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hycdx_option_quotes_2.txt
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hycdx_option_quotes_2.txt
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From: YYY At: 11/29/21 09:07:44 UTC-5:00
To:
Subject: $$ CDX OPTIONS: HY37 5Y UPDATE - REF 108.125
$$ CDX OPTIONS: HY37 5Y UPDATE - REF 108.125
EXPIRY: 15-DEC-2021 Fwd 107.89 / 320.8 Dv01 4.67
K [~Sprd] |DEC21>PAY Dlt |DEC21>RCV Dlt |MidVol [SprdVol] Chg b/e
109.5 [287] |155.5 170.5 95% | 0.0 9.6 5% | 4.5% [ 32%] -1.3% 6.05
109.0 [297] |113.7 128.7 84% | 2.8 17.8 16% | 5.2% [ 37%] -1.0% 7.09
108.5 [308] | 80.9 95.9 69% | 20.0 35.0 31% | 5.9% [ 41%] -0.5% 8.01
108.0 [318] | 56.5 71.5 54% | 45.6 60.6 46% | 6.5% [ 46%] -0.1% 8.82
107.5 [329] | 38.9 53.9 42% | 78.0 93.0 58% | 7.0% [ 49%] +0.3% 9.54
107.0 [340] | 26.2 41.2 32% |115.3 130.3 68% | 7.5% [ 53%] +0.6% 10.18
106.5 [351] | 17.2 32.2 24% |156.3 171.3 76% | 7.9% [ 56%] +1.0% 10.77
106.0 [362] | 10.7 25.7 18% |199.8 214.8 82% | 8.4% [ 59%] +1.3% 11.31
105.5 [373] | 6.0 21.0 14% |245.1 260.1 86% | 8.8% [ 62%] +1.5% 11.80
105.0 [384] | 2.6 17.6 11% |291.6 306.6 89% | 9.1% [ 64%] +1.8% 12.26
EXPIRY: 19-JAN-2022 Fwd 107.41 / 328.4 Dv01 4.56
K [~Sprd] |JAN22>PAY Dlt |JAN22>RCV Dlt |MidVol [SprdVol] Chg b/e
110.0 [273] |255.4 270.4 95% | 0.0 11.0 5% | 4.3% [ 30%] -0.3% 5.79
109.5 [283] |213.9 228.9 88% | 4.5 19.5 12% | 4.9% [ 34%] +0.1% 6.70
109.0 [294] |178.6 193.6 79% | 19.2 34.2 21% | 5.4% [ 38%] +0.3% 7.47
108.5 [305] |149.2 164.2 70% | 39.8 54.8 30% | 5.9% [ 41%] +0.5% 8.15
108.0 [315] |124.9 139.9 62% | 65.5 80.5 38% | 6.3% [ 44%] +0.7% 8.75
107.5 [326] |104.8 119.8 54% | 95.4 110.4 46% | 6.7% [ 47%] +0.8% 9.31
107.0 [337] | 88.2 103.2 47% |128.8 143.8 53% | 7.1% [ 50%] +1.0% 9.82
106.5 [348] | 74.4 89.4 41% |165.0 180.0 59% | 7.4% [ 52%] +1.1% 10.30
106.0 [359] | 62.9 77.9 36% |203.5 218.5 64% | 7.7% [ 54%] +1.1% 10.74
105.5 [371] | 53.3 68.3 32% |243.9 258.9 68% | 8.0% [ 56%] +1.2% 11.16
105.0 [382] | 45.2 60.2 28% |285.7 300.7 72% | 8.3% [ 58%] +1.3% 11.55
104.5 [393] | 38.3 53.3 24% |328.9 343.9 76% | 8.6% [ 60%] +1.4% 11.92
