Trial now
US TSY OPTIONS

Outright put buyer

EQUITIES

Estoxx futures edge towards session high

EQUITY TECHS

E-MINI S&P (U1): Modest Fade in Prices

GILTS

Opening calls

BOE

Summary of Analyst Views

USD

Broader base buying emerging

     
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
            
             USX    USZ     TYV    TYZ     FVV    FVZ     EDV     EDZ
FRI OPEN    9.68%  9.41%   9.99%  4.94%   3.35%  3.27%   25.99%  27.70%
TUE 1500    9.93%  9.55%   5.15%  5.00%   3.37%  3.26%   27.02%  27.70%
TUE OPEN    9.72%  9.45%   5.02%  4.91%   3.27%  3.18%   30.90%  28.85%
MON 1500    9.80%  9.51%   5.10%  4.92%   3.28%  3.21%   31.00%  29.00%
MON OPEN    9.94%  9.58%   5.11%  4.97%   3.28%  3.21%   29.84%  28.66%
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%
LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE
NOV19 10Y NOTE  132.00 C  103,904     -776   129.00 P  125,177  +35,893
DEC19 10Y NOTE  132.00 C   89,514   -6,969   128.00 P   55,444   +4,656
NOV19 5Y NOTE   119.75 C   37,718  +17,863   115.50 P   74,173     UNCH
DEC19 5Y NOTE   119.75 C   77,435   +8,500   109.00 P   48,347     UNCH
NOV19 2Y NOTE   108.50 C   13,267     UNCH   107.50 P   17,670     UNCH
DEC19 2Y NOTE   108.12 C   10,276     UNCH   105.75 P    5,400     UNCH
OCT19 EURODLR    98.25 C  481,509   -4,923    98.00 P  195,333     UNCH
DEC19 EURODLR    98.25 C  573,424  +13,593    97.25 P1,054,600     UNCH
DEC20 1Y-MIDC    98.87 C  176,946     -189    98.00 P  201,589     UNCH
DEC21 2Y-MIDC    98.50 C   86,973     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
NOV19 10Y NOTE  129.00 C   17,630      -17   129.00 P  125,177  +35,893
NOV19 10Y NOTE  129.50 C   21,618     -794   129.50 P   53,171   +1,763
DEC19 10Y NOTE  129.00 C   11,026      +15   129.00 P   48,200     +335
DEC19 10Y NOTE  129.50 C   19,874     +444   129.50 P   42,099   +1,537
NOV19 5Y NOTE   118.25 C    1,757     UNCH   118.25 P   71,925  +16,380
NOV19 5Y NOTE   118.50 C   12,245     -170   118.50 P   39,769     +102
DEC19 5Y NOTE   118.25 C      212       +6   118.25 P   18,935     UNCH
DEC19 5Y NOTE   118.50 C    1,650       -1   118.50 P   11,275     +147
NOV19 2Y NOTE   107.50 C    1,881     UNCH   107.50 P   17,670     UNCH
NOV19 2Y NOTE   107.62 C    2,305     UNCH   107.62 P    3,521     +150
DEC19 2Y NOTE   107.50 C    1,044     UNCH   107.50 P    1,990     +172
DEC19 2Y NOTE   107.62 C      312     UNCH   107.62 P    2,054     +100
OCT19 EURODLR    98.00 C  118,760     +256    98.00 P  195,333     UNCH
OCT19 EURODLR    98.12 C  112,321   -1,012    98.12 P  105,074     UNCH
DEC19 EURODLR    97.87 C  378,200      -40    97.87 P  294,124   +2,224
DEC19 EURODLR    98.00 C  368,689     +141    98.00 P  322,870      +87
DEC20 1Y-MIDC    98.37 C  107,417     UNCH    98.37 P  146,798     -223
DEC20 1Y-MIDC    98.50 C   92,169     +222    98.50 P   53,431   -3,540
DEC21 2Y-MIDC    98.37 C   51,398     -250    98.37 P   19,558     -250
DEC21 2Y-MIDC    98.50 C   86,973     UNCH    98.50 P   32,621     UNCH
DEC22 3Y-MIDC    98.37 C   14,222     UNCH    98.37 P    3,908     UNCH
DEC22 3Y-MIDC    98.50 C   34,425     UNCH    98.50 P   17,000     UNCH
PUT/CALL RATIO FOR VOLUME CLEARED:
NOV19 10Y NOTE PUT/CALL RATIO   -- 1.01 (172,448 PUTS VS. 170,220 CALLS)
DEC19 10Y NOTE PUT/CALL RATIO   -- 1.64 (42,810 PUTS VS. 26,067 CALLS)
NOV19 5Y NOTE PUT/CALL RATIO    -- 0.94 (50,632 PUTS VS. 53,099 CALLS)
DEC19 5Y NOTE PUT/CALL RATIO    -- 0.68 (13,888 PUTS VS. 19,799 CALLS)
NOV19 2Y NOTE PUT/CALL RATIO    -- 1.88 (5,175 PUTS VS. 2,772 CALLS)
DEC19 2Y NOTE PUT/CALL RATIO    -- 1.11 (1,014 PUTS VS. 926 CALLS)
OCT19 EURODLRS PUT/CALL RATIO   -- 0.12 (5,001 PUTS VS. 39,234 CALLS)
DEC19 EURODLRS PUT/CALL RATIO   -- 0.22 (28,904 PUTS VS. 127,186 CALLS)
DEC20 1Y-MIDCRVE PUT/CALL RATIO -- 0.92 (11,696 PUTS VS. 12,663 CALLS)
DEC21 2Y-MIDCRVE PUT/CALL RATIO -- 1.23 (1,611 PUTS VS. 1,350 CALLS)
DEC22 3Y-MIDCRVE PUT/CALL RATIO -- 1.39 (6,400 PUTS VS. 4,619 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
Fri Open    75.01    81.44    77.20    77.01    68.13     67.19
Tue 1500    75.24    84.83    77.70    77.45    68.47     66.94
Tue Open    74.52    84.06    76.39    76.27    67.41     66.32
Mon 1500    74.09    81.82    76.70    76.66    67.11     65.90
Mon Open    75.05    82.41    76.77    77.19    66.79     65.80
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
--MNI Chicago Bureau; tel: +1 312-431-0089; email: bill.sokolis@marketnews.com
[TOPICS: MTABLE,M$U$$$,M$$FI$,MN$FI$]