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EUROPE SUMMARY: Vol Trades En Vogue Post-ECB

OPTIONS

Larger FX Option Pipeline

US TSY FUTURES

BLOCK, 10Y Ultra

EURIBOR OPTIONS

Vol Buying Resumes

     
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
            
             USX    USZ     TYV    TYZ     FVV    FVZ     EDV     EDZ
THU 1500    9.09%  9.16%   5.12%  5.11%   3.45%  3.41%   40.80%  35.95%
1300        9.20%  9.23%   5.04%  5.11%   3.45%  3.43%   40.90%  35.20%
1145        9.60%  9.52%   5.18%  5.31%   3.60%  3.53%   40.10%  36.55%
1015        9.71%  9.59%   5.24%  5.33%   3.67%  3.55%   41.17%  37.85%
THU OPEN   10.01%  9.70%   5.20%  5.30%   3.58%  3.50%   39.10%  36.80%
WED 1500   10.08%  9.79%   5.33%  5.31%   3.65%  3.54%   39.36%  36.88%
WED OPEN   10.22%  9.88%   5.49%  5.33%   3.70%  3.52%   40.15%  34.80%
TUE 1500   10.10%  9.70%   5.31%  5.25%   3.47%  3.38%   31.50%  30.05%
TUE OPEN    9.68%  9.36%   5.12%  4.96%   3.35%  3.27%   27.70%  28.13%
MON 1500    9.68%  9.36%   5.12%  4.96%   3.35%  3.27%   27.70%  28.13%
MON OPEN    9.75%  9.40%   5.17%  4.97%   3.45%  3.30%   27.85%  28.45%
FRI 1500    9.60%  9.31%   5.06%  4.97%   3.37%  3.26%   25.01%  28.32%
FRI OPEN    9.68%  9.41%   4.99%  4.94%   3.35%  3.27%   25.99%  27.70%
LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE
NOV19 10Y NOTE  132.00 C   94,211  -13,114   128.00 P  133,217   +1,492
DEC19 10Y NOTE  132.00 C  100,800   +1,489   128.00 P   62,253   -4,672
NOV19 5Y NOTE   119.75 C   37,798     +435   115.50 P   72,691   -1,482
DEC19 5Y NOTE   119.75 C   77,440     -255   109.00 P   48,347     UNCH
NOV19 2Y NOTE   108.25 C   15,236   +6,741   107.50 P   15,362      +76
DEC19 2Y NOTE   107.88 C   11,764   +2,000   105.75 P    5,400     UNCH
OCT19 EURODLR    98.25 C  438,520  -33,500    98.00 P  193,723   -1,110
DEC19 EURODLR    98.25 C  590,275  -14,506    97.25 P1,067,355     UNCH
DEC20 1Y-MIDC    98.87 C  190,489     -754    98.00 P  203,489     UNCH
DEC21 2Y-MIDC    98.50 C   87,196     UNCH    97.37 P  125,829     UNCH
DEC22 3Y-MIDC    97.37 C   55,298     -720    97.37 P   64,958     UNCH
NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE
NOV19 10Y NOTE  129.00 C   16,969     UNCH   129.00 P  115,414   -1,501
NOV19 10Y NOTE  129.50 C   20,839     -152   129.50 P   78,687   +7,060
DEC19 10Y NOTE  129.00 C   11,220      +22   129.00 P   48,182   +2,736
DEC19 10Y NOTE  129.50 C   20,483     +573   129.50 P   40,418   -1,586
NOV19 5Y NOTE   118.25 C    1,757     UNCH   118.25 P   67,002   +2,074
NOV19 5Y NOTE   118.50 C   11,973       +1   118.50 P   45,048   -3,035
DEC19 5Y NOTE   118.25 C      223       +5   118.25 P   18,599      -67
DEC19 5Y NOTE   118.50 C    1,637       -6   118.50 P   13,299     +634
