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Free AccessUS TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR SEP 14
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USV USZ TYV TYZ FVV TUZ EDU EDV
9:00 7.07% 7.51% 3.98% 3.97% 2.54% 2.36% N/A 17.99%
THU OPEN 7.46% 7.51% 4.17% 3.97% 2.49% 2.35% N/A 17.52%
WED 3:00 7.46% 7.53% 4.10% 3.95% 2.34% 2.32% N/A 17.25%
WED OPEN 7.40% 7.41% 4.06% 3.93% 2.57% 2.37% N/A 16.51%
TUE 3:00 7.38% 7.41% 3.78% 3.95% 2.45% 2.32% N/A 16.85%
TUE OPEN 7.47% 7.49% 4.05% 3.94% 2.41% 2.35% N/A 16.50%
MON 3:00 7.74% 7.70% 4.18% 4.02% 2.52% 2.35% N/A 17.45%
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%
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
OCT17 10Y NOTE 127.00 C 90,720 -1,389 126.00 P 71,188 +1,504
DEC17 10Y NOTE 129.00 C 91,932 -288 114.00 P 95,075 UNCH
OCT17 5Y NOTE 119.00 C 35,446 +712 118.00 P 28,371 -637
DEC17 5Y NOTE 118.25 C 12,218 -18 112.25 P 101,550 UNCH
SEP17 EURODLR 98.75 C 335,345 UNCH 98.37 P 746,921 UNCH
OCT17 EURODLR 98.62 C 116,755 UNCH 98.50 P 155,885 +2,250
SEP18 1Y-MIDC 98.37 C 98,693 -3,711 98.12 P 213,382 +2,000
SEP19 2Y-MIDC 98.75 C 136,631 UNCH 97.12 P 192,279 UNCH
SEP20 3Y-MIDC 98.00 C 41,931 UNCH 97.62 P 56,664 UNCH
NEAREST ATM: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
OCT17 10Y NOTE 127.00 C 90,720 -1,389 127.00 P 32,683 -734
OCT17 10Y NOTE 127.50 C 85,272 +1,777 127.50 P 14,271 -544
DEC17 10Y NOTE 127.00 C 24,760 +178 127.00 P 22,030 +48
DEC17 10Y NOTE 127.50 C 24,068 +247 127.50 P 12,413 UNCH
OCT17 5Y NOTE 118.25 C 9,626 -547 118.25 P 24,708 -1,382
OCT17 5Y NOTE 118.50 C 14,152 +833 118.50 P 12,247 -207
DEC17 5Y NOTE 118.25 C 12,218 -18 118.25 P 16,861 -5
DEC17 5Y NOTE 118.50 C 6,564 +826 118.50 P 15,561 +75
SEP17 EURODLR 98.62 C 252,473 UNCH 98.62 P 261,417 -3,453
SEP17 EURODLR 98.75 C 335,345 UNCH 98.75 P 107,287 UNCH
OCT17 EURODLR 98.50 C 37,442 +250 98.50 P 155,885 +2,250
OCT17 EURODLR 98.62 C 116,755 UNCH 98.62 P 26,288 UNCH
SEP18 1Y-MIDC 98.37 C 98,693 -3,711 98.37 P 88,820 +1,039
SEP18 1Y-MIDC 98.50 C 60,846 -9,650 98.50 P 14,855 UNCH
SEP19 2Y-MIDC 98.00 C 62,838 UNCH 98.00 P 109,990 +54
SEP19 2Y-MIDC 98.12 C 116,573 UNCH 98.12 P 92,631 +1,766
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 31,372 UNCH
PUT/CALL RATIO FOR VOLUME CLEARED:
OCT17 10Y NOTE PUT/CALL RATIO -- 0.78 (96,911 PUTS VS. 123,219 CALLS)
DEC17 10Y NOTE PUT/CALL RATIO -- 1.05 (30,095 PUTS VS. 28,441 CALLS)
OCT17 5Y NOTE PUT/CALL RATIO -- 1.00 (24,676 PUTS VS. 22,256 CALLS)
DEC17 5Y NOTE PUT/CALL RATIO -- 0.57 (15,216 PUTS VS. 26,650 CALLS)
SEP17 EURODLRS PUT/CALL RATIO -- 0.17 (5,000 PUTS VS. 29,249 CALLS)
OCT17 EURODLRS PUT/CALL RATIO -- 7.00 (14,000 PUTS VS. 3,500 CALLS)
SEP18 1Y-MIDCRVE PUT/CALL RATIO -- 0.24 (5,170 PUTS VS. 20,775 CALLS)
SEP19 2Y-MIDCRVE PUT/CALL RATIO -- 0.11 (3,500 PUTS VS. 31,910 CALLS)
SEP20 3Y-MIDCRVE PUT/CALL RATIO -- 12.8 (10,230 PUTS VS. 800 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
9:00 39.29 58.90 56.38 61.75 73.07 78.25
Thu Open 39.29 58.79 56.38 61.75 73.07 78.25
Wed 3:00 39.00 59.48 56.03 61.48 73.13 78.26
Wed Open 38.95 59.68 56.13 61.74 73.42 78.45
Tue 3:00 39.06 59.79 56.12 61.99 73.27 78.58
Tue Open 38.86 59.63 56.19 62.21 73.52 78.76
Mon 3:00 39.26 59.89 56.59 63.01 73.67 78.90
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
--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.