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Free AccessUS TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR SEP 16
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USV USZ TYV TYZ FVV FVZ EDV EDZ
1115 14.20% 9.83% 7.22% 5.00% 4.88% 3.29% 33.00% 30.20%
0915 14.04% 9.82% 7.07% 4.99% 4.92% 3.29% 33.93% 30.18%
MON OPEN 14.63% 9.90% 7.35% 5.01% 5.05% 3.32% 33.60% 30.75%
FRI 1500 12.18% 9.71% 6.26% 4.98% 4.25% 3.23% 31.17% N/A
FRI OPEN 10.90% 9.23% 5.61% 4.65% 3.85% 3.08% 31.60% N/A
THU 1500 10.73% 9.10% 5.73% 4.62% 4.02% 3.10% 31.18% N/A
THU OPEN 10.35% 9.00% 5.35% 4.53% 3.86% 3.02% 31.77% N/A
WED 1500 10.75% 9.15% 5.50% 4.65% 3.83% 3.08% 31.38% N/A
WED OPEN 11.40% 9.25% 5.72% 4.71% 4.01% 3.13% 33.75% N/A
TUE 1500 10.95% 9.26% 5.49% 4.70% 3.87% 3.07% 37.17% N/A
TUE OPEN 10.20% 8.98% 5.09% 4.58% 3.51% 3.00% 38.21% N/A
MON 1500 10.01% 9.03% 5.07% 4.54% 3.45% 2.98% 37.80% N/A
MON OPEN 10.16% 9.08% 5.15% 4.62% 3.52% 3.01% 38.96% N/A
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
OCT19 10Y NOTE 132.00 C 84,375 -47 129.00 P 107,154 -16,569
DEC19 10Y NOTE 134.00 C 59,397 +1,112 127.00 P 87,802 +32,028
OCT19 5Y NOTE 120.50 C 31,785 UNCH 119.00 P 91,456 -9,892
DEC19 5Y NOTE 120.00 C 20,346 +16 109.00 P 48,252 UNCH
OCT19 2Y NOTE 108.25 C 4,053 UNCH 107.50 P 26,668 UNCH
DEC19 2Y NOTE 108.50 C 6,898 +2,020 105.75 P 5,400 UNCH
OCT19 EURODLR 98.25 C 511,943 -30,805 98.00 P 137,152 -7,841
DEC19 EURODLR 98.25 C 475,085 +37,569 97.25 P1,056,839 UNCH
DEC20 1Y-MIDC 98.87 C 153,473 +1,797 98.00 P 213,027 -6,920
DEC21 2Y-MIDC 98.50 C 86,589 +624 97.37 P 125,829 UNCH
DEC22 3Y-MIDC 97.37 C 56,018 UNCH 97.37 P 64,958 UNCH
NEAREST ATM: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
OCT19 10Y NOTE 129.00 C 22,361 +10,407 129.00 P 107,154 -16,569
OCT19 10Y NOTE 129.50 C 18,425 +5,747 129.50 P 65,513 -13,888
DEC19 10Y NOTE 129.00 C 5,065 +2,807 129.00 P 32,735 +2,078
DEC19 10Y NOTE 129.50 C 12,256 +647 129.50 P 40,990 -1,672
OCT19 5Y NOTE 118.25 C 3,862 -1,518 118.25 P 36,663 -1,203
OCT19 5Y NOTE 118.50 C 6,746 +5,359 118.50 P 51,475 +87
DEC19 5Y NOTE 118.25 C 199 +62 118.25 P 4,206 -22
DEC19 5Y NOTE 118.50 C 1,908 -46 118.50 P 12,431 +814
OCT19 2Y NOTE 107.50 C 462 +48 107.50 P 26,668 UNCH
OCT19 2Y NOTE 107.62 C 1,404 +1 107.62 P 11,169 -1
DEC19 2Y NOTE 107.50 C 519 UNCH 107.50 P 1,024 -5
DEC19 2Y NOTE 107.62 C 192 UNCH 107.62 P 467 -6
OCT19 EURODLR 98.00 C 127,892 +12,725 98.00 P 137,152 -7,841
OCT19 EURODLR 98.12 C 82,095 -2,094 98.12 P 99,418 -3,400
DEC19 EURODLR 97.87 C 377,312 +309 97.87 P 338,216 -1,603
DEC19 EURODLR 98.00 C 278,647 -9,047 98.00 P 332,021 +4,498
DEC20 1Y-MIDC 98.37 C 44,751 +5 98.37 P 143,564 -2,477
DEC20 1Y-MIDC 98.50 C 31,498 UNCH 98.50 P 55,998 +776
DEC21 2Y-MIDC 98.37 C 51,398 -48,705 98.37 P 19,833 -200
DEC21 2Y-MIDC 98.50 C 86,589 +624 98.50 P 31,795 +1,523
DEC22 3Y-MIDC 98.37 C 10,956 UNCH 98.37 P 4,357 UNCH
DEC22 3Y-MIDC 98.50 C 34,175 UNCH 98.50 P 17,000 UNCH
PUT/CALL RATIO FOR VOLUME CLEARED:
OCT19 10Y NOTE PUT/CALL RATIO -- 3.26 (522,038 PUTS VS. 160,776 CALLS)
DEC19 10Y NOTE PUT/CALL RATIO -- 1.33 (132,697 PUTS VS. 99,051 CALLS)
OCT19 5Y NOTE PUT/CALL RATIO -- 3.91 (156,551 PUTS VS. 40,057 CALLS)
DEC19 5Y NOTE PUT/CALL RATIO -- 3.48 (39,717 PUTS VS. 11,436 CALLS)
OCT19 2Y NOTE PUT/CALL RATIO -- 6.21 (9,315 PUTS VS. 1,538 CALLS)
DEC19 2Y NOTE PUT/CALL RATIO -- 1.12 (9,336 PUTS VS. 8,358 CALLS)
OCT19 EURODLRS PUT/CALL RATIO -- 0.43 (90,062 PUTS VS. 207,244 CALLS)
DEC19 EURODLRS PUT/CALL RATIO -- 0.08 (75,792 PUTS VS. 936,868 CALLS)
DEC20 1Y-MIDCRVE PUT/CALL RATIO -- 2.07 (108,530 PUTS VS. 52,500 CALLS)
DEC21 2Y-MIDCRVE PUT/CALL RATIO -- 0.01 (3,007 PUTS VS. 201,950 CALLS)
DEC22 3Y-MIDCRVE PUT/CALL RATIO -- 0.00 (3,836 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
1115 80.66 87.24 81.31 79.58 65.73 64.26
0915 80.96 87.23 81.49 79.61 65.84 64.15
Mon Open 80.92 87.16 81.54 79.45 65.75 64.25
Fri 1500 80.06 83.89 80.58 78.53 65.66 64.35
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.