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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 AUG 25
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USU USV TYU TYV FVU FVV EDU EDV
FRI OPEN N/A 7.54% N/A 3.88% N/A 2.34% 10.91% 16.70%
THU 3:00 N/A 7.63% N/A 3.85% N/A 2.38% 11.22% 16.66%
THU OPEN N/A 7.69% N/A 3.99% N/A 2.37% 10.25% 16.64%
WED 3:00 9.76% 7.63% 5.48% 3.88% 3.15% 2.33% 11.79% 16.48%
WED OPEN 9.07% 7.38% 4.76% 3.87% 2.84% 2.30% 11.38% 16.47%
TUE 3:00 8.94% 7.44% 4.39% 3.89% 2.72% 2.26% 11.16% 16.10%
TUE OPEN 8.64% 7.55% 4.53% 3.95% 2.54% 2.32% 12.69% 16.32%
FRI 3:00 6.97% 7.62% 3.44% 3.94% 2.01% 2.27% 10.70% 15.74%
FRI OPEN 7.30% 7.79% 3.60% 3.79% 2.00% 2.27% 11.83% 15.30%
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
SEP17 10Y NOTE 128.00 C 126,923 -1 111.00 P 165,472 UNCH
OCT17 10Y NOTE 127.50 C 61,011 +5,146 125.00 P 55,818 +2,012
SEP17 5Y NOTE 118.25 C 35,104 -858 109.25 P 252,442 UNCH
OCT17 5Y NOTE 119.00 C 25,337 +10,275 115.25 P 26,311 +23,155
SEP17 EURODLR 98.75 C 334,800 -3,139 98.37 P 746,921 UNCH
OCT17 EURODLR 98.62 C 128,650 UNCH 98.50 P 154,087 +600
SEP18 1Y-MIDC 98.37 C 119,585 -3,475 98.12 P 214,383 +375
SEP19 2Y-MIDC 98.75 C 133,187 UNCH 97.12 P 192,279 UNCH
SEP20 3Y-MIDC 98.00 C 43,162 -1,000 97.62 P 55,197 +800
NEAREST ATM: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
SEP17 10Y NOTE 126.00 C 63,540 -12 126.00 P 51,406 -3,541
SEP17 10Y NOTE 126.50 C 65,865 -1,296 126.50 P 48,819 +3,734
OCT17 10Y NOTE 126.00 C 19,102 +63 126.00 P 29,622 +7,298
OCT17 10Y NOTE 126.50 C 39,928 +2,456 126.50 P 27,099 +2,508
SEP17 5Y NOTE 118.25 C 35,104 -858 118.25 P 19,121 -1,055
SEP17 5Y NOTE 118.50 C 20,235 -2,030 118.50 P 25,995 +4,143
OCT17 5Y NOTE 118.25 C 8,721 -1,180 118.25 P 9,194 -842
OCT17 5Y NOTE 118.50 C 12,940 +13 118.50 P 3,438 UNCH
SEP17 EURODLR 98.62 C 255,245 -2,000 98.62 P 231,656 +1,691
SEP17 EURODLR 98.75 C 334,800 -3,139 98.75 P 107,187 UNCH
OCT17 EURODLR 98.50 C 36,742 -3 98.50 P 154,087 +600
OCT17 EURODLR 98.62 C 128,650 UNCH 98.62 P 30,274 UNCH
SEP18 1Y-MIDC 98.37 C 119,585 -3,475 98.37 P 63,731 -6,164
SEP18 1Y-MIDC 98.50 C 110,896 -2,450 98.50 P 11,802 UNCH
SEP19 2Y-MIDC 98.00 C 64,998 UNCH 98.00 P 100,839 +2,708
SEP19 2Y-MIDC 98.12 C 125,473 UNCH 98.12 P 80,411 +4,630
SEP20 3Y-MIDC 97.75 C 27,133 UNCH 97.75 P 45,657 +7,700
SEP20 3Y-MIDC 97.87 C 22,685 UNCH 97.87 P 25,496 UNCH
PUT/CALL RATIO FOR VOLUME CLEARED:
SEP17 10Y NOTE PUT/CALL RATIO -- 0.93 (95,509 PUTS VS. 101,824 CALLS)
OCT17 10Y NOTE PUT/CALL RATIO -- 0.85 (86,504 PUTS VS. 100,809 CALLS)
SEP17 5Y NOTE PUT/CALL RATIO -- 1.51 (26,978 PUTS VS. 17,697 CALLS)
OCT17 5Y NOTE PUT/CALL RATIO -- 0.83 (31,034 PUTS VS. 37,033 CALLS)
SEP17 EURODLRS PUT/CALL RATIO -- 0.59 (26,400 PUTS VS. 44,678 CALLS)
OCT17 EURODLRS PUT/CALL RATIO -- 0.08 (1,003 PUTS VS. 11,331 CALLS)
SEP18 1Y-MIDCRVE PUT/CALL RATIO -- 1.03 (12,500 PUTS VS. 12,150 CALLS)
SEP19 2Y-MIDCRVE PUT/CALL RATIO -- 1.23 (6,800 PUTS VS. 5,500 CALLS)
SEP20 3Y-MIDCRVE PUT/CALL RATIO -- 2.21 (23,300 PUTS VS. 10,550 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 39.88 59.51 57.57 63.97 74.63 79.37
Thu 3:00 39.87 60.08 57.90 64.36 74.63 79.32
Thu Open 39.79 59.46 57.26 63.65 74.44 79.23
Wed 3:00 39.39 58.03 56.01 62.49 74.27 79.22
Wed Open 39.03 57.93 55.76 62.08 73.93 78.77
Tue 3:00 39.11 60.45 55.86 62.23 73.93 79.22
Tue Open 39.06 61.52 55.72 62.00 73.90 79.22
Fri 3:00 38.53 57.55 54.92 61.24 73.83 79.18
Fri Open 38.85 56.17 55.22 61.42 73.95 79.18
--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.