NOV19 2Y NOTE   107.50 C    1,887       -1   107.50 P   15,362      +76
NOV19 2Y NOTE   107.62 C    3,301   +1,000   107.62 P    4,634   +1,085
DEC19 2Y NOTE   107.50 C    1,039       -5   107.50 P    1,912      -84
DEC19 2Y NOTE   107.62 C      326      -36   107.62 P    1,929     -343
OCT19 EURODLR    98.00 C  114,456     -561    98.00 P  193,723   -1,110
OCT19 EURODLR    98.12 C  122,794   +8,441    98.12 P  105,548   -2,900
DEC19 EURODLR    98.00 C  366,518   -9,220    98.00 P  344,139  +27,243
DEC19 EURODLR    98.12 C  465,060   +5,922    98.12 P  155,421  +20,552
DEC20 1Y-MIDC    98.50 C   91,722     UNCH    98.50 P   52,175   -2,300
DEC20 1Y-MIDC    98.62 C   96,769     UNCH    98.62 P   44,043     UNCH
DEC21 2Y-MIDC    98.50 C   87,196     UNCH    98.50 P   33,170      -66
DEC21 2Y-MIDC    98.62 C   60,761     UNCH    98.62 P   19,978   +1,321
DEC22 3Y-MIDC    98.50 C   34,602     UNCH    98.50 P   17,000     UNCH
DEC22 3Y-MIDC    98.62 C   24,673     UNCH    98.62 P   20,740   +3,775
PUT/CALL RATIO FOR VOLUME CLEARED:
NOV19 10Y NOTE PUT/CALL RATIO   -- 0.48 (121,003 PUTS VS. 249,749 CALLS)
DEC19 10Y NOTE PUT/CALL RATIO   -- 1.13 (74,739 PUTS VS. 65,875 CALLS)
NOV19 5Y NOTE PUT/CALL RATIO    -- 1.65 (58,367 PUTS VS. 35,226 CALLS)
DEC19 5Y NOTE PUT/CALL RATIO    -- 0.12 (18,636 PUTS VS. 140,227 CALLS)
NOV19 2Y NOTE PUT/CALL RATIO    -- 0.19 (6,021 PUTS VS. 31,195 CALLS)
DEC19 2Y NOTE PUT/CALL RATIO    -- 0.44 (8,654 PUTS VS. 19,425 CALLS)
OCT19 EURODLRS PUT/CALL RATIO   -- 0.17 (45,202 PUTS VS. 257,984 CALLS)
DEC19 EURODLRS PUT/CALL RATIO   -- 0.43 (310,738 PUTS VS. 717,698 CALLS)
DEC20 1Y-MIDCRVE PUT/CALL RATIO -- 1.26 (19,150 PUTS VS. 15,350 CALLS)
DEC21 2Y-MIDCRVE PUT/CALL RATIO -- 0.73 (22,327 PUTS VS. 30,612 CALLS)
DEC22 3Y-MIDCRVE PUT/CALL RATIO -- 0.80 (4,000 PUTS VS. 5,000 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
Thu 1500    82.71    87.33    80.54    77.61    69.28     68.36
1300        82.90    88.35    81.96    78.50    69.27     68.30
1145        81.81    88.63    81.83    79.41    69.66     68.56
1015        82.55    90.25    82.60    80.88    69.80     68.69
Thu Open    81.50    89.70    82.34    80.30    69.60     68.21
Wed 1500    80.60    89.82    82.36    80.33    69.65     68.25
Wed Open    79.15    87.94    80.51    79.15    68.67     67.83
Tue 1500    79.07    81.24    79.62    79.18    68.63     67.78
Tue Open    74.33    80.43    75.97    76.28    68.26     67.44
Mon 1500    74.33    80.43    75.97    76.28    68.26     67.44
Mon Open    74.85    81.48    76.98    76.97    68.35     67.50
Fri 1500    74.70    81.03    77.01    76.97    68.35     67.49
Fri Open    75.01    81.44    77.20    77.01    68.13     67.19
--MNI Chicago Bureau; tel: +1 312-431-0089; email: bill.sokolis@marketnews.com
[TOPICS: MTABLE,M$U$$$,M$$FI$,MN$FI$]