Free Trial

US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR SEP 28

     EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
            USX     USZ    TYX    TYZ    FVX    FVZ     EDV     EDZ
FRI OPEN   6.40%   6.53%  3.26%  3.41%  2.00%  2.11%   8.21%   9.75%
THU 3:00   6.38%   6.40%  3.17%  3.31%  1.97%  2.05%   9.95%   9.76%
THU OPEN   6.21%   6.34%  3.15%  3.34%  1.94%  2.07%  11.54%   9.75%
WED OPEN   6.72%   6.68%  3.39%  3.57%  2.14%  2.18%   8.06%   9.33%
TUE 3:00    N/A     N/A    N/A    N/A    N/A    N/A     N/A     N/A
TUE OPEN    N/A     N/A    N/A    N/A    N/A    N/A     N/A     N/A
MON 3:00    N/A     N/A    N/A    N/A    N/A    N/A     N/A     N/A
MON OPEN    N/A     N/A    N/A    N/A    N/A    N/A     N/A     N/A
     LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE
NOV18 10Y NOTE  119.50 C   85,772   +8,701   118.00 P  119,311  -1,867
DEC18 10Y NOTE  120.50 C   94,348   +1,720   118.00 P   83,307  +2,014
NOV18 5Y NOTE   113.25 C   31,843     +104   112.75 P   22,772     -33
DEC18 5Y NOTE   114.00 C   40,801   +2,500   107.25 P  244,618    UNCH
NOV18 2Y NOTE   105.75 C   22,137     UNCH   105.12 P   16,763    UNCH
DEC18 2Y NOTE   106.75 C    6,243     UNCH   105.25 P   11,030    UNCH
OCT18 EURODLR    97.37 C  137,012   -3,350    97.37 P  192,107  -5,500
DEC18 EURODLR    97.62 C  468,434     UNCH    97.25 P  669,090    -897
DEC19 1Y-MIDC    97.25 C  220,085   -1,300    96.75 P  642,630  +3,697
DEC20 2Y-MIDC    97.25 C  112,353     +337    96.75 P  337,247  -4,258
DEC21 3Y-MIDC    97.50 C   66,114     +100    96.50 P  138,648    -413
     NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE
NOV18 10Y NOTE  120.00 C   80,234   +3,235   120.00 P   22,540    UNCH
NOV18 10Y NOTE  120.50 C   49,982   +1,618   120.50 P    7,212    +253
DEC18 10Y NOTE  120.00 C   49,357     +296   120.00 P   31,844    +533
DEC18 10Y NOTE  120.50 C   94,348   +1,720   120.50 P   20,712    UNCH
NOV18 5Y NOTE   113.50 C   23,816      +50   113.50 P    3,115      +1
NOV18 5Y NOTE   113.75 C   11,783      +32   113.75 P    1,913    UNCH
DEC18 5Y NOTE   113.50 C   35,961     +843   113.50 P    6,785    +146
DEC18 5Y NOTE   113.75 C    7,551       +4   113.75 P      393    UNCH
NOV18 2Y NOTE   105.62 C   20,052       -1   105.62 P      108    UNCH
NOV18 2Y NOTE   105.75 C   22,137     UNCH   105.75 P      181    UNCH
DEC18 2Y NOTE   105.62 C      738     UNCH   105.62 P      322    UNCH
DEC18 2Y NOTE   106.75 C    6,243     UNCH   106.75 P      251    UNCH
OCT18 EURODLR    97.37 C  137,012   -3,350    97.37 P  190,707    UNCH
OCT18 EURODLR    97.50 C  104,636     UNCH    97.50 P    9,650    UNCH 
DEC18 EURODLR    97.50 C  359,263     -500    97.50 P  330,649    UNCH
DEC18 EURODLR    97.62 C  468,434     UNCH    97.62 P  193,683    UNCH
DEC19 1Y-MIDC    97.12 C  219,932   -2,550    97.12 P  143,798    UNCH
DEC19 1Y-MIDC    97.25 C  220,085   -1,300    97.25 P   87,329    UNCH
DEC20 2Y-MIDC    97.00 C  101,814     +722    97.00 P  273,052    UNCH
DEC20 2Y-MIDC    97.12 C   63,610  +12,128    97.12 P   42,358    UNCH  
DEC21 3Y-MIDC    96.87 C   34,838   +4,021    96.87 P   40,787  +2,666
DEC21 3Y-MIDC    97.00 C   51,108     UNCH    97.00 P  106,750    +432
     PUT/CALL RATIO FOR VOLUME CLEARED:
NOV18 10Y NOTE PUT/CALL RATIO  -- 1.38 (110,442 PUTS VS. 80,236 CALLS)
DEC18 10Y NOTE PUT/CALL RATIO  -- 1.40 (33,469 PUTS VS. 23,866 CALLS)
NOV18 5Y NOTE PUT/CALL RATIO   -- 1.49 (26,641 PUTS VS. 17,915 CALLS)
DEC18 5Y NOTE PUT/CALL RATIO   -- 1.51 (16,813 PUTS VS. 11,116 CALLS)
NOV18 2Y NOTE PUT/CALL RATIO   -- 2.68 (557 PUTS VS. 208 CALLS)
DEC18 2Y NOTE PUT/CALL RATIO   -- 1.20 (1,216 PUTS VS. 1,016 CALLS)
OCT18 EURODLRS PUT/CALL RATIO  -- 0.00 (0 PUTS VS. 4,500 CALLS)
DEC18 EURODLRS PUT/CALL RATIO  -- 2.76 (59,590 PUTS VS. 21,582 CALLS)
DEC19 1Y-MIDCRVE PUT/CALL RATIO-- 4.17 (110,250 PUTS VS. 26,425 CALLS)
DEC20 2Y-MIDCRVE PUT/CALL RATIO-- 15.9 (78,826 PUTS VS. 4,950 CALLS)
DEC21 3Y-MIDCRVE PUT/CALL RATIO-- 0.00 (3,450 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
FRI OPEN    43.37   49.57    53.89   55.16    68.52     74.29
THU 3:00    43.61   50.00    54.19   55.33    68.62     74.36
THU OPEN    43.92   51.25    54.78   55.90    68.81     74.43
WED OPEN    44.96   53.46    55.87   57.12    69.14     74.62
TUE 3:00     N/A     N/A      N/A     N/A      N/A       N/A
TUE OPEN     N/A     N/A      N/A     N/A      N/A       N/A
MON 3:00     N/A     N/A      N/A     N/A      N/A       N/A
MON OPEN     N/A     N/A      N/A     N/A      N/A       N/A
--MNI Chicago Bureau; +1 630-698-0154; email: ryan.martin@marketnews.com
[TOPICS: MTABLE,M$U$$$,M$$FI$,MN$FI$]

To read the full story

Close

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.