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Free AccessUS TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR SEP 12
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
WED 1500 10.75% 9.15% 5.50% 4.65% 3.83% 3.08% N/A 31.38%
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%
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
OCT19 10Y NOTE 132.00 C 84,344 +2,790 129.00 P 116,283 +2,693
DEC19 10Y NOTE 134.00 C 58,188 +4,730 116.00 P 50,915 UNCH
OCT19 5Y NOTE 120.50 C 31,785 UNCH 119.00 P 111,890 +234
DEC19 5Y NOTE 120.00 C 20,180 +177 109.00 P 48,252 UNCH
OCT19 2Y NOTE 108.25 C 4,053 +203 107.50 P 26,668 -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 558,273 -7,130
OCT19 EURODLR 98.50 C 564,323 +2 98.00 P 144,890 +1,411
SEP20 1Y-MIDC 98.12 C 139,427 UNCH 98.25 P 186,156 -18,700
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 27,597 +1,938 130.00 P 90,212 -3,434
OCT19 10Y NOTE 130.50 C 31,218 +3,172 130.50 P 52,622 +643
DEC19 10Y NOTE 130.00 C 11,544 +806 130.00 P 34,400 -924
DEC19 10Y NOTE 130.50 C 12,050 +1,490 130.50 P 22,725 UNCH
OCT19 5Y NOTE 119.00 C 8,556 +1,491 119.00 P 111,890 +234
OCT19 5Y NOTE 119.25 C 9,436 +1,179 119.25 P 33,024 -12,355
DEC19 5Y NOTE 119.00 C 7,956 UNCH 119.00 P 6,184 -386
DEC19 5Y NOTE 119.25 C 12,780 UNCH 119.25 P 7,031 UNCH
OCT19 2Y NOTE 107.50 C 413 UNCH 107.50 P 26,668 -2,500
OCT19 2Y NOTE 107.62 C 1,403 UNCH 107.62 P 11,170 +100
DEC19 2Y NOTE 107.50 C 519 UNCH 107.50 P 1,029 UNCH
DEC19 2Y NOTE 107.62 C 192 +92 107.62 P 473 +43
SEP19 EURODLR 97.87 C 485,743 +427 97.87 P 558,273 -7,130
SEP19 EURODLR 98.00 C 334,392 UNCH 98.00 P 187,319 UNCH
OCT19 EURODLR 98.00 C 114,143 UNCH 98.00 P 144,890 +1,411
OCT19 EURODLR 98.12 C 74,212 -250 98.12 P 106,706 -750
SEP20 1Y-MIDC 98.50 C 60,852 -2,464 98.50 P 157,917 -7,316
SEP20 1Y-MIDC 98.62 C 79,003 -4,288 98.62 P 56,893 -1,225
SEP21 2Y-MIDC 98.62 C 18,975 -3,740 98.62 P 24,050 -4,375
SEP21 2Y-MIDC 98.75 C 26,637 UNCH 98.75 P 17,645 UNCH
SEP22 3Y-MIDC 98.50 C 47,927 UNCH 98.50 P 22,289 +462
SEP22 3Y-MIDC 98.62 C 12,182 UNCH 98.62 P 15,001 UNCH
PUT/CALL RATIO FOR VOLUME CLEARED:
OCT19 10Y NOTE PUT/CALL RATIO -- 1.89 (193,240 PUTS VS. 102,158 CALLS)
DEC19 10Y NOTE PUT/CALL RATIO -- 1.05 (67,900 PUTS VS. 64,551 CALLS)
OCT19 5Y NOTE PUT/CALL RATIO -- 3.02 (50,990 PUTS VS. 16,805 CALLS)
DEC19 5Y NOTE PUT/CALL RATIO -- 4.45 (16,512 PUTS VS. 3,765 CALLS)
OCT19 2Y NOTE PUT/CALL RATIO -- 13.7 (13,712 PUTS VS. 1,032 CALLS)
DEC19 2Y NOTE PUT/CALL RATIO -- 0.07 (1,365 PUTS VS. 16,367 CALLS)
SEP19 EURODLRS PUT/CALL RATIO -- 6.35 (19,724 PUTS VS. 3,100 CALLS)
OCT19 EURODLRS PUT/CALL RATIO -- 0.51 (15,232 PUTS VS. 29,702 CALLS)
JUN20 1Y-MIDCRVE PUT/CALL RATIO -- 3.35 (47,040 PUTS VS. 14,833 CALLS)
JUN21 2Y-MIDCRVE PUT/CALL RATIO -- 2.62 (21,857 PUTS VS. 8,121 CALLS)
JUN22 3Y-MIDCRVE PUT/CALL RATIO -- 2.06 (3,100 PUTS VS. 1,499 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 1500 80.51 80.00 77.59 75.55 67.28 66.40
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
--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.