104.0 [405] | 32.5 47.5 21% |373.0 388.0 79% | 8.8% [ 62%] +1.4% 12.28
103.5 [416] | 27.5 42.5 19% |418.1 433.1 81% | 9.0% [ 64%] +1.5% 12.61
103.0 [428] | 23.2 38.2 17% |463.8 478.8 83% | 9.3% [ 65%] +1.6% 12.94
102.5 [440] | 19.6 34.6 15% |510.1 525.1 85% | 9.5% [ 67%] +1.6% 13.24
102.0 [452] | 16.4 31.4 13% |557.0 572.0 87% | 9.7% [ 68%] +1.7% 13.54
101.5 [464] | 13.7 28.7 12% |604.2 619.2 88% | 9.9% [ 70%] +1.7% 13.83
101.0 [476] | 11.3 26.3 10% |651.9 666.9 90% | 10.1% [ 71%] +1.8% 14.10
100.0 [500] | 7.4 22.4 8% |748.0 763.0 92% | 10.5% [ 74%] +1.9% 14.62
99.0 [525] | 4.5 19.5 7% |845.0 860.0 93% | 10.8% [ 76%] +1.9% 15.12
EXPIRY: 16-FEB-2022 Fwd 107.02 / 334.6 Dv01 4.48
K [~Sprd] |FEB22>PAY Dlt |FEB22>RCV Dlt |MidVol [SprdVol] Chg b/e
110.0 [269] |296.2 311.2 94% | 0.0 13.2 6% | 4.3% [ 30%] +0.2% 5.76
109.5 [280] |256.0 271.0 88% | 8.0 23.0 12% | 4.8% [ 34%] +0.4% 6.57
109.0 [291] |221.4 236.4 80% | 23.4 38.4 20% | 5.3% [ 37%] +0.5% 7.26
108.5 [302] |191.9 206.9 73% | 43.9 58.9 27% | 5.7% [ 40%] +0.6% 7.87
108.0 [313] |166.9 181.9 66% | 68.8 83.8 34% | 6.1% [ 43%] +0.7% 8.42
107.5 [324] |145.6 160.6 59% | 97.5 112.5 41% | 6.5% [ 45%] +0.8% 8.92
107.0 [335] |127.4 142.4 53% |129.4 144.4 47% | 6.8% [ 48%] +0.8% 9.38
106.5 [346] |111.9 126.9 48% |163.8 178.8 52% | 7.1% [ 50%] +0.9% 9.82
106.0 [358] | 98.5 113.5 43% |200.4 215.4 57% | 7.4% [ 52%] +1.0% 10.22
105.5 [369] | 87.0 102.0 39% |238.9 253.9 61% | 7.7% [ 54%] +1.0% 10.60
105.0 [380] | 77.0 92.0 35% |278.9 293.9 65% | 7.9% [ 56%] +1.1% 10.97
104.5 [392] | 68.3 83.3 32% |320.2 335.2 68% | 8.2% [ 57%] +1.1% 11.31
104.0 [404] | 60.6 75.6 29% |362.6 377.6 71% | 8.4% [ 59%] +1.2% 11.63
103.5 [415] | 54.0 69.0 26% |405.9 420.9 74% | 8.6% [ 61%] +1.2% 11.95
103.0 [427] | 48.1 63.1 24% |450.0 465.0 76% | 8.8% [ 62%] +1.3% 12.24
102.5 [439] | 42.9 57.9 22% |494.8 509.8 78% | 9.0% [ 63%] +1.3% 12.53
102.0 [451] | 38.3 53.3 20% |540.2 555.2 80% | 9.2% [ 65%] +1.4% 12.80
101.5 [463] | 34.2 49.2 18% |586.1 601.1 82% | 9.4% [ 66%] +1.4% 13.07
101.0 [475] | 30.5 45.5 16% |632.4 647.4 84% | 9.6% [ 67%] +1.4% 13.33
