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Free AccessUS TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR SEP 11
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
0945 11.35% 9.44% 5.82% 4.79% 4.10% 3.17% N/A 34.73%
WED OPEN 11.40% 9.25% 5.72% 4.71% 4.01% 3.13% N/A 33.75%
TUE 1500 10.95% 9.26% 5.49% 4.70% 3.87% 3.07% N/A 37.17%
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%
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
OCT19 10Y NOTE 132.00 C 81,554 -1,131 129.00 P 113,590 +5,451
DEC19 10Y NOTE 134.00 C 53,458 +2,622 116.00 P 50,915 UNCH
OCT19 5Y NOTE 120.50 C 31,785 -527 119.00 P 111,656 -2,962
DEC19 5Y NOTE 120.00 C 20,003 UNCH 109.00 P 48,252 UNCH
OCT19 2Y NOTE 108.25 C 3,850 -83 107.50 P 29,168 -2,500
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 565,403 -7,701
OCT19 EURODLR 98.50 C 564,321 -4,398 98.00 P 143,479 -282
SEP20 1Y-MIDC 98.12 C 139,427 -483 98.25 P 204,856 -4,150
SEP21 2Y-MIDC 98.12 C 83,005 UNCH 97.12 P 74,826 UNCH
SEP22 3Y-MIDC 98.00 C 115,152 UNCH 98.00 P 57,767 UNCH
NEAREST ATM: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
OCT19 10Y NOTE 130.00 C 25,659 +360 130.00 P 93,646 -9,179
OCT19 10Y NOTE 130.50 C 28,046 +4,707 130.50 P 51,979 -1,557
DEC19 10Y NOTE 130.00 C 10,738 +1,517 130.00 P 35,324 +1,306
DEC19 10Y NOTE 130.50 C 10,560 -84 130.50 P 22,725 -3,941
OCT19 5Y NOTE 119.00 C 7,065 -172 119.00 P 111,656 -2,962
OCT19 5Y NOTE 119.25 C 8,257 +4,184 119.25 P 43,379 +1,568
DEC19 5Y NOTE 119.00 C 7,956 +416 119.00 P 6,550 +5
DEC19 5Y NOTE 119.25 C 12,780 +2,041 119.25 P 7,031 +1,543
OCT19 2Y NOTE 107.50 C 413 UNCH 107.50 P 29,168 -2,500
OCT19 2Y NOTE 107.62 C 1,403 UNCH 107.62 P 11,070 +221
DEC19 2Y NOTE 107.50 C 519 UNCH 107.50 P 1,029 UNCH
DEC19 2Y NOTE 107.62 C 100 UNCH 107.62 P 430 UNCH
SEP19 EURODLR 97.87 C 485,316 -3,947 97.87 P 565,403 -7,701
SEP19 EURODLR 98.00 C 334,392 -766 98.00 P 187,319 UNCH
OCT19 EURODLR 98.00 C 114,143 +100 98.00 P 143,479 -282
OCT19 EURODLR 98.12 C 74,462 +565 98.12 P 107,456 -1,076
SEP20 1Y-MIDC 98.50 C 63,316 -2,142 98.50 P 165,233 -535
SEP20 1Y-MIDC 98.62 C 83,291 -3,919 98.62 P 58,118 -4,807
SEP21 2Y-MIDC 98.62 C 22,715 -231 98.62 P 28,425 +1,946
SEP21 2Y-MIDC 98.75 C 26,637 UNCH 98.75 P 17,645 +225
SEP22 3Y-MIDC 98.50 C 47,927 UNCH 98.50 P 21,827 -208
SEP22 3Y-MIDC 98.62 C 12,182 +800 98.62 P 15,001 -176
PUT/CALL RATIO FOR VOLUME CLEARED:
OCT19 10Y NOTE PUT/CALL RATIO -- 1.64 (214,626 PUTS VS. 130,778 CALLS)
DEC19 10Y NOTE PUT/CALL RATIO -- 0.97 (65,654 PUTS VS. 67,587 CALLS)
OCT19 5Y NOTE PUT/CALL RATIO -- 3.71 (111,424 PUTS VS. 30,138 CALLS)
DEC19 5Y NOTE PUT/CALL RATIO -- 2.86 (27,184 PUTS VS. 9,578 CALLS)
OCT19 2Y NOTE PUT/CALL RATIO -- 2.30 (6,916 PUTS VS. 3,011 CALLS)
DEC19 2Y NOTE PUT/CALL RATIO -- 1.10 (460 PUTS VS. 415 CALLS)
SEP19 EURODLRS PUT/CALL RATIO -- 0.59 (20,697 PUTS VS. 34,748 CALLS)
OCT19 EURODLRS PUT/CALL RATIO -- 0.59 (59,978 PUTS VS. 99,922 CALLS)
JUN20 1Y-MIDCRVE PUT/CALL RATIO -- 2.63 (58,351 PUTS VS. 22,763 CALLS)
JUN21 2Y-MIDCRVE PUT/CALL RATIO -- 1.14 (10,753 PUTS VS. 7,473 CALLS)
JUN22 3Y-MIDCRVE PUT/CALL RATIO -- 2.03 (6,113 PUTS VS. 3,038 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
0945 81.50 82.33 78.48 76.34 67.71 66.59
Wed Open 81.12 81.91 77.95 75.85 67.67 66.68
Tue 1500 80.82 79.56 77.37 75.16 67.65 66.71
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
--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.