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Free AccessUS TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR SEP 13
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USV USX TYV TYX FVV FVX EDV EDZ
THU 3:00 5.93% 5.96% 2.80% 3.16% 1.72% 1.95% 7.93% 10.54%
THU OPEN 6.34% 6.03% 3.27% 3.25% 2.05% 2.07% 9.05% 10.35%
WED 3:00 5.95% 5.95% 3.11% 3.17% 1.97% 2.05% 8.94% 10.55%
WED OPEN 6.31% 6.17% 3.05% 3.29% 2.05% 2.10% 9.51% 10.53%
TUE 3:00 6.35% 6.23% 3.17% 3.30% 2.05% 2.11% 9.62% 10.55%
TUE OPEN 6.23% 6.27% 3.33% 3.27% 2.13% 2.15% 8.07% 10.92%
MON 3:00 6.26% 6.41% 3.17% 3.31% 2.16% 2.23% 9.09% 10.40%
MON OPEN 6.56% 6.52% 3.42% 3.44% 2.17% 2.25% 9.47% 10.85%
FRI 3:00 6.35% 6.55% 3.22% 3.35% 2.23% 2.30% 9.91% N/A
FRI OPEN 6.50% 6.51% 3.25% 3.42% 2.21% 2.26% 9.96% N/A
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
OCT18 10Y NOTE 122.00 C 89,727 UNCH 119.00 P 108,664 +2,336
DEC18 10Y NOTE 121.00 C 37,938 +8,996 110.00 P 50,909 UNCH
OCT18 5Y NOTE 113.50 C 51,096 -62 113.00 P 37,735 -742
DEC18 5Y NOTE 116.00 C 20,759 UNCH 107.25 P 244,618 UNCH
OCT18 2Y NOTE 105.62 C 35,999 +7,446 105.25 P 41,650 +38,935
DEC18 2Y NOTE 105.87 C 5,253 UNCH 105.00 P 12,000 UNCH
OCT18 EURODLR 97.37 C 138,636 -149 97.37 P 191,389 -3,150
DEC18 EURODLR 97.62 C 547,792 -1,750 97.25 P 691,618 +20,338
OCT19 1Y-MIDC 97.12 C 69,674 +1,200 96.87 P 164,474 +1,004
OCT20 2Y-MIDC 97.00 C 48,363 -327 97.00 P 51,915 UNCH
OCT21 3Y-MIDC 97.25 C 22,174 UNCH 97.00 P 21,875 UNCH
NEAREST ATM: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
OCT18 10Y NOTE 120.00 C 58,543 -133 120.00 P 49,722 -733
OCT18 10Y NOTE 120.50 C 58,890 -2,167 120.50 P 23,496 -47
DEC18 10Y NOTE 120.00 C 30,558 +460 120.00 P 34,262 +156
DEC18 10Y NOTE 120.50 C 18,781 +340 120.50 P 19,968 UNCH
OCT18 5Y NOTE 113.50 C 51,096 -62 113.50 P 16,742 UNCH
OCT18 5Y NOTE 113.75 C 33,713 +250 113.75 P 611 UNCH
DEC18 5Y NOTE 113.50 C 13,486 +5,780 113.50 P 6,652 UNCH
DEC18 5Y NOTE 113.75 C 4,142 UNCH 113.75 P 385 UNCH
OCT18 2Y NOTE 105.87 C 11,266 UNCH 105.87 P 0 UNCH
OCT18 2Y NOTE 106.00 C 15,037 UNCH 106.00 P 0 UNCH
DEC18 2Y NOTE 105.87 C 5,253 UNCH 105.87 P 3 UNCH
DEC18 2Y NOTE 106.00 C 991 UNCH 106.00 P 2 UNCH
OCT18 EURODLR 97.37 C 138,636 -149 97.37 P 191,389 -3,150
OCT18 EURODLR 97.50 C 88,346 -500 97.50 P 9,650 -100
DEC18 EURODLR 97.50 C 375,966 -1,500 97.50 P 361,937 -66
DEC18 EURODLR 97.62 C 547,792 -1,750 97.62 P 193,673 UNCH
OCT19 1Y-MIDC 97.12 C 69,674 +1,200 97.12 P 18,859 UNCH
OCT19 1Y-MIDC 97.25 C 28,290 +794 97.25 P 0 UNCH
OCT20 2Y-MIDC 97.00 C 48,363 -327 97.00 P 51,915 UNCH
OCT20 2Y-MIDC 97.12 C 38,939 +197 97.12 P 12,017 UNCH
OCT21 3Y-MIDC 96.87 C 1,500 UNCH 96.87 P 7,712 UNCH
OCT21 3Y-MIDC 97.00 C 18,787 UNCH 97.00 P 21,875 UNCH
PUT/CALL RATIO FOR VOLUME CLEARED:
OCT18 10Y NOTE PUT/CALL RATIO -- 1.34 (100,304 PUTS VS. 74,686 CALLS)
DEC18 10Y NOTE PUT/CALL RATIO -- 0.77 (36,679 PUTS VS. 47,911 CALLS)
OCT18 5Y NOTE PUT/CALL RATIO -- 1.09 (12,538 PUTS VS. 11,475 CALLS)
DEC18 5Y NOTE PUT/CALL RATIO -- 0.34 (8,406 PUTS VS. 24,404 CALLS)
OCT18 2Y NOTE PUT/CALL RATIO -- 3.22 (49,640 PUTS VS. 15,401 CALLS)
DEC18 2Y NOTE PUT/CALL RATIO -- 305 (305 PUTS VS. 1 CALLS)
OCT18 EURODLRS PUT/CALL RATIO -- 2.60 (6,503 PUTS VS. 2,504 CALLS)
DEC18 EURODLRS PUT/CALL RATIO -- 0.81 (56,852 PUTS VS. 70,342 CALLS)
OCT19 1Y-MIDCRVE PUT/CALL RATIO-- 1.39 (11,850 PUTS VS. 8,550 CALLS)
OCT20 2Y-MIDCRVE PUT/CALL RATIO-- 1.17 (3,500 PUTS VS. 3,000 CALLS)
OCT21 3Y-MIDCRVE PUT/CALL RATIO-- 0.00 (0 PUTS VS. 0 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
THU 3:00 45.32 49.61 55.48 55.56 68.51 74.84
THU OPEN 46.12 50.83 55.77 55.95 68.90 75.20
WED 3:00 46.53 51.63 56.10 56.28 69.05 75.36
WED OPEN 47.16 52.24 56.77 56.94 69.32 75.46
TUE 3:00 47.22 51.99 57.09 56.97 69.21 75.46
TUE OPEN 47.43 51.89 57.16 56.87 69.33 75.41
MON 3:00 47.95 52.27 57.16 56.86 69.42 75.58
MON OPEN 48.18 52.73 57.87 57.30 69.52 75.67
FRI 3:00 48.23 52.04 57.82 57.30 69.45 75.67
FRI OPEN 48.89 51.75 57.65 57.03 69.33 75.50
--MNI Chicago Bureau; +1 630-698-0154; email: ryan.martin@marketnews.com
[TOPICS: MTABLE,M$U$$$,M$$FI$,MN$FI$]
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Why MNI
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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.