100.5 [488] | 27.3 42.3 15% |679.1 694.1 85% | 9.7% [ 69%] +1.5% 13.57
100.0 [500] | 24.4 39.4 14% |726.2 741.2 86% | 9.9% [ 70%] +1.5% 13.81
99.0 [525] | 19.4 34.4 12% |821.2 836.2 88% | 10.2% [ 72%] +1.6% 14.27
98.0 [551] | 15.3 30.3 10% |917.1 932.1 90% | 10.5% [ 74%] +1.6% 14.70
EXPIRY: 16-MAR-2022 Fwd 106.63 / 341.1 Dv01 4.39
K [~Sprd] |MAR22>PAY Dlt |MAR22>RCV Dlt |MidVol [SprdVol] Chg b/e
110.0 [266] |336.9 351.9 93% | 0.3 15.3 7% | 4.4% [ 31%] -0.2% 5.87
109.5 [277] |297.5 312.5 88% | 10.9 25.9 12% | 4.9% [ 34%] +0.0% 6.64
109.0 [288] |263.1 278.1 81% | 26.5 41.5 19% | 5.3% [ 37%] +0.1% 7.29
108.5 [299] |233.2 248.2 75% | 46.6 61.6 25% | 5.7% [ 40%] +0.2% 7.85
108.0 [310] |207.4 222.4 69% | 70.8 85.8 31% | 6.1% [ 43%] +0.3% 8.37
107.5 [322] |185.1 200.1 63% | 98.4 113.4 37% | 6.4% [ 45%] +0.4% 8.83
107.0 [333] |165.6 180.6 58% |129.0 144.0 42% | 6.7% [ 47%] +0.5% 9.27
106.5 [344] |148.6 163.6 53% |162.0 177.0 47% | 7.0% [ 49%] +0.5% 9.67
106.0 [356] |133.8 148.8 48% |197.1 212.1 52% | 7.3% [ 51%] +0.6% 10.05
105.5 [367] |120.7 135.7 44% |234.0 249.0 56% | 7.5% [ 53%] +0.6% 10.41
105.0 [379] |109.2 124.2 41% |272.5 287.5 59% | 7.7% [ 54%] +0.7% 10.75
104.5 [390] | 98.9 113.9 37% |312.3 327.3 63% | 8.0% [ 56%] +0.7% 11.07
104.0 [402] | 89.9 104.9 34% |353.2 368.2 66% | 8.2% [ 58%] +0.8% 11.38
103.5 [414] | 81.8 96.8 32% |395.1 410.1 68% | 8.4% [ 59%] +0.8% 11.67
103.0 [426] | 74.5 89.5 29% |437.8 452.8 71% | 8.6% [ 60%] +0.9% 11.95
102.5 [438] | 68.0 83.0 27% |481.3 496.3 73% | 8.8% [ 62%] +0.9% 12.22
102.0 [450] | 62.2 77.2 25% |525.5 540.5 75% | 9.0% [ 63%] +0.9% 12.48
101.5 [463] | 56.9 71.9 23% |570.2 585.2 77% | 9.1% [ 64%] +1.0% 12.73
101.0 [475] | 52.1 67.1 22% |615.4 630.4 78% | 9.3% [ 65%] +1.0% 12.97
100.5 [487] | 47.8 62.8 20% |661.1 676.1 80% | 9.5% [ 66%] +1.0% 13.20
100.0 [500] | 43.8 58.8 19% |707.1 722.1 81% | 9.6% [ 68%] +1.0% 13.43
99.0 [525] | 37.0 52.0 16% |800.2 815.2 84% | 9.9% [ 70%] +1.1% 13.86
98.0 [551] | 31.3 46.3 14% |894.5 909.5 86% | 10.2% [ 72%] +1.1% 14.27
EXPIRY: 20-APR-2022 Fwd 106.15 / 349.5 Dv01 4.28
K [~Sprd] |APR22>PAY Dlt |APR22>RCV Dlt |MidVol [SprdVol] Chg b/e
