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Free AccessMNI UST Issuance Deep Dive: Dec 2024
MNI US Employment Insight: Soft Enough To Keep Fed Cutting
MNI ASIA MARKETS ANALYSIS: Jobs Data Green Lights Rate Cuts
US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR APR 10
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USK USM TYK TYM FVK TUM EDJ EDM
9:30 7.33% 6.94% 3.61% 3.54% 2.23% 2.24% N/A 15.75%
TUE OPEN 7.21% 6.95% 3.77% 3.61% 2.30% 2.27% N/A 16.51%
MON 3:00 7.21% 6.98% 3.70% 3.56% 2.24% 2.25% N/A 13.73%
MON OPEN 7.51% 7.17% 3.73% 3.59% 2.48% 2.31% 20.30% 14.62%
FRI 3:00 7.21% 7.25% 3.68% 3.62% 2.34% 2.28% 14.90% 14.05%
FRI OPEN 7.11% 7.23% 3.73% 3.75% 2.44% 2.41% 17.75% 15.00%
THU 3:00 6.94% 7.18% 3.60% 3.70% 2.33% 2.36% 20.85% 17.75%
THU OPEN 7.11% 7.44% 3.68% 3.76% 2.32% 2.48% 18.41% 17.46%
WED 3:00 7.11% 7.40% 3.63% 3.76% 2.41% 2.39% 17.23% 15.05%
WED OPEN 7.48% 7.65% 3.82% 3.85% 2.62% 2.49% 21.00% 16.23%
TUE 3:00 7.31% 7.56% 3.75% 3.87% 2.56% 2.46% 19.50% 16.25%
TUE OPEN 7.51% 7.68% 3.79% 3.90% 2.63% 2.49% 21.04% 16.67%
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
MAY18 10Y NOTE 122.00 C 91,692 +5,697 120.50 P 80,143 +2,715
JUN18 10Y NOTE 122.00 C 107,050 +4,746 108.50 P 111,464 UNCH
MAY18 5Y NOTE 114.50 C 86,823 UNCH 111.00 P 45,740 UNCH
JUN18 5Y NOTE 114.75 C 35,508 +4,774 105.50 P 156,003 UNCH
MAY18 2Y NOTE 106.75 C 85,723 UNCH 106.00 P 14,285 +48
JUN18 2Y NOTE 106.75 C 10,433 +1,002 106.12 P 30,222 +200
APR18 EURODLR 98.00 C 236,789 UNCH 98.00 P 239,900 UNCH
JUN18 EURODLR 98.12 C 388,372 +1 97.50 P 574,363 +49,199
JUN19 1Y-MIDC 97.50 C 233,932 +1,450 97.12 P 557,798 UNCH
JUN20 2Y-MIDC 97.87 C 134,303 UNCH 96.75 P 191,538 +350
JUN21 3Y-MIDC 98.00 C 116,986 UNCH 97.25 P 149,483 UNCH
NEAREST ATM: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
MAY18 10Y NOTE 120.50 C 49,821 +43 120.50 P 80,143 +2,715
MAY18 10Y NOTE 121.00 C 79,808 +338 121.00 P 26,623 +402
JUN18 10Y NOTE 120.50 C 27,119 +127 120.50 P 39,792 +1,155
JUN18 10Y NOTE 121.00 C 40,086 -607 121.00 P 30,404 +408
MAY18 5Y NOTE 114.25 C 19,293 +50 114.25 P 24,332 +1,982
MAY18 5Y NOTE 114.50 C 86,823 UNCH 114.50 P 16,836 +1
JUN18 5Y NOTE 114.25 C 12,634 +457 114.25 P 15,482 +1,213
JUN18 5Y NOTE 114.50 C 11,170 +1,725 114.50 P 21,380 UNCH
MAY18 2Y NOTE 106.38 C 2,960 -5 106.38 P 681 UNCH
MAY18 2Y NOTE 106.50 C 10,061 UNCH 106.50 P 31 UNCH
JUN18 2Y NOTE 106.38 C 8,160 +500 106.38 P 30,000 UNCH
JUN18 2Y NOTE 106.50 C 881 UNCH 106.50 P 1,300 -500
APR18 EURODLR 97.75 C 118,287 -72 97.75 P 129,715 UNCH
APR18 EURODLR 97.87 C 213,367 -481 97.87 P 237,920 -7,371
JUN18 EURODLR 97.75 C 251,384 +24,597 97.75 P 447,170 -7,901
JUN18 EURODLR 97.89 C 375,571 +6,883 97.87 P 374,590 UNCH
JUN19 1Y-MIDC 97.37 C 108,161 +550 97.37 P 339,316 -28
JUN19 1Y-MIDC 97.50 C 233,932 +1,450 97.50 P 119,585 UNCH
JUN20 2Y-MIDC 97.00 C 23,993 UNCH 97.00 P 109,304 +250
JUN20 2Y-MIDC 97.12 C 54,697 UNCH 97.12 P 106,227 +3,950
JUN21 3Y-MIDC 96.87 C 450 UNCH 96.87 P 44,125 UNCH
JUN21 3Y-MIDC 97.00 C 26,914 UNCH 97.00 P 68,805 UNCH
PUT/CALL RATIO FOR VOLUME CLEARED:
MAY18 10Y NOTE PUT/CALL RATIO -- 0.80 (43,962 PUTS VS. 54,243 CALLS)
JUN18 10Y NOTE PUT/CALL RATIO -- 0.76 (36,272 PUTS VS. 47,470 CALLS)
MAY18 5Y NOTE PUT/CALL RATIO -- 1.58 (16,233 PUTS VS. 10,257 CALLS)
JUN18 5Y NOTE PUT/CALL RATIO -- 0.38 (12,317 PUTS VS. 31,836 CALLS)
APR18 2Y NOTE PUT/CALL RATIO -- 0.03 (255 PUTS VS. 6,859 CALLS)
JUN18 2Y NOTE PUT/CALL RATIO -- 0.10 (403 PUTS VS. 3,834 CALLS)
APR18 EURODLRS PUT/CALL RATIO -- 3.56 (10,700 PUTS VS. 3,000 CALLS)
JUN18 EURODLRS PUT/CALL RATIO -- 0.96 (176,343 PUTS VS. 181,964 CALLS)
JUN19 1Y-MIDCRVE PUT/CALL RATIO -- 5.71 (25,700 PUTS VS. 4,550 CALLS)
JUN20 2Y-MIDCRVE PUT/CALL RATIO -- 1.46 (11,300 PUTS VS. 7,769 CALLS)
JUN21 3Y-MIDCRVE PUT/CALL RATIO -- 1.85 (6,550 PUTS VS. 3,500 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
9:30 50.43 58.75 59.52 61.08 70.16 74.26
Tue Open 51.55 59.07 60.02 61.65 70.31 74.32
Mon 3:00 52.59 60.29 61.59 62.91 70.74 74.59
Mon Open 52.75 60.70 61.78 63.02 70.83 74.66
Fri 3:00 51.93 59.06 60.45 61.82 70.30 74.16
Fri Open 51.77 59.38 60.35 61.72 70.53 74.44
Thu 3:00 51.74 59.09 60.37 61.75 70.62 74.47
Thu Open 52.16 60.69 61.23 62.77 70.84 74.57
Wed 3:00 52.29 61.60 61.52 63.15 71.05 74.74
Wed Open 52.45 63.15 62.55 64.28 71.20 74.80
Tue 3:00 52.46 62.97 63.02 64.78 71.34 74.98
Tue Open 52.84 63.81 63.58 65.34 71.50 75.03
--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.