Free Trial

US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR OCT 31

EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
            USZ    USF     TYZ    TYF     FVZ    TUF     EDX     EDZ
1:45       7.55%  7.58%   3.80%  4.05%   2.24%  2.35%   10.56%  12.51%
12:45      7.45%  7.79%   3.65%  4.02%   2.27%  2.35%   10.53%  13.09%
11:30      7.39%  8.03%   3.67%  4.02%   2.21%  2.42%   10.51%  13.08%
9:15       7.53%  7.85%   3.77%  4.07%   2.21%  2.46%   11.79%  13.65%
TUE OPEN   7.59%  8.00%   3.83%  3.87%   2.30%  2.39%   11.76%  13.10%
MON 3:00   7.61%  7.98%   3.86%  3.90%   2.30%  2.46%   11.63%  13.05%
MON OPEN   7.67%  7:45%   3.86%  3.96%   2.46%  2.88%   12.20%  13.62%
FRI 3:00   7.44%   N/A    3.86%   N/A    2.45%   N/A    10.40%  13.20%
FRI OPEN   8.01%   N/A    4.22%   N/A    2.65%   N/A    10.53%  13.12%
THU 3:00   8.09%   N/A    4.18%   N/A    2.63%   N/A    11.25%  13.96%
THU OPEN   8.22%   N/A    4.22%   N/A    2.72%   N/A    10.15%  13.75%
WED 3:00   8.20%   N/A    4.29%   N/A    2.69%   N/A    10.75%  13.99%
WED OPEN   8.16%   N/A    4.32%   N/A    2.73%   N/A    11.30%  13.96%
TUE 3:00   7.78%   N/A    4.21%   N/A    2.69%   N/A    10.60%  14.10%
TUE OPEN   7.71%   N/A    4.28%   N/A    2.63%   N/A    11.25%  12.86%
LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE
DEC17 10Y NOTE  126.50 C  182,227     +114   124.50 P  198,404  +3,464
JAN18 10Y NOTE  125.50 C   19,767   +2,640   124.00 P   21,372    -156
DEC17 5Y NOTE   118.00 C   48,077   +1,783   112.25 P  104,983    UNCH
JAN18 5Y NOTE   118.00 C   10,052     UNCH   116.00 P   10,052    UNCH
NOV17 EURODLR    98.62 C  125,854     UNCH    98.50 P  114,361    -899
DEC17 EURODLR    98.75 C  673,489   +2,000    98.37 P1,081,522    UNCH
DEC18 1Y-MIDC    98.50 C  270,586     UNCH    98.00 P  632,653  -4,450
DEC19 2Y-MIDC    98.25 C  120,802     +100    97.75 P  328,536  +3,090
DEC20 3Y-MIDC    97.87 C   77,582   +2,905    97.50 P  121,117    +500
NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE
DEC17 10Y NOTE  124.50 C   45,780   -1,484   124.50 P  198,404  +3,464
DEC17 10Y NOTE  125.00 C   48,395     +986   125.00 P   63,938  -1,504
JAN18 10Y NOTE  124.00 C    8,448      -34   124.00 P   21,372    -156
JAN18 10Y NOTE  124.50 C   13,874   -1,108   124.50 P   16,127     +55
DEC17 5Y NOTE   117.00 C   25,513      +42   117.00 P   50,968  +8,456
DEC17 5Y NOTE   117.25 C   32,459   +5,861   117.25 P   19,835    +501
JAN18 5Y NOTE   116.75 C      307      +30   116.75 P    1,622    +320
JAN18 5Y NOTE   117.00 C      519     +123   117.00 P      572     +71
NOV17 EURODLR    98.50 C   58,949   +1,638    98.50 P  114,361    -899
NOV17 EURODLR    98.62 C  125,854     UNCH    98.62 P   13,100    UNCH
DEC17 EURODLR    98.50 C  416,540   +5,600    98.50 P  539,577    -640
DEC17 EURODLR    98.62 C  682,321  +11,773    98.62 P  221,264  -1,489
DEC18 1Y-MIDC    98.12 C  161,507  +50,729    98.12 P  319,537    -515
DEC18 1Y-MIDC    98.25 C  217,562   -1,820    98.25 P  192,484    UNCH
DEC19 2Y-MIDC    97.87 C   83,046     +561    97.88 P  171,866  -5,409
DEC19 2Y-MIDC    98.00 C  116,834   +2,700    98.00 P  216,185    UNCH
DEC20 3Y-MIDC    97.75 C   60,571     +585    97.75 P  108,744    +549
DEC20 3Y-MIDC    97.87 C   77,582   +2,905    97.87 P   85,615    UNCH
PUT/CALL RATIO FOR VOLUME CLEARED:
DEC17 10Y NOTE PUT/CALL RATIO -- 0.90 (128,259 PUTS VS. 141,585 CALLS)
JAN18 10Y NOTE PUT/CALL RATIO -- 0.73 (11,570 PUTS VS. 15,759 CALLS)
DEC17 5Y NOTE PUT/CALL RATIO  -- 2.46 (86,981 PUTS VS. 35,229 CALLS)
JAN18 5Y NOTE PUT/CALL RATIO  -- 1.21 (1,221 PUTS VS. 1,069 CALLS)
NOV17 EURODLRS PUT/CALL RATIO -- 0.07 (1,010 PUTS VS. 13,050 CALLS)
DEC17 EURODLRS PUT/CALL RATIO -- 0.36 (18,696 PUTS VS. 51,108 CALLS)
DEC18 1Y-MIDCRVE PUT/CALL RATIO -- 1.51 (79,545 PUTS VS. 52,600 CALLS)
DEC19 2Y-MIDCRVE PUT/CALL RATIO -- 10.6 (92,575 PUTS VS. 8,775 CALLS)
DEC20 3Y-MIDCRVE PUT/CALL RATIO -- 3.29 (14,527 PUTS VS. 4,400 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
1:45         42.39    57.37    57.53    60.90    73.79    78.07
12:45        42.52    57.38    57.65    61.04    73.82    78.07
11:30        42.54    57.63    57.65    61.04    73.82    78.07
9:15         43.02    57.70    58.04    61.30    73.83    78.11
Tue Open     43.19    58.00    58.26    61.52    73.83    78.14
Mon 3:00     43.45    58.00    58.43    61.74    73.86    78.13
Mon Open     44.14    58.94    59.19    62.16    73.99    78.14
Fri 3:00     44.08    57.72    59.18    61.58    73.96    78.35
Fri Open     45.97    63.57    62.99    65.16    74.74    78.65
Thu 3:00     45.69    62.91    62.33    64.70    74.38    78.22
Thu Open     45.22    63.00    61.99    64.14    73.87    78.01
Wed 3:00     44.90    62.65    61.83    64.01    73.79    78.14
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
--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.