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Free AccessMNI: PBOC Net Injects CNY37.3 Bln via OMO Wednesday
MNI ASIA MARKETS OPEN: Tsy Curves Reverse Course Ahead Wed CPI
US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR AUG 30
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USV USZ TYV TYZ FVV FVZ EDU EDV
THU 1500 10.48% 9.76% 5.13% 4.91% 3.40% 3.22% 21.10% 40.10%
THU OPEN 10.56% 9.81% 5.12% 4.95% 3.37% 3.20% 22.25% 43.40%
WED 1500 11.22% 10.03% 5.30% 4.98% 3.51% 3.24% 23.39% 43.90%
WED OPEN 11.57% 10.09% 5.53% 5.06% 3.66% 3.29% 24.70% 44.95%
TUE 1500 10.80% 9.74% 5.29% 4.93% 3.57% 3.26% 24.25% 43.40%
TUE OPEN 10.63% 9.65% 5.34% 4.93% 3.62% 3.27% 24.50% 43.17%
MON 1500 10.68% 9.63% 5.30% 4.93% 3.65% 3.27% 24.90% 49.65%
MON OPEN 9.88% 9.77% 5.49% 5.00% 3.65% 3.27% 24.77% 50.45%
FRI 1500 9.88% N/A 4.91% N/A 3.20% N/A 22.42% 48.33%
FRI OPEN 10.39% N/A 5.24% N/A 3.40% N/A 18.65% 43.01%
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
OCT19 10Y NOTE 132.00 C 95,851 -447 129.00 P 115,565 +48
DEC19 10Y NOTE 134.00 C 40,346 -13 116.00 P 50,915 UNCH
OCT19 5Y NOTE 121.00 C 27,223 -534 119.00 P 102,905 -842
DEC19 5Y NOTE 120.50 C 20,900 UNCH 109.00 P 48,252 UNCH
OCT19 2Y NOTE 108.50 C 3,285 UNCH 107.50 P 31,668 UNCH
DEC19 2Y NOTE 111.37 C 5,753 UNCH 105.75 P 5,400 UNCH
SEP19 EURODLR 98.25 C 557,161 UNCH 98.00 P 137,422 +9,061
OCT19 EURODLR 98.50 C 568,520 +9,250 97.87 P 160,659 +200
SEP20 1Y-MIDC 98.12 C 139,910 UNCH 98.25 P 209,006 -8,000
SEP21 2Y-MIDC 98.12 C 96,698 UNCH 97.12 P 74,826 UNCH
SEP22 3Y-MIDC 98.00 C 125,432 UNCH 98.00 P 57,767 UNCH
NEAREST ATM: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
OCT19 10Y NOTE 131.50 C 56,842 -48 131.50 P 37,240 +1,543
OCT19 10Y NOTE 132.00 C 95,851 -447 132.00 P 14,374 +890
DEC19 10Y NOTE 131.50 C 18,278 +284 131.50 P 11,105 +1,086
DEC19 10Y NOTE 132.00 C 23,066 +113 132.00 P 9,614 -243
OCT19 5Y NOTE 119.75 C 16,484 +34 119.75 P 12,747 +381
OCT19 5Y NOTE 120.00 C 22,079 -2,127 120.00 P 8,811 -192
DEC19 5Y NOTE 119.75 C 15,855 +285 119.75 P 15,658 +90
DEC19 5Y NOTE 120.00 C 11,752 +234 120.00 P 6,406 +642
OCT19 2Y NOTE 108.00 C 1,756 UNCH 108.00 P 2,243 +5
OCT19 2Y NOTE 108.12 C 1,028 UNCH 108.12 P 605 UNCH
DEC19 2Y NOTE 108.00 C 1,611 -1 108.00 P 594 UNCH
DEC19 2Y NOTE 108.12 C 855 UNCH 108.12 P 577 UNCH
SEP19 EURODLR 98.00 C 366,216 -290 98.00 P 212,058 -251
SEP19 EURODLR 98.12 C 337,372 -5,315 98.12 P 20,255 UNCH
OCT19 EURODLR 98.00 C 110,092 +2,250 98.00 P 137,422 +9,061
OCT19 EURODLR 98.12 C 44,416 -1,968 98.12 P 59,193 +300
SEP20 1Y-MIDC 98.50 C 82,125 -2,332 98.50 P 162,366 +3
SEP20 1Y-MIDC 98.62 C 91,215 +556 98.62 P 49,660 +1,874
SEP21 2Y-MIDC 98.62 C 22,946 -243 98.62 P 26,851 UNCH
SEP21 2Y-MIDC 98.75 C 31,249 -610 98.75 P 17,100 UNCH
SEP22 3Y-MIDC 98.50 C 47,927 UNCH 98.50 P 21,010 UNCH
SEