Free Trial

US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR SEP 15

EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
            USV    USZ     TYV    TYZ     FVV    TUZ     EDU     EDV
FRI 3:00   6.40%  7.29%   3.45%  3.81%   2.06%  2.22%    N/A    16.30%
1:45       6.57%  7.35%   3.56%  3.89%   2.15%  2.26%    N/A    16.35%
11:30      6.70%  7.34%   3.52%  3.88%   2.21%  2.26%    N/A    16.70%
10:15      6.74%  7.31%   3.71%  3.89%   2.08%  2.23%    N/A    16.25%
9:30       6.74%  7.31%   3.71%  3.89%   2.08%  2.23%    N/A    16.25%
FRI OPEN   7.52%  7.45%   4.06%  3.91%   2.40%  2.29%    N/A    15.80%
THU 3:00   7.35%  7.47%   3.94%  3.90%   2.42%  2.27%    N/A    16.50%
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%
LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE
OCT17 10Y NOTE  127.50 C   89,958   +4,423   126.00 P   70,822    -366
DEC17 10Y NOTE  129.00 C   91,773     -159   114.00 P   95,075    UNCH
OCT17 5Y NOTE   119.00 C   34,890     -556   118.00 P   27,087  -1,284
DEC17 5Y NOTE   118.25 C   12,143      -75   112.25 P  101,550    UNCH
SEP17 EURODLR    98.75 C  333,845   -1,500    98.37 P  746,921    UNCH
OCT17 EURODLR    98.62 C  117,119     +365    98.50 P  176,610 +20,725
SEP18 1Y-MIDC    98.37 C   99,236     +543    98.12 P  213,307     -75
SEP19 2Y-MIDC    98.75 C  136,631     UNCH    97.12 P  192,279    UNCH
SEP20 3Y-MIDC    98.12 C   39,705     +251    97.62 P   56,664    UNCH
NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE
OCT17 10Y NOTE  127.00 C   88,743   -1,977   127.00 P   30,061  -2,622
OCT17 10Y NOTE  127.50 C   89,958   +4,423   127.50 P   14,498    +227
DEC17 10Y NOTE  127.00 C   24,227     -483   127.00 P   21,956     -74
DEC17 10Y NOTE  127.50 C   24,463     +395   127.50 P   12,413    UNCH
OCT17 5Y NOTE   118.25 C   10,163     +537   118.25 P   22,709  -1,999
OCT17 5Y NOTE   118.50 C   16,254   +2,102   118.50 P   12,137    -110
DEC17 5Y NOTE   118.25 C   12,143      -75   118.25 P   15,660  -1,201
DEC17 5Y NOTE   118.50 C    8,015   +1,451   118.50 P   15,586     +25
SEP17 EURODLR    98.62 C  251,624     -849    98.62 P  261,417    UNCH
SEP17 EURODLR    98.75 C  333,845   -1,500    98.75 P  107,287    UNCH
OCT17 EURODLR    98.50 C   36,191   -1,251    98.50 P  176,610 +20,725
OCT17 EURODLR    98.62 C  117,119     +365    98.62 P   26,288    UNCH
SEP18 1Y-MIDC    98.37 C   99,236     +543    98.37 P   86,237  -2,583
SEP18 1Y-MIDC    98.50 C   63,648   +2,788    98.50 P   14,881     +26
SEP19 2Y-MIDC    98.00 C   62,592     -426    98.00 P  100,569  -9,421
SEP19 2Y-MIDC    98.12 C  112,353   -4,220    98.12 P   83,942  -8,689  
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   31,072    -300
PUT/CALL RATIO FOR VOLUME CLEARED:
OCT17 10Y NOTE PUT/CALL RATIO -- 1.04 (132,181 PUTS VS. 126,343 CALLS)
DEC17 10Y NOTE PUT/CALL RATIO -- 1.07 (36,605 PUTS VS. 34,273 CALLS)
OCT17 5Y NOTE PUT/CALL RATIO  -- 2.61 (50,753 PUTS VS. 19,420 CALLS)
DEC17 5Y NOTE PUT/CALL RATIO  -- 2.71 (28,513 PUTS VS. 10,538 CALLS)
SEP17 EURODLRS PUT/CALL RATIO -- 0.12 (500 PUTS VS. 4,200 CALLS)
OCT17 EURODLRS PUT/CALL RATIO -- 8.50 (37,433 PUTS VS. 4,450 CALLS)
SEP18 1Y-MIDCRVE PUT/CALL RATIO -- 1.08 (4,900 PUTS VS. 4,525 CALLS)
SEP19 2Y-MIDCRVE PUT/CALL RATIO -- 0.93 (12,960 PUTS VS. 13,862 CALLS)
SEP20 3Y-MIDCRVE PUT/CALL RATIO -- 0.82 (4,800 PUTS VS. 5,800 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
Fri 3:00     39.73    56.27    56.47    61.18    72.70    77.84
1:45         39.73    56.27    56.47    61.20    72.70    77.84
11:30        39.73    57.18    56.65    61.51    72.57    78.04
10:15        39.73    57.22    56.65    61.58    72.64    78.02
9:30         39.75    57.30    56.65    61.60    72.79    78.01
Fri Open     39.68    57.66    56.69    61.58    72.80    78.02
Thu 3:00     39.64    57.36    56.61    61.52    72.86    78.00
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
--MNI Chicago Bureau; tel: +1 312-431-0089; email: bill.sokolis@marketnews.com
[TOPICS: MTABLE,M$U$$$,M$$FI$,MN$FI$]

To read the full story

Close

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.