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Market News Topics
September 06, 2017 18:12 GMT
US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR SEP 6
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USV USZ TYV TYZ FVV TUZ EDU EDV
1:30 8.09% 8.09% 4.08% 4.17% 2.30% 2.43% 18.20% 16.80%
11:45 8.20% 8.09% 4.23% 4.20% 2.41% 2.46% 18.15% 16.75%
10:30 8.19% 8.08% 4.16% 4.20% 2.33% 2.43% 17.92% 16.74%
9:15 8.00% 8.03% 4.05% 4.17% 2.38% 2.41% 18.46% 18.06%
WED OPEN 8.22% 8.11% 4.21% 4.23% 2.46% 2.43% 19.05% 18.05%
TUE 3:00 7.58% 7.86% 4.18% 4.12% 2.32% 2.40% 18.51% 17.88%
TUE OPEN 7.31% 7.72% 3.88% 4.05% 2.24% 2.37% 13.79% 16.49%
FRI 3:00 6.49% 7.51% 3.42% 3.91% 1.95% 2.29% 13.40% 14.85%
FRI OPEN 7.06% 7.78% 3.63% 4.02% 2.19% 2.36% 13.20% 17.40%
THU 3:00 6.99% 7.83% 3.73% 4.05% 2.23% 2.39% 13.10% 16.25%
THU OPEN 6.92% 7.82% 3.62% 4.07% 2.14% 2.42% 12.80% 15.44%
WED 3:00 7.16% 7.88% 3.76% 4.05% 2.23% 2.45% 13.33% 15.85%
WED OPEN 7.27% 7.88% 3.73% 4.44% 2.20% 2.37% 13.50% 18.15%
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
OCT17 10Y NOTE 127.50 C 109,503 +1,978 125.00 P 67,124 +2,495
DEC17 10Y NOTE 129.00 C 90,760 +2,373 114.00 P 95,075 UNCH
OCT17 5Y NOTE 119.00 C 29,469 +2,523 116.00 P 26,518 +3
DEC17 5Y NOTE 118.25 C 9,073 UNCH 112.25 P 101,550 UNCH
SEP17 EURODLR 98.75 C 336,175 +650 98.37 P 746,921 UNCH
OCT17 EURODLR 98.62 C 129,154 UNCH 98.50 P 161,817 +465
SEP18 1Y-MIDC 98.37 C 112,578 -823 98.12 P 211,382 UNCH
SEP19 2Y-MIDC 98.75 C 136,631 UNCH 97.12 P 192,279 UNCH
SEP20 3Y-MIDC 98.00 C 43,481 -80 97.62 P 56,664 UNCH
NEAREST ATM: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
OCT17 10Y NOTE 126.50 C 40,019 +103 126.50 P 40,327 +655
OCT17 10Y NOTE 127.00 C 95,839 +3,183 127.00 P 23,872 +1,672
DEC17 10Y NOTE 126.50 C 12,541 -518 126.50 P 17,334 +6,151
DEC17 10Y NOTE 127.00 C 21,683 -673 127.00 P 15,874 +6,870
OCT17 5Y NOTE 118.25 C 10,434 -30 118.25 P 12,524 +108
OCT17 5Y NOTE 118.50 C 16,392 +1,210 118.50 P 7,717 +1,534
DEC17 5Y NOTE 118.25 C 9,073 UNCH 118.25 P 15,365 +76
DEC17 5Y NOTE 118.50 C 5,412 +135 118.50 P 11,880 +122
SEP17 EURODLR 98.62 C 253,322 -323 98.62 P 267,370 +41,050
SEP17 EURODLR 98.75 C 336,175 +650 98.75 P 107,287 UNCH
OCT17 EURODLR 98.50 C 36,742 UNCH 98.50 P 161,817 +465
OCT17 EURODLR 98.62 C 129,154 UNCH 98.62 P 30,313 UNCH
SEP18 1Y-MIDC 98.37 C 112,578 -823 98.37 P 75,643 -1,303
SEP18 1Y-MIDC 98.50 C 90,157 -819 98.50 P 15,616 -107
SEP19 2Y-MIDC 98.00 C 62,838 UNCH 98.00 P 110,340 UNCH
SEP19 2Y-MIDC 98.12 C 121,009 UNCH 98.12 P 85,261 -89
SEP20 3Y-MIDC 97.75 C 27,133 UNCH 97.75 P 34,884 UNCH
SEP20 3Y-MIDC 97.87 C 22,685 UNCH 97.87 P 31,551 +100
PUT/CALL RATIO FOR VOLUME CLEARED:
OCT17 10Y NOTE PUT/CALL RATIO -- 0.55 (74,176 PUTS VS. 133,142 CALLS)
DEC17 10Y NOTE PUT/CALL RATIO -- 2.40 (86,333 PUTS VS. 35,899 CALLS)
OCT17 5Y NOTE PUT/CALL RATIO -- 1.48 (33,294 PUTS VS. 22,417 CALLS)
DEC17 5Y NOTE PUT/CALL RATIO -- 1.50 (11,980 PUTS VS. 7,934 CALLS)
SEP17 EURODLRS PUT/CALL RATIO -- 32.0 (64,150 PUTS VS. 2,041 CALLS)
OCT17 EURODLRS PUT/CALL RATIO -- 0.18 (465 PUTS VS. 2,500 CALLS)
SEP18 1Y-MIDCRVE PUT/CALL RATIO -- 0.10 (4,540 PUTS VS. 42,250 CALLS)
SEP19 2Y-MIDCRVE PUT/CALL RATIO -- 1.14 (29,304 PUTS VS. 25,650 CALLS)
SEP20 3Y-MIDCRVE PUT/CALL RATIO -- 0.07 (2,650 PUTS VS. 33,577 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
1:30 40.17 64.81 58.16 64.54 74.70 79.23
11:45 40.19 65.05 58.31 64.69 74.86 79.23
10:30 40.23 65.19 60.59 64.93 74.85 79.24
9:15 40.29 64.37 58.22 64.55 74.67 79.24
Wed Open 40.25 64.26 58.12 64.48 74.60 79.26
Tue 3:00 39.72 63.35 57.78 64.13 74.62 79.22
Tue Open 38.71 57.16 55.85 62.05 74.19 79.15
Fri 3:00 38.43 55.64 55.40 61.60 74.16 79.17
Fri Open 39.14 59.07 56.71 62.59 74.53 79.37
Thu 3:00 39.11 59.10 56.56 62.96 74.54 79.30
Thu Open 38.99 59.96 56.81 63.37 74.49 79.05
Wed 3:00 39.06 60.03 56.69 63.30 74.52 79.00
Wed Open 39.05 60.90 56.54 63.33 73.70 78.56
--MNI Chicago Bureau; tel: +1 312-431-0089; email: bill.sokolis@marketnews.com
[TOPICS: MTABLE,M$U$$$,M$$FI$,MN$FI$]
To read the full story
Close
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.
Sign up now for free trial access to this content.
Please enter your details below.
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.
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