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Free AccessUS TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR SEP 29
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USX USZ TYX TYZ FVX TUZ EDV EDZ
FRI OPEN 7.17% 7.31% 3.76% 3.82% 2.28% 2.32% 12.20% 16.65%
THU 3:00 7.45% 7.49% 3.78% 3.84% 2.31% 2.32% 11.20% 16.35%
THU OPEN 7.44% 7.59% 3.81% 3.96% 2.39% 2.38% 12.10% 16.90%
WED 3:00 7.39% 7.51% 3.92% 3.92% 2.38% 2.41% 11.80% 16.90%
WED OPEN 7.10% 7.30% 3.80% 3.83% 2.31% 2.32% 11.89% 17.62%
TUE 3:00 7.19% 7.36% 3.84% 3.88% 2.31% 2.34% 12.40% 17.15%
TUE OPEN 7.26% 7.35% 3.83% 3.86% 2.29% 2.31% 13.40% 17.85%
MON 3:00 7.53% 7.50% 3.94% 3.95% 2.39% 2.37% 12.62% 17.80%
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%
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
NOV17 10Y NOTE 127.00 C 115,673 +771 124.50 P 144,879 +29,962
DEC17 10Y NOTE 129.00 C 90,920 +100 114.00 P 90,755 UNCH
NOV17 5Y NOTE 119.00 C 25,137 +1,353 116.75 P 40,813 +23,295
DEC17 5Y NOTE 119.00 C 15,575 +151 112.25 P 104,720 +205
OCT17 EURODLR 98.62 C 133,245 +14,239 98.50 P 221,684 +1,635
DEC17 EURODLR 98.75 C 616,018 -4,931 98.37 P1,138,798 +5,302
DEC18 1Y-MIDC 98.50 C 152,629 -5,583 98.12 P 489,206 -6,055
DEC19 2Y-MIDC 98.50 C 138,777 +1,026 97.75 P 281,952 +1,728
DEC20 3Y-MIDC 97.87 C 54,063 -1,100 96.75 P 101,162 UNCH
NEAREST ATM: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
NOV17 10Y NOTE 127.00 C 115,673 +771 127.00 P 23,717 -142
NOV17 10Y NOTE 127.50 C 81,494 +799 127.50 P 11,989 -1
DEC17 10Y NOTE 127.00 C 38,283 +379 127.00 P 22,388 -34
DEC17 10Y NOTE 127.50 C 30,006 -440 127.50 P 12,485 -61
NOV17 5Y NOTE 118.25 C 18,245 -3,044 118.25 P 15,012 UNCH
NOV17 5Y NOTE 118.50 C 22,180 +11,011 118.50 P 2,578 UNCH
DEC17 5Y NOTE 118.25 C 14,648 +279 118.25 P 15,978 UNCH
DEC17 5Y NOTE 118.50 C 11,461 +99 118.50 P 15,561 UNCH
OCT17 EURODLR 98.50 C 40,099 +61 98.50 P 221,684 +1,635
OCT17 EURODLR 98.62 C 133,245 +14,239 98.62 P 24,899 UNCH
DEC17 EURODLR 98.50 C 331,759 +1,553 98.50 P 596,861 -2,669
DEC17 EURODLR 98.62 C 523,821 -1,087 98.62 P 221,646 +4,590
DEC18 1Y-MIDC 98.25 C 92,108 +3,222 98.25 P 232,505 +300
DEC18 1Y-MIDC 98.37 C 142,111 -3,390 98.37 P 95,584 UNCH
DEC19 2Y-MIDC 98.00 C 68,390 -1,123 98.00 P 188,990 +1,150
DEC19 2Y-MIDC 98.12 C 49,724 -1,277 98.12 P 58,404 UNCH
DEC20 3Y-MIDC 97.87 C 54,063 -1,100 97.87 P 41,997 +2,845
DEC20 3Y-MIDC 98.00 C 43,970 UNCH 98.00 P 19,255 UNCH
PUT/CALL RATIO FOR VOLUME CLEARED:
NOV17 10Y NOTE PUT/CALL RATIO -- 2.29 (273,202 PUTS VS. 119,204 CALLS)
DEC17 10Y NOTE PUT/CALL RATIO -- 2.39 (85,211 PUTS VS. 35,662 CALLS)
NOV17 5Y NOTE PUT/CALL RATIO -- 1.44 (87,229 PUTS VS. 60,209 CALLS)
DEC17 5Y NOTE PUT/CALL RATIO -- 3.25 (36,837 PUTS VS. 11,285 CALLS)
OCT17 EURODLRS PUT/CALL RATIO -- 0.11 (8,511 PUTS VS. 72,351 CALLS)
DEC17 EURODLRS PUT/CALL RATIO -- 0.63 (55,359 PUTS VS. 87,096 CALLS)
DEC18 1Y-MIDCRVE PUT/CALL RATIO -- 3.29 (82,807 PUTS VS. 25,157 CALLS)
DEC19 2Y-MIDCRVE PUT/CALL RATIO -- 3.63 (51,340 PUTS VS. 14,095 CALLS)
DEC20 3Y-MIDCRVE PUT/CALL RATIO -- 1.91 (4,600 PUTS VS. 2,450 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
Fri Open 40.73 58.34 56.98 60.65 71.32 76.99
Thu 3:00 40.75 58.46 56.93 61.28 71.31 76.95
Thu Open 41.04 58.91 56.89 61.06 71.40 76.95
Wed 3:00 41.20 59.46 56.83 60.98 71.35 77.00
Wed Open 40.70 58.68 56.22 60.10 71.26 76.20
Tue 3:00 40.46 57.67 56.02 59.99 71.10 77.01
Tue Open 40.50 57.91 56.18 60.22 71.29 77.24
Mon 3:00 40.20 57.13 55.45 59.32 71.15 77.23
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
--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.