124.50 C   14,934   +9,670   124.50 P  187,035    +246
DEC17 10Y NOTE  125.00 C   25,380      -37   125.00 P   72,757  +1,898
NOV17 5Y NOTE   117.00 C    2,844     +179   117.00 P   31,933     +19
NOV17 5Y NOTE   117.25 C   16,909     +774   117.25 P   28,345  -1,554
DEC17 5Y NOTE   117.00 C    9,366   +8,013   117.00 P   45,047    -151
DEC17 5Y NOTE   117.25 C   11,726     +943   117.25 P   21,775     -10
NOV17 EURODLR    98.50 C   49,371     +700    98.50 P  114,283  +1,236
NOV17 EURODLR    98.62 C  122,730  +14,600    98.62 P   13,100    UNCH
DEC17 EURODLR    98.50 C  357,552  -12,487    98.50 P  543,086 -16,414
DEC17 EURODLR    98.62 C  611,696   +2,500    98.62 P  223,453  -1,050
DEC18 1Y-MIDC    98.12 C  106,611   -1,819    98.12 P  351,677-177,449
DEC18 1Y-MIDC    98.25 C  229,774     -317    98.25 P  193,013    -276
DEC19 2Y-MIDC    97.87 C   31,722     +950    97.88 P  180,249    +708
DEC19 2Y-MIDC    98.00 C  113,789     -879    98.00 P  214,153  +6,320  
DEC20 3Y-MIDC    97.75 C   57,355     +775    97.75 P  120,985  -5,344
DEC20 3Y-MIDC    97.87 C   75,405   +3,250    97.87 P   85,615    UNCH
PUT/CALL RATIO FOR VOLUME CLEARED:
NOV17 10Y NOTE PUT/CALL RATIO -- 1.45 (166,266 PUTS VS. 114,651 CALLS)
DEC17 10Y NOTE PUT/CALL RATIO -- 1.35 (117,194 PUTS VS. 86,832 CALLS)
NOV17 5Y NOTE PUT/CALL RATIO  -- 3.01 (23,442 PUTS VS. 7,781 CALLS)
DEC17 5Y NOTE PUT/CALL RATIO  -- 0.93 (35,529 PUTS VS. 37,889 CALLS)
NOV17 EURODLRS PUT/CALL RATIO -- 0.15 (5,901 PUTS VS. 38,500 CALLS)
DEC17 EURODLRS PUT/CALL RATIO -- 1.13 (74,800 PUTS VS. 65,800 CALLS)
DEC18 1Y-MIDCRVE PUT/CALL RATIO -- 13.8 (590,622 PUTS VS. 42,500 CALLS)
DEC19 2Y-MIDCRVE PUT/CALL RATIO -- 6.31 (101,080 PUTS VS. 16,000 CALLS)
DEC20 3Y-MIDCRVE PUT/CALL RATIO -- 6.25 (63,260 PUTS VS. 10,100 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
9:45         45.62    64.81    61.51    65.42    74.00    78.28
Wed Open     45.22    63.27    61.52    63.27    72.71    77.67
Tue 3:00     44.22    63.13    60.62    62.43    72.59    77.59
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
--MNI Chicago Bureau; tel: +1 312-431-0089; email: bill.sokolis@marketnews.com
[TOPICS: MTABLE,M$U$$$,M$$FI$,MN$FI$]

To read the full story

Close

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.