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     USH    TYZ    TYH    FVZ    FVH     EDX     EDZ
WED 3:00   7.88%   7.65%  4.15%  4.04%  2.58%  2.56%   13.09%  14.12%
WED OPEN   8.07%   7.52%  4.20%  3.98%  2.68%  2.58%   12.96%  13.03%
TUE 3:00   8.26%   7.63%  4.37%  4.07%  2.79%  2.64%   14.10%  12.57%
TUE OPEN    N/A     N/A    N/A    N/A    N/A    N/A     N/A     N/A
MON 3:00    N/A     N/A    N/A    N/A    N/A    N/A     N/A     N/A
MON OPEN    N/A     N/A    N/A    N/A    N/A    N/A     N/A     N/A
FRI 3:00   7.81%    N/A    N/A    N/A   2.73%   N/A    13.52%  13.25% 
FRI OPEN   7.88%    N/A    N/A    N/A   2.75%   N/A    12.70%  12.07%
THU 3:00   7.38%    N/A   3.70%   N/A   2.40%   N/A    12.10%  12.89%
THU OPEN   7.98%    N/A   3.38%   N/A   2.48%   N/A    13.41%  12.58%
     LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE
DEC18 10Y NOTE  120.00 C  250,250  +20,795   117.50 P  245,074  +9,339
MAR19 10Y NOTE  119.50 C    7,163       -1   116.00 P   18,592    +441
DEC18 5Y NOTE   112.75 C   72,929   -5,182   107.25 P  246,719    UNCH
MAR19 5Y NOTE   112.50 C    2,429     +424   113.00 C    2,158    UNCH
DEC18 2Y NOTE   105.50 C   22,144     UNCH   104.87 P   13,470     +20
MAR19 2Y NOTE   105.87 C    2,000       -1   105.75 P       14    UNCH
NOV18 EURODLR    97.37 C  138,646   +8,000    97.25 P  142,130  -1,000
DEC18 EURODLR    97.62 C  480,450     UNCH    97.25 P  580,936 -23,053
DEC19 1Y-MIDC    97.00 C  434,003     +843    96.75 P  617,627  -1,000
DEC20 2Y-MIDC    97.00 C  167,323     +650    96.87 P  300,167 +10,200
DEC21 3Y-MIDC    97.50 C   67,098     UNCH    96.62 P  142,469  +3,496
     NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE
DEC18 10Y NOTE  120.00 C  250,250  +20,795   120.00 P   33,669    -712
DEC18 10Y NOTE  120.50 C  105,253     +643   120.50 P   19,869    UNCH
MAR19 10Y NOTE  120.00 C    6,889      +35   120.00 P        9      -1
MAR19 10Y NOTE  120.50 C    5,409      -20   120.50 P        1      +1
DEC18 5Y NOTE   113.50 C   44,339   -1,600   113.50 P    6,819      +2
DEC18 5Y NOTE   113.75 C   20,904   -1,141   113.75 P      394    UNCH
MAR19 5Y NOTE   113.50 C      741     UNCH   113.50 P        0    UNCH
MAR19 5Y NOTE   113.75 C      860     UNCH   113.75 P        0    UNCH
DEC18 2Y NOTE   105.62 C   10,286     UNCH   105.62 P      322    UNCH
DEC18 2Y NOTE   105.75 C   15,966     -148   105.75 P      247    UNCH
MAR19 2Y NOTE   105.62 C        0     UNCH   105.62 P        0    UNCH
MAR19 2Y NOTE   105.75 C       47     UNCH   105.75 P       14    UNCH
NOV18 EURODLR    97.37 C  138,646   +8,000    97.37 P   84,672    UNCH
NOV18 EURODLR    97.50 C   89,169     UNCH    97.50 P    3,625    UNCH 
DEC18 EURODLR    97.50 C  455,469   +4,279    97.50 P  334,977    UNCH
DEC18 EURODLR    97.62 C  480,450     UNCH    97.62 P  193,015    UNCH
DEC19 1Y-MIDC    97.12 C  176,874   +7,152    97.12 P  111,527    -165
DEC19 1Y-MIDC    97.25 C  192,305     -779    97.25 P   84,473    UNCH
DEC20 2Y-MIDC    97.00 C  167,323     +650    97.00 P  253,833    UNCH
DEC20 2Y-MIDC    97.12 C  107,988      +26    97.12 P   42,633    UNCH  
DEC21 3Y-MIDC    96.87 C   50,626     +602    96.87 P   49,144    +600
DEC21 3Y-MIDC    97.00 C   54,192     UNCH    97.00 P  100,663      -2
     PUT/CALL RATIO FOR VOLUME CLEARED:
DEC18 10Y NOTE PUT/CALL RATIO  -- 1.31 (279,387 PUTS VS. 213,572 CALLS)
MAR19 10Y NOTE PUT/CALL RATIO  -- 1.28 (11,559 PUTS VS. 9,045 CALLS)
DEC18 5Y NOTE PUT/CALL RATIO   -- 0.50 (22,997 PUTS VS. 46,157 CALLS)
MAR19 5Y NOTE PUT/CALL RATIO   -- 1.54 (806 PUTS VS. 522 CALLS)
DEC18 2Y NOTE PUT/CALL RATIO   -- 0.42 (1,068 PUTS VS. 2,541 CALLS)
MAR19 2Y NOTE PUT/CALL RATIO   -- 0.00 (0 PUTS VS. 1,368 CALLS)
NOV18 EURODLRS PUT/CALL RATIO  -- 0.13 (1,200 PUTS VS. 9,500 CALLS)
DEC18 EURODLRS PUT/CALL RATIO  -- 0.60 (37,473 PUTS VS. 62,667 CALLS)
DEC19 1Y-MIDCRVE PUT/CALL RATIO-- 7.60 (19,000 PUTS VS. 2,500 CALLS)
DEC20 2Y-MIDCRVE PUT/CALL RATIO-- 15.1 (124,750 PUTS VS. 8,250 CALLS)
DEC21 3Y-MIDCRVE PUT/CALL RATIO-- 1.00 (750 PUTS VS. 750 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
WED 3:00    50.13   64.19    62.85   62.58    72.38     76.99
WED OPEN    52.22   65.44    63.98   63.80    72.49     77.01
TUE 3:00    51.80   64.92    63.82   63.81    72.32     76.79
TUE OPEN     N/A     N/A      N/A     N/A      N/A       N/A 
MON 3:00     N/A     N/A      N/A     N/A      N/A       N/A
MON OPEN     N/A     N/A      N/A     N/A      N/A       N/A
FRI 3:00    48.68   61.71    60.36   61.46    71.49     76.13
FRI OPEN    47.29   61.07    59.46   61.02    71.14     75.85
THU 3:00    46.77   58.86    57.78   60.29    70.94     75.80
THU OPEN    46.29   61.81    58.16   61.03    71.12     75.74
--MNI Chicago Bureau; +1 630-698-0154; email: ryan.martin@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.