110.0 [262] |385.5 405.5 93% | 0.9 20.9 7% | 4.7% [ 33%] -0.1% 6.13
109.5 [273] |346.4 366.4 88% | 11.7 31.7 12% | 5.1% [ 36%] +0.0% 6.78
109.0 [284] |311.5 331.5 83% | 26.8 46.8 17% | 5.4% [ 38%] +0.0% 7.33
108.5 [296] |280.6 300.6 77% | 45.9 65.9 23% | 5.8% [ 40%] +0.0% 7.82
108.0 [307] |253.3 273.3 72% | 68.6 88.6 28% | 6.1% [ 43%] +0.0% 8.26
107.5 [318] |229.2 249.2 67% | 94.4 114.4 33% | 6.3% [ 45%] +0.0% 8.67
107.0 [330] |207.8 227.8 62% |123.0 143.0 38% | 6.6% [ 46%] +0.1% 9.05
106.5 [341] |188.9 208.9 57% |154.1 174.1 42% | 6.9% [ 48%] +0.1% 9.40
106.0 [353] |172.0 192.0 53% |187.2 207.2 47% | 7.1% [ 50%] +0.1% 9.74
105.5 [365] |157.0 177.0 50% |222.2 242.2 50% | 7.3% [ 51%] +0.1% 10.05
105.0 [377] |143.6 163.6 46% |258.8 278.8 54% | 7.5% [ 53%] +0.1% 10.35
104.5 [389] |131.5 151.5 43% |296.7 316.7 57% | 7.7% [ 54%] +0.1% 10.64
104.0 [401] |120.7 140.7 40% |335.9 355.9 60% | 7.9% [ 56%] +0.1% 10.91
103.5 [413] |111.0 131.0 37% |376.1 396.1 63% | 8.1% [ 57%] +0.2% 11.17
103.0 [425] |102.2 122.2 35% |417.3 437.3 65% | 8.3% [ 58%] +0.2% 11.42
102.5 [437] | 94.2 114.2 32% |459.3 479.3 68% | 8.4% [ 59%] +0.2% 11.66
102.0 [449] | 86.9 106.9 30% |502.0 522.0 70% | 8.6% [ 60%] +0.2% 11.89
101.5 [462] | 80.3 100.3 28% |545.4 565.4 72% | 8.7% [ 62%] +0.2% 12.11
101.0 [475] | 74.3 94.3 27% |589.4 609.4 73% | 8.9% [ 63%] +0.2% 12.33
100.0 [500] | 63.7 83.7 23% |678.8 698.8 77% | 9.2% [ 65%] +0.2% 12.74
99.0 [526] | 54.8 74.8 21% |769.8 789.8 79% | 9.4% [ 66%] +0.2% 13.13
98.0 [552] | 47.2 67.2 18% |862.3 882.3 82% | 9.7% [ 68%] +0.2% 13.50
EXPIRY: 18-MAY-2022 Fwd 105.77 / 356.4 Dv01 4.2
K [~Sprd] |MAY22>PAY Dlt |MAY22>RCV Dlt |MidVol [SprdVol] Chg b/e
111.0 [236] |514.0 534.0 99% | 0.0 11.0 1% | 3.7% [ 26%] +0.0% 2.15
110.0 [259] |422.6 442.6 94% | 0.0 19.6 6% | 4.5% [ 32%] +0.0% 5.75
109.0 [281] |346.6 366.6 84% | 23.6 43.6 15% | 5.3% [ 37%] +0.0% 7.00
108.0 [304] |286.4 306.4 74% | 63.4 83.4 25% | 5.9% [ 41%] +0.0% 7.95
107.0 [327] |239.2 259.2 65% |116.1 136.1 35% | 6.4% [ 45%] +0.1% 8.75
106.0 [351] |201.8 221.8 57% |178.7 198.7 43% | 6.9% [ 49%] +0.1% 9.45
