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October 31, 2018 18:45 GMT
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$]
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