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Free AccessUS TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR SEP 10
Sep Eurodollar futures & options expire Friday
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USV USZ TYV TYZ FVV FVZ EDU EDV
TUE 1500 10.95% 9.26% 5.49% 4.70% 3.87% 3.07% N/A 37.17%
1345 10.63% 9.15% 5.27% 4.63% 3.71% 3.06% N/A 37.67%
1200 10.50% 9.12% 5.19% 4.59% 3.67% 3.02% N/A 37.45%
0930 10.40% 9.05% 5.14% 4.58% 3.60% 3.01% N/A 38.05%
TUE OPEN 10.20% 8.98% 5.09% 4.58% 3.51% 3.00% N/A 38.21%
MON 1500 10.01% 9.03% 5.07% 4.54% 3.45% 2.98% N/A 37.80%
MON OPEN 10.16% 9.08% 5.15% 4.62% 3.52% 3.01% N/A 38.96%
THU 1500 10.03% 9.24% 5.22% 4.75% 3.45% 3.08% 22.88% 42.70%
THU OPEN 10.13% 9.29% 5.33% 4.81% 3.59% 3.12% 22.60% 42.30%
WED 1500 10.22% 9.38% 5.32% 4.80% 3.56% 3.15% 26.75% 43.17%
WED OPEN 10.55% 9.65% 5.35% 4.90% 3.62% 3.20% 27.15% 41.47%
TUE 1500 10.81% 9.80% 5.40% 4.92% 3.68% 3.23% 27.80% 41.28%
TUE OPEN 11.20% 10.06% 5.59% 5.05% 3.71% 3.27% 20.70% 41.00%
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
OCT19 10Y NOTE 132.00 C 82,685 -3,775 129.00 P 108,139 -115
DEC19 10Y NOTE 134.00 C 50,836 +10,323 116.00 P 50,915 UNCH
OCT19 5Y NOTE 120.50 C 32,312 +5,902 119.00 P 114,618 +16,195
DEC19 5Y NOTE 120.00 C 20,003 +8,609 109.00 P 48,252 UNCH
OCT19 2Y NOTE 108.25 C 3,933 +138 107.50 P 31,668 UNCH
DEC19 2Y NOTE 111.37 C 5,811 UNCH 105.75 P 5,400 UNCH
SEP19 EURODLR 98.25 C 547,599 UNCH 97.87 P 573,104 +7,004
OCT19 EURODLR 98.50 C 568,719 +2,897 98.00 P 143,761 +2,597
SEP20 1Y-MIDC 98.12 C 139,910 UNCH 98.25 P 209,006 UNCH
SEP21 2Y-MIDC 98.12 C 83,005 -600 97.12 P 74,826 UNCH
SEP22 3Y-MIDC 98.00 C 115,152 -350 98.00 P 57,767 UNCH
NEAREST ATM: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
OCT19 10Y NOTE 131.50 C 48,125 -3,756 131.50 P 38,810 -2,278
OCT19 10Y NOTE 132.00 C 82,685 -3,775 132.00 P 19,097 -502
DEC19 10Y NOTE 131.50 C 15,752 -2,118 131.50 P 14,533 -204
DEC19 10Y NOTE 132.00 C 23,967 -656 132.00 P 16,340 -29
OCT19 5Y NOTE 119.50 C 5,400 -123 119.50 P 40,669 +291
OCT19 5Y NOTE 119.75 C 16,042 -288 119.75 P 13,434 -144
DEC19 5Y NOTE 119.50 C 10,104 +1,962 119.50 P 3,656 +1,861
DEC19 5Y NOTE 119.75 C 17,925 +591 119.75 P 17,040 +166
OCT19 2Y NOTE 107.88 C 177 -182 107.88 P 578 UNCH
OCT19 2Y NOTE 108.00 C 1,722 -6 108.00 P 1 UNCH
DEC19 2Y NOTE 107.88 C 210 +195 107.88 P 278 +124
DEC19 2Y NOTE 108.00 C 1,690 +2 108.00 P 705 +2
SEP19 EURODLR 98.00 C 335,158 +367 98.00 P 187,319 UNCH
SEP19 EURODLR 98.12 C 286,841 UNCH 98.12 P 19,040 UNCH
OCT19 EURODLR 98.00 C 114,043 +2,951 98.00 P 143,761 +2,597
OCT19 EURODLR 98.12 C 75,397 +9,734 98.12 P 108,532 -3,350
SEP20 1Y-MIDC 98.50 C 65,458 -2,695 98.50 P 165,768 -200
SEP20 1Y-MIDC 98.62 C 87,210 -355 98.62 P 62,925 -3,975
SEP21 2Y-MIDC 98.62 C 22,946 UNCH 98.62 P 26,479 -1,000
SEP21 2Y-MIDC 98.75 C 26,637 -2,862 98.75 P 17,420 -750
SEP22 3Y-MIDC 98.50 C 47,927 UNCH 98.50 P 22,035 UNCH
SEP22 3Y-MIDC 98.62 C 11,382 -18 98.62 P 15,177 -1,834
PUT/CALL RATIO FOR VOLUME CLEARED:
OCT19 10Y NOTE PUT/CALL RATIO -- 1.08 (113,459 PUTS VS. 104,453 CALLS)
DEC19 10Y NOTE PUT/CALL RATIO -- 0.99 (34,194 PUTS VS. 34,371 CALLS)
OCT19 5Y NOTE PUT/CALL RATIO -- 3.58 (86,004 PUTS VS. 24,883 CALLS)
DEC19 5Y NOTE PUT/CALL RATIO -- 0.59 (13,289 PUTS VS. 22,206 CALLS)
OCT19 2Y NOTE PUT/CALL RATIO -- 4.75 (4,752 PUTS VS. 1,024 CALLS)
DEC19 2Y NOTE PUT/CALL RATIO -- 0.05 (272 PUTS VS. 4,703 CALLS)
SEP19 EURODLRS PUT/CALL RATIO -- 3.35 (43,650 PUTS VS. 13,000 CALLS)
OCT19 EURODLRS PUT/CALL RATIO -- 0.18 (23,912 PUTS VS. 126,624 CALLS)
JUN20 1Y-MIDCRVE PUT/CALL RATIO -- 2.63 (26,625 PUTS VS. 10,100 CALLS)
JUN21 2Y-MIDCRVE PUT/CALL RATIO -- 0.64 (5,750 PUTS VS. 8,815 CALLS)
JUN22 3Y-MIDCRVE PUT/CALL RATIO -- 2.50 (11,500 PUTS VS. 4,600 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
Tue 1500 80.82 79.56 77.37 75.16 67.65 66.71
1345 80.65 79.37 76.81 75.16 67.43 66.54
1200 80.45 79.70 76.87 75.13 67.43 66.55
0930 80.37 80.10 76.75 75.05 67.38 66.49
Tue Open 80.23 80.45 76.74 74.95 67.33 66.44
Mon 1500 79.94 80.81 77.15 75.15 67.61 66.62
Mon Open 80.31 79.95 77.02 74.91 68.12 66.93
Thu 1500 80.83 80.45 76.60 74.80 68.73 66.93
Thu Open 80.60 84.90 78.47 78.07 69.90 67.95
Wed 1500 80.70 86.21 78.82 78.57 70.12 67.97
Wed Open 82.25 87.55 79.88 79.90 70.33 67.91
Tue 1500 83.51 88.74 80.69 80.49 70.65 68.11
Tue Open 81.19 87.76 80.19 79.71 69.77 67.41
--MNI Chicago Bureau; tel: +1 312-431-0089; email: bill.sokolis@marketnews.com
[TOPICS: MTABLE,M$U$$$,M$$FI$,MN$FI$]
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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.