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Free AccessUS TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR SEP 25
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USX USZ TYX TYZ FVX TUZ EDV EDZ
10:30 7.18% 7.30% 3.71% 3.83% 2.27% 2.28% 13.15% 17.45%
9:15 7.24% 7.35% 3.74% 3.82% 2.27% 2.30% 13.76% 17.42%
MON OPEN 7.24% 7.27% 3.76% 3.79% 2.21% 2.28% 13.34% 16.54%
FRI 3:00 N/A 7.38% N/A 3.84% N/A 2.31% 13.55% 17.16%
FRI OPEN N/A 7.20% N/A 3.81% N/A 2.24% 13.81% 18.00%
THU 3:00 N/A 7.19% N/A 3.72% N/A 2.22% 13.54% 17.86%
THU OPEN N/A 7.14% N/A 3.75% N/A 2.24% 14.90% 18.13%
WED 3:00 N/A 7.22% N/A 3.82% N/A 2.28% 15.81% 17.83%
WED OPEN N/A 7.37% N/A 3.90% N/A 2.30% 17.86% 19.16%
TUE OPEN N/A 7.24% N/A 3.86% N/A 2.28% 16.51% 17.98%
MON 3:00 N/A 7.36% N/A 3.92% N/A 2.32% 16.13% 18.45%
MON OPEN N/A 7.37% N/A 3.86% N/A 2.25% 16.82% 18.95%
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
NOV17 10Y NOTE 128.50 C 115,044 +622 124.50 P 112,755 +6,867
DEC17 10Y NOTE 129.00 C 91,584 +1,232 114.00 P 90,755 UNCH
NOV17 5Y NOTE 119.00 C 23,898 -9 115.25 P 25,109 UNCH
DEC17 5Y NOTE 119.00 C 14,957 +55 112.25 P 98,554 UNCH
OCT17 EURODLR 98.62 C 119,306 UNCH 98.50 P 193,149 +4,637
DEC17 EURODLR 98.75 C 615,819 -118,900 98.37 P1,131,238 +320
DEC18 1Y-MIDC 98.50 C 161,047 +8,956 98.12 P 505,503 +30,940
DEC19 2Y-MIDC 98.50 C 138,006 -2,159 97.75 P 250,916 +1,382
DEC20 3Y-MIDC 98.25 C 54,657 +600 96.75 P 101,062 UNCH
NEAREST ATM: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
NOV17 10Y NOTE 127.00 C 106,682 +10,180 127.00 P 24,026 -208
NOV17 10Y NOTE 127.50 C 83,374 +2,704 127.50 P 11,694 UNCH
DEC17 10Y NOTE 127.00 C 25,877 +20 127.00 P 21,662 -376
DEC17 10Y NOTE 127.50 C 25,357 +452 127.50 P 12,546 +6
NOV17 5Y NOTE 118.25 C 18,276 +1,655 118.25 P 15,013 +1
NOV17 5Y NOTE 118.50 C 9,863 +1,095 118.50 P 2,578 UNCH
DEC17 5Y NOTE 118.25 C 13,988 -12 118.25 P 16,309 -1
DEC17 5Y NOTE 118.50 C 7,599 -2 118.50 P 15,586 UNCH
OCT17 EURODLR 98.50 C 40,688 +2,300 98.50 P 193,149 +4,637
OCT17 EURODLR 98.62 C 119,306 UNCH 98.62 P 26,288 UNCH
DEC17 EURODLR 98.50 C 330,466 -9,118 98.50 P 587,954 -693
DEC17 EURODLR 98.62 C 495,221 +2,498 98.62 P 214,806 +1,400
DEC18 1Y-MIDC 98.25 C 86,794 +5,500 98.25 P 253,846 +15,704
DEC18 1Y-MIDC 98.37 C 143,152 +11,621 98.37 P 92,224 UNCH
DEC19 2Y-MIDC 98.00 C 65,603 +2,242 98.00 P 171,292 +18,562
DEC19 2Y-MIDC 98.12 C 48,751 +981 98.12 P 64,075 -9,300
DEC20 3Y-MIDC 97.87 C 51,619 -2,400 97.87 P 39,419 -2,687
DEC20 3Y-MIDC 98.00 C 42,690 -100 98.00 P 19,255 -500
PUT/CALL RATIO FOR VOLUME CLEARED:
NOV17 10Y NOTE PUT/CALL RATIO -- 0.71 (104,964 PUTS VS. 146,516 CALLS)
DEC17 10Y NOTE PUT/CALL RATIO -- 2.59 (69,690 PUTS VS. 26,778 CALLS)
NOV17 5Y NOTE PUT/CALL RATIO -- 1.51 (24,077 PUTS VS. 15,820 CALLS)
DEC17 5Y NOTE PUT/CALL RATIO -- 6.76 (17,609 PUTS VS. 2,635 CALLS)
OCT17 EURODLRS PUT/CALL RATIO -- 1.47 (5,300 PUTS VS. 3,651 CALLS)
DEC17 EURODLRS PUT/CALL RATIO -- 0.37 (105,613 PUTS VS. 279,127 CALLS)
DEC18 1Y-MIDCRVE PUT/CALL RATIO -- 7.20 (124,068 PUTS VS. 17,200 CALLS)
DEC19 2Y-MIDCRVE PUT/CALL RATIO -- 3.64 (77,900 PUTS VS. 21,400 CALLS)
DEC20 3Y-MIDCRVE PUT/CALL RATIO -- 0.39 (4,200 PUTS VS. 10,700 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
10:30 40.03 56.88 55.28 59.24 70.98 77.15
9:15 40.03 56.86 55.28 59.24 70.55 76.96
Mon Open 40.03 56.18 55.28 59.24 70.65 77.12
Fri 3:00 40.20 55.06 55.36 59.39 71.19 77.61
Fri Open 40.05 53.48 54.94 58.92 71.19 77.64
Thu 3:00 39.78 52.97 54.54 58.68 71.20 77.65
Thu Open 40.13 56.01 55.33 59.52 71.43 77.65
Wed 3:00 39.98 56.67 55.08 59.42 71.74 77.40
Wed Open 40.61 57.34 55.87 60.33 72.21 77.51
Tue Open 40.38 57.53 56.24 60.68 72.56 77.36
Mon 3:00 40.14 57.49 56.43 60.90 72.61 77.94
Mon Open 39.75 56.58 56.48 61.08 72.75 77.92
--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.