Weekly Interest Rate Options Review (April 9-13)


* Once again, vol was lower across the ED complex on below average volume. Front months are at 1 month lows while mid curve buckets are at their lowest levels since early Feb. 

* Constant maturity volatilities (30/60/90 day) were lower across the ED strip this week. All front month buckets are at an 8week low while mids are at lows for the year.  

* Vol in the fronts continues to hold up better relative to mids and is at or equal to  6 month highs against midcurve buckets.  

* Put skews outperformed this week however calls (20 & 30 delta) remain rich to puts across the ED strip.  



* Volatility was lower for the week on average volume. Vols have fallen to their lowest absolute levels of the year. 

* Constant maturity vols (30/60/90 day) were slightly lower across the treasury curve and are also at their lows for the year. 

* Put skews (30 & 40 delta) strengthened this week and trades at a premium to calls in every bucket except for FVK. 

* ED volatility slightly extended its recent outperformance vs its treasury counterpart and is now at highs for the year in 0EM/TUM, 2EM/FVM and 3EM/TYM.

*Quick Look: May Treasury Option Expiration (4/20)


Strike       Total OI   p/c Ratio

TYK  120   123.9K    2.6:1 put

TYK  120.5 131.9     1.7:1 put

TYK  121    98.2     2.3:1 call


FVK  113.75 24.9K    3.4:1 put

FVK  114    65.6     1.1:1 put

FVK  114.25 41.0     1.1:1 put  



Economic Releases/Speakers

Monday: Retail Sales,  Empire Manufacturing

Tuesday: Housing Starts/Permits, Industrial Prod/Cap U,

        Fed’s Evans: Econ Outlook (12:10 CT)

Wednesday: Beige Book, Fed’s Dudley: Econ Outlook (7:30CT)

Thursday: Claims, Philly Fed, Leading Indicators

Friday: Fed’s Evans: Outlook (8:40CT)


by Dan Kehoe