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Free AccessUS TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR SEP 11
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USV USZ TYV TYZ FVV TUZ EDU EDV
MON 3:00 7.74% 7.70% 4.18% 4.02% 2.52% 2.35% N/A 17.45%
2:15 7.82% 7.69% 4.18% 4.02% 2.52% 2.36% N/A 18.50%
12:30 7.55% 7.61% 4.16% 3.98% 2.49% 2.36% N/A 17.05%
9:30 7.56% 7.72% 3.87% 3.94% 2.40% 2.31% N/A 16.39%
MON OPEN 7.88% 7.87% 4.19% 4.03% 2.34% 2.38% N/A 16.02%
FRI 3:00 8.46% 8.04% 4.40% 4.16% 2.59% 2.48% 21.33% 16.21%
FRI OPEN 8.41% 8.16% 4.35% 4.12% 2.40% 2.44% 23.45% 17.62%
THU 3:00 8.26% 8.12% 4.36% 4.12% 2.44% 2.41% 20.13% 17.50%
THU OPEN 8.11% 7.94% 4.20% 4.15% 2.36% 2.39% 16.00% 15.97%
WED 3:00 8.35% 8.03% 4.30% 4.18% 2.35% 2.42% 17.92% 17.34%
WED OPEN 8.22% 8.11% 4.21% 4.23% 2.46% 2.43% 19.05% 18.05%
TUE 3:00 7.58% 7.86% 4.18% 4.12% 2.32% 2.40% 18.51% 17.88%
TUE OPEN 7.31% 7.72% 3.88% 4.05% 2.24% 2.37% 13.79% 16.49%
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
OCT17 10Y NOTE 127.50 C 90,295 -7,636 125.00 P 64,538 +271
DEC17 10Y NOTE 129.00 C 92,575 +2,126 114.00 P 95,075 UNCH
OCT17 5Y NOTE 119.00 C 26,959 -2,442 116.00 P 26,518 UNCH
DEC17 5Y NOTE 118.25 C 9,073 UNCH 112.25 P 101,550 UNCH
SEP17 EURODLR 98.75 C 335,545 -2,630 98.37 P 746,921 UNCH
OCT17 EURODLR 98.62 C 119,004 UNCH 98.50 P 162,439 -250
SEP18 1Y-MIDC 98.37 C 102,538 -3,800 98.12 P 211,382 UNCH
SEP19 2Y-MIDC 98.75 C 136,631 UNCH 97.12 P 192,279 UNCH
SEP20 3Y-MIDC 98.00 C 43,481 UNCH 97.62 P 56,664 UNCH
NEAREST ATM: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
OCT17 10Y NOTE 127.00 C 89,527 +7 127.00 P 38,700 +8,141
OCT17 10Y NOTE 127.50 C 90,295 -7,636 127.50 P 14,108 +3,775
DEC17 10Y NOTE 127.00 C 21,654 +18 127.00 P 23,151 +2,557
DEC17 10Y NOTE 127.50 C 24,529 +1 127.50 P 11,625 +1,637
OCT17 5Y NOTE 118.25 C 10,337 -1 118.25 P 17,002 +2,114
OCT17 5Y NOTE 118.50 C 16,343 UNCH 118.50 P 12,192 +2,107
DEC17 5Y NOTE 118.25 C 9,073 UNCH 118.25 P 15,369 UNCH
DEC17 5Y NOTE 118.50 C 5,412 UNCH 118.50 P 12,328 +125
SEP17 EURODLR 98.62 C 252,473 -849 98.62 P 264,870 UNCH
SEP17 EURODLR 98.75 C 335,545 -2,630 98.75 P 107,287 UNCH
OCT17 EURODLR 98.50 C 37,992 UNCH 98.50 P 162,439 -250
OCT17 EURODLR 98.62 C 119,004 UNCH 98.62 P 31,563 +250
SEP18 1Y-MIDC 98.37 C 102,538 -3,800 98.37 P 75,546 -1,443
SEP18 1Y-MIDC 98.50 C 73,546 -825 98.50 P 14,855 -99
SEP19 2Y-MIDC 98.00 C 62,838 UNCH 98.00 P 110,840 UNCH
SEP19 2Y-MIDC 98.12 C 116,573 +550 98.12 P 80,921 +1,022
SEP20 3Y-MIDC 97.75 C 27,133 UNCH 97.75 P 34,884 UNCH
SEP20 3Y-MIDC 97.87 C 22,685 UNCH 97.87 P 31,751 +500
PUT/CALL RATIO FOR VOLUME CLEARED:
OCT17 10Y NOTE PUT/CALL RATIO -- 0.56 (112,476 PUTS VS. 199,158 CALLS)
DEC17 10Y NOTE PUT/CALL RATIO -- 1.30 (46,226 PUTS VS. 35,481 CALLS)
OCT17 5Y NOTE PUT/CALL RATIO -- 0.97 (25,976 PUTS VS. 26,507 CALLS)
DEC17 5Y NOTE PUT/CALL RATIO -- 2.23 (4,767 PUTS VS. 2,094 CALLS)
SEP17 EURODLRS PUT/CALL RATIO -- 0.00 (0 PUTS VS. 52,230 CALLS)
OCT17 EURODLRS PUT/CALL RATIO -- 0.29 (3,250 PUTS VS. 10,700 CALLS)
SEP18 1Y-MIDCRVE PUT/CALL RATIO -- 0.60 (2,750 PUTS VS. 4,500 CALLS)
SEP19 2Y-MIDCRVE PUT/CALL RATIO -- 0.75 (16,100 PUTS VS. 21,187 CALLS)
SEP20 3Y-MIDCRVE PUT/CALL RATIO -- 0.82 (4,850 PUTS VS. 5,850 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
Mon 3:00 39.26 59.89 56.59 63.01 73.67 78.90
2:15 39.24 59.89 56.59 63.01 73.67 78.90
12:30 39.24 59.92 56.70 63.11 73.94 78.92
9:30 39.46 60.84 57.02 63.42 74.20 79.08
Mon Open 39.70 61.39 57.66 64.00 74.32 79.18
Fri 3:00 39.86 61.73 57.95 64.37 74.34 79.16
Fri Open 40.12 62.27 58.29 64.48 74.68 79.20
Thu 3:00 39.92 61.11 57.62 63.82 74.62 79.17
Thu Open 40.03 60.37 57.44 63.79 74.54 79.16
Wed 3:00 40.07 62.77 57.44 63.94 74.69 79.22
Wed Open 40.25 64.26 58.12 64.48 74.60 79.26
Tue 3:00 39.72 63.35 57.78 64.13 74.62 79.22
Tue Open 38.71 57.16 55.85 62.05 74.19 79.15
--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
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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.