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Free AccessUS TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR SEP 17
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USV USZ TYV TYZ FVV FVZ EDV EDZ
0900 13.98% 9.90% 7.42% 5.10% 5.04% 3.32% 34.73% 31.19%
TUE OPEN 14.09% 9.88% 7.45% 5.07% 5.00% 3.31% 34.40% 31.40%
Mon 1500 14.13% 9.97% 7.25% 5.08% 4.82% 3.32% 33.90% 30.50%
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
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
OCT19 10Y NOTE 132.00 C 84,338 -37 129.00 P 107,680 +626
DEC19 10Y NOTE 134.00 C 58,626 -771 127.00 P 63,873 -23,929
OCT19 5Y NOTE 120.50 C 31,785 UNCH 119.00 P 86,138 -5,318
DEC19 5Y NOTE 119.50 C 24,785 +11,589 109.00 P 48,347 +95
OCT19 2Y NOTE 108.00 C 4,301 +750 107.50 P 26,668 UNCH
DEC19 2Y NOTE 108.50 C 6,891 -7 105.75 P 5,400 UNCH
OCT19 EURODLR 98.25 C 508,818 -3,125 98.00 P 136,338 -814
DEC19 EURODLR 98.25 C 493,700 +18,615 97.25 P1,053,839 -3,000
DEC20 1Y-MIDC 98.87 C 168,238 +14,765 98.00 P 214,987 +1,960
DEC21 2Y-MIDC 98.50 C 86,589 UNCH 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 25,246 +2,885 129.00 P 107,680 +626
OCT19 10Y NOTE 129.50 C 21,415 +2,990 129.50 P 65,183 -338
DEC19 10Y NOTE 129.00 C 10,862 +5,797 129.00 P 35,713 +2,978
DEC19 10Y NOTE 129.50 C 11,069 +813 129.50 P 40,777 +87
OCT19 5Y NOTE 118.25 C 5,323 +1,461 118.25 P 35,253 -1,410
OCT19 5Y NOTE 118.50 C 8,759 +1,833 118.50 P 51,326 -149
DEC19 5Y NOTE 118.25 C 200 +1 118.25 P 4,206 UNCH
DEC19 5Y NOTE 118.50 C 1,860 -48 118.50 P 12,431 UNCH
OCT19 2Y NOTE 107.50 C 495 +33 107.50 P 26,668 UNCH
OCT19 2Y NOTE 107.62 C 1,894 +490 107.62 P 11,169 UNCH
DEC19 2Y NOTE 107.50 C 526 +7 107.50 P 1,032 +8
DEC19 2Y NOTE 107.62 C 192 UNCH 107.62 P 467 UNCH
OCT19 EURODLR 98.00 C 121,421 -6,471 98.00 P 136,338 -814
OCT19 EURODLR 98.12 C 89,382 +7,287 98.12 P 97,363 -552
DEC19 EURODLR 97.87 C 376,947 -365 97.87 P 336,102 -2,114
DEC19 EURODLR 98.00 C 286,668 +8,021 98.00 P 332,035 +14
DEC20 1Y-MIDC 98.37 C 108,517 -3,215 98.37 P 154,923 +11,359
DEC20 1Y-MIDC 98.50 C 113,498 -1,318 98.50 P 55,998 UNCH
DEC21 2Y-MIDC 98.37 C 51,398 UNCH 98.37 P 19,833 UNCH
DEC21 2Y-MIDC 98.50 C 86,589 UNCH 98.50 P 31,795 UNCH
DEC22 3Y-MIDC 98.37 C 14,222 +3,222 98.37 P 4,027 -330
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 -- 2.90 (221,313 PUTS VS. 76,981 CALLS)
DEC19 10Y NOTE PUT/CALL RATIO -- 1.36 (88,397 PUTS VS. 64,653 CALLS)
OCT19 5Y NOTE PUT/CALL RATIO -- 1.23 (57,082 PUTS VS. 46,987 CALLS)
DEC19 5Y NOTE PUT/CALL RATIO -- 0.31 (7,903 PUTS VS. 25,212 CALLS)
OCT19 2Y NOTE PUT/CALL RATIO -- 5.20 (15,650 PUTS VS. 3,054 CALLS)
DEC19 2Y NOTE PUT/CALL RATIO -- 0.68 (1,389 PUTS VS. 1,919 CALLS)
OCT19 EURODLRS PUT/CALL RATIO -- 0.04 (19,754 PUTS VS. 385,852 CALLS)
DEC19 EURODLRS PUT/CALL RATIO -- 0.20 (115,183 PUTS VS. 557,992 CALLS)
DEC20 1Y-MIDCRVE PUT/CALL RATIO -- 0.70 (44,303 PUTS VS. 62,150 CALLS)
DEC21 2Y-MIDCRVE PUT/CALL RATIO -- 34.3 (10,300 PUTS VS. 300 CALLS)
DEC22 3Y-MIDCRVE PUT/CALL RATIO -- 0.12 (1,200 PUTS VS. 10,000 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
0900 80.18 88.86 82.39 80.57 66.04 64.52
Tue Open 79.95 89.15 82.29 80.71 65.98 64.48
Mon 1500 80.62 89.43 82.46 80.47 66.08 64.48
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
--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.