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Free AccessUS TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR SEP 23
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USX USZ TYV TYZ FVV FVZ EDV EDZ
THU 1500 N/A 9.27% N/A 4.89% N/A 3.11% 27.44% 27.54%
THU OPEN N/A 9.35% N/A 4.92% N/A 3.17% 29.25% 28.25%
WED 1500 N/A 9.54% N/A 5.00% N/A 3.25% 29.20% 28.10%
WED OPEN N/A 9.62% N/A 4.99% N/A 3.29% 35.00% 31.09%
TUE 1500 N/A 9.76% N/A 5.03% N/A 3.29% 34.75% 30.88%
TUE OPEN N/A 9.88% N/A 5.07% N/A 3.31% 34.40% 31.40%
Mon 1500 N/A 9.97% N/A 5.08% N/A 3.32% 33.90% 30.50%
MON OPEN N/A 9.90% N/A 5.01% N/A 3.32% 33.60% 30.75%
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
NOV19 10Y NOTE 132.00 C 87,986 +8,032 128.00 P 75,685 +3,947
DEC19 10Y NOTE 132.00 C 76,653 +19,618 116.00 P 51,002 UNCH
NOV19 5Y NOTE 119.50 C 19,043 +1,978 115.50 P 61,400 +25,775
DEC19 5Y NOTE 119.50 C 35,650 +39 109.00 P 48,347 UNCH
NOV19 2Y NOTE 108.50 C 13,202 UNCH 107.50 P 18,202 -2,523
DEC19 2Y NOTE 108.12 C 10,338 +100 105.75 P 5,400 UNCH
OCT19 EURODLR 98.25 C 502,872 -1,146 98.00 P 120,635 -5,915
DEC19 EURODLR 98.25 C 557,431 +10,451 97.25 P1,054,675 UNCH
DEC20 1Y-MIDC 98.87 C 175,438 -1,000 98.00 P 202,941 -6,852
DEC21 2Y-MIDC 98.50 C 86,977 +246 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
NOV19 10Y NOTE 129.00 C 17,076 +51 129.00 P 59,508 +177
NOV19 10Y NOTE 129.50 C 22,076 +15 129.50 P 48,773 +4,489
DEC19 10Y NOTE 129.00 C 10,811 +214 129.00 P 39,879 +27
DEC19 10Y NOTE 129.50 C 18,666 +928 129.50 P 40,319 +1,198
NOV19 5Y NOTE 118.25 C 1,757 +1 118.25 P 53,784 +9,094
NOV19 5Y NOTE 118.50 C 12,369 -883 118.50 P 36,136 +667
DEC19 5Y NOTE 118.25 C 199 UNCH 118.25 P 18,910 -1
DEC19 5Y NOTE 118.50 C 1,656 -53 118.50 P 12,170 +90
NOV19 2Y NOTE 107.50 C 2,031 +110 107.50 P 18,202 -2,523
NOV19 2Y NOTE 107.62 C 2,305 +2 107.62 P 3,372 -855
DEC19 2Y NOTE 107.50 C 1,034 +52 107.50 P 1,513 +18
DEC19 2Y NOTE 107.62 C 324 +40 107.62 P 560 +93
OCT19 EURODLR 98.00 C 113,524 -7,443 98.00 P 120,635 -5,915
OCT19 EURODLR 98.12 C 112,217 -44 98.12 P 96,838 UNCH
DEC19 EURODLR 97.87 C 377,257 +31 97.87 P 324,873 -17,364
DEC19 EURODLR 98.00 C 354,512 -299 98.00 P 324,924 -8,071
DEC20 1Y-MIDC 98.37 C 108,517 UNCH 98.37 P 150,271 -8,268
DEC20 1Y-MIDC 98.50 C 92,218 -19,520 98.50 P 57,733 UNCH
DEC21 2Y-MIDC 98.37 C 51,648 UNCH 98.37 P 19,808 UNCH
DEC21 2Y-MIDC 98.50 C 86,977 +246 98.50 P 32,621 +462
DEC22 3Y-MIDC 98.37 C 14,222 UNCH 98.37 P 4,027 UNCH
DEC22 3Y-MIDC 98.50 C 34,425 +250 98.50 P 17,000 UNCH
PUT/CALL RATIO FOR VOLUME CLEARED:
NOV19 10Y NOTE PUT/CALL RATIO -- 0.74 (114,719 PUTS VS. 153,316 CALLS)
DEC19 10Y NOTE PUT/CALL RATIO -- 0.24 (40,969 PUTS VS. 166,021 CALLS)
NOV19 5Y NOTE PUT/CALL RATIO -- 2.06 (93,123 PUTS VS. 45,331 CALLS)
DEC19 5Y NOTE PUT/CALL RATIO -- 1.19 (9,347 PUTS VS. 7,847 CALLS)
NOV19 2Y NOTE PUT/CALL RATIO -- 1.41 (8,900 PUTS VS. 6,297 CALLS)
DEC19 2Y NOTE PUT/CALL RATIO -- 0.79 (631 PUTS VS. 790 CALLS)
OCT19 EURODLRS PUT/CALL RATIO -- 0.47 (25,034 PUTS VS. 53,748 CALLS)
DEC19 EURODLRS PUT/CALL RATIO -- 0.31 (101,142 PUTS VS. 325,810 CALLS)
DEC20 1Y-MIDCRVE PUT/CALL RATIO -- 0.78 (45,350 PUTS VS. 57,095 CALLS)
DEC21 2Y-MIDCRVE PUT/CALL RATIO -- 0.92 (754 PUTS VS. 817 CALLS)
DEC22 3Y-MIDCRVE PUT/CALL RATIO -- 1.24 (6,150 PUTS VS. 4,900 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
Thu 1500 73.44 79.22 74.59 75.05 65.34 64.47
Thu Open 76.25 80.25 75.70 75.78 65.40 64.27
Wed 1500 78.92 82.56 76.73 76.28 65.75 64.54
Wed Open 79.13 86.81 79.89 79.23 66.29 64.80
Tue 1500 79.87 88.51 81.84 80.52 66.14 64.41
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
--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.