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Free AccessUS TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR SEP 13
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
1330 11.60% 9.50% 5.85% 4.84% 3.89% 3.15% N/A 31.43%
1215 11.35% 9.40% 5.65% 4.77% 3.81% 3.11% N/A 31.05%
0900 10.92% 9.28% 5.52% 4.69% 3.73% 3.08% N/A 30.70%
FRI OPEN 10.90% 9.23% 5.61% 4.65% 3.85% 3.08% N/A 31.60%
THU 1500 10.73% 9.10% 5.73% 4.62% 4.02% 3.10% N/A 31.18%
THU OPEN 10.35% 9.00% 5.35% 4.53% 3.86% 3.02% N/A 31.77%
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%
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
OCT19 10Y NOTE 132.00 C 84,479 +135 129.00 P 123,623 +7,140
DEC19 10Y NOTE 134.00 C 58,285 +97 116.00 P 50,915 UNCH
OCT19 5Y NOTE 120.50 C 31,785 UNCH 119.00 P 101,348 -10,542
DEC19 5Y NOTE 120.00 C 20,330 +150 109.00 P 48,252 UNCH
OCT19 2Y NOTE 108.25 C 4,053 UNCH 107.50 P 26,668 UNCH
DEC19 2Y NOTE 111.37 C 5,437 +96 105.75 P 5,400 UNCH
SEP19 EURODLR 98.25 C 547,599 UNCH 97.87 P 558,273 UNCH
OCT19 EURODLR 98.25 C 542,748 -877 98.00 P 144,993 +103
SEP20 1Y-MIDC 98.12 C 139,427 UNCH 98.25 P 177,956 -8,200
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 31,298 +3,701 130.00 P 71,144 -19,249
OCT19 10Y NOTE 130.50 C 31,154 -64 130.50 P 52,378 -242
DEC19 10Y NOTE 130.00 C 13,702 +2,158 130.00 P 36,016 +1,616
DEC19 10Y NOTE 130.50 C 12,461 +411 130.50 P 22,743 +18
OCT19 5Y NOTE 119.00 C 11,796 +3,240 119.00 P 101,348 -10,542
OCT19 5Y NOTE 119.25 C 12,334 +2,898 119.25 P 32,454 -570
DEC19 5Y NOTE 119.00 C 8,065 +109 119.00 P 6,497 +313
DEC19 5Y NOTE 119.25 C 12,780 UNCH 119.25 P 7,036 +5
OCT19 2Y NOTE 107.50 C 414 +1 107.50 P 26,668 UNCH
OCT19 2Y NOTE 107.62 C 1,403 UNCH 107.62 P 11,170 UNCH
DEC19 2Y NOTE 107.50 C 519 UNCH 107.50 P 1,029 UNCH
DEC19 2Y NOTE 107.62 C 292 +100 107.62 P 473 UNCH
SEP19 EURODLR 97.87 C 485,402 UNCH 97.87 P 558,273 UNCH
SEP19 EURODLR 98.00 C 333,209 -500 98.00 P 187,419 +100
OCT19 EURODLR 98.00 C 115,167 +1,024 98.00 P 144,993 +103
OCT19 EURODLR 98.12 C 84,189 +9,977 98.12 P 102,818 -3,888
SEP20 1Y-MIDC 98.50 C 63,818 +2,966 98.50 P 139,820 -18,097
SEP20 1Y-MIDC 98.62 C 83,110 +4,107 98.62 P 54,441 -2,452
SEP21 2Y-MIDC 98.62 C 20,584 +1,609 98.62 P 23,434 -616
SEP21 2Y-MIDC 98.75 C 24,137 -2,500 98.75 P 17,645 UNCH
SEP22 3Y-MIDC 98.50 C 47,516 -411 98.50 P 21,039 -1,250
SEP22 3Y-MIDC 98.62 C 12,459 +277 98.62 P 14,901 -100
PUT/CALL RATIO FOR VOLUME CLEARED:
OCT19 10Y NOTE PUT/CALL RATIO -- 3.02 (433,817 PUTS VS. 143,249 CALLS)
DEC19 10Y NOTE PUT/CALL RATIO -- 2.17 (152,792 PUTS VS. 70,255 CALLS)
OCT19 5Y NOTE PUT/CALL RATIO -- 3.02 (112,690 PUTS VS. 37,338 CALLS)
DEC19 5Y NOTE PUT/CALL RATIO -- 1.13 (10,197 PUTS VS. 8,991 CALLS)
OCT19 2Y NOTE PUT/CALL RATIO -- 0.47 (1,991 PUTS VS. 4,074 CALLS)
DEC19 2Y NOTE PUT/CALL RATIO -- 0.25 (123 PUTS VS. 481 CALLS)
SEP19 EURODLRS PUT/CALL RATIO -- 1.75 (7,053 PUTS VS. 4,002 CALLS)
OCT19 EURODLRS PUT/CALL RATIO -- 0.08 (41,908 PUTS VS. 494,384 CALLS)
JUN20 1Y-MIDCRVE PUT/CALL RATIO -- 1.68 (103,083 PUTS VS. 61,373 CALLS)
JUN21 2Y-MIDCRVE PUT/CALL RATIO -- 1.03 (12,951 PUTS VS. 12,551 CALLS)
JUN22 3Y-MIDCRVE PUT/CALL RATIO -- 12.6 (13,962 PUTS VS. 1,150 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
1330 79.83 81.49 78.69 76.53 65.42 64.36
1215 79.41 79.88 78.16 76.02 65.18 64.31
0900 79.41 77.66 76.72 74.71 65.13 64.32
Fri Open 79.53 77.62 76.74 74.58 65.18 64.50
Thu 1500 80.01 76.74 76.82 74.61 65.64 65.03
Thu Open 80.01 76.49 77.69 74.93 66.82 65.91
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
--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.