105.0 [375] |171.8 191.8 50% |248.7 268.7 50% | 7.4% [ 52%] +0.1% 10.08
104.0 [399] |147.5 167.5 44% |324.3 344.3 56% | 7.8% [ 55%] +0.1% 10.64
103.0 [424] |127.4 147.4 38% |404.2 424.2 61% | 8.1% [ 57%] +0.1% 11.16
102.0 [449] |110.8 130.8 34% |487.5 507.5 66% | 8.4% [ 59%] +0.2% 11.64
101.0 [474] | 96.8 116.8 30% |573.5 593.5 70% | 8.8% [ 62%] +0.2% 12.08
100.0 [500] | 84.9 104.9 27% |661.6 681.6 73% | 9.0% [ 64%] +0.2% 12.50
99.0 [526] | 74.8 94.8 24% |751.5 771.5 76% | 9.3% [ 66%] +0.2% 12.89
98.0 [553] | 66.1 86.1 22% |842.7 862.7 78% | 9.6% [ 67%] +0.2% 13.26
97.0 [580] | 58.6 78.6 20% |935.2 955.2 80% | 9.8% [ 69%] +0.2% 13.62
96.0 [608] | 52.0 72.0 18% |1028.6 1048.6 82% | 10.0% [ 71%] +0.2% 13.95
95.0 [636] | 46.3 66.3 16% |1122.8 1142.8 84% | 10.2% [ 72%] +0.2% 14.28
EXPIRY: 15-JUN-2022 Fwd 105.39 / 363.6 Dv01 4.11
K [~Sprd] |JUN22>PAY Dlt |JUN22>RCV Dlt |MidVol [SprdVol] Chg b/e
111.0 [233] |550.3 575.3 98% | 0.0 14.2 1% | 4.0% [ 28%] +0.0% 2.94
110.0 [255] |458.8 483.8 94% | 0.0 22.6 6% | 4.6% [ 32%] +0.0% 5.72
109.0 [278] |380.9 405.9 86% | 19.7 44.7 14% | 5.2% [ 37%] +0.0% 6.89
108.0 [301] |318.4 343.4 77% | 57.2 82.2 23% | 5.8% [ 41%] +0.0% 7.80
107.0 [325] |268.9 293.9 68% |107.6 132.6 32% | 6.3% [ 45%] +0.0% 8.59
106.0 [349] |229.5 254.5 60% |168.1 193.1 40% | 6.8% [ 48%] +0.0% 9.28
105.0 [373] |197.7 222.7 53% |236.3 261.3 47% | 7.2% [ 51%] +0.0% 9.90
104.0 [398] |171.6 196.6 47% |310.2 335.2 53% | 7.6% [ 54%] +0.0% 10.47
103.0 [423] |150.1 175.1 42% |388.6 413.6 58% | 8.0% [ 56%] +0.0% 10.99
102.0 [448] |132.1 157.1 37% |470.5 495.5 62% | 8.3% [ 59%] +0.0% 11.47
101.0 [474] |116.8 141.8 34% |555.2 580.2 66% | 8.6% [ 61%] +0.0% 11.91
100.0 [500] |103.7 128.7 30% |642.1 667.1 69% | 8.9% [ 63%] +0.0% 12.33
99.0 [527] | 92.5 117.5 28% |730.8 755.8 72% | 9.2% [ 65%] +0.0% 12.72
98.0 [554] | 82.7 107.7 25% |821.0 846.0 75% | 9.4% [ 66%] +0.0% 13.10
97.0 [581] | 74.2 99.2 23% |912.5 937.5 77% | 9.7% [ 68%] +0.0% 13.45
96.0 [609] | 66.7 91.7 21% |1004.9 1029.9 79% | 9.9% [ 70%] +0.0% 13.79
95.0 [638] | 60.1 85.1 19% |1098.3 1123.3 81% | 10.1% [ 71%] +0.0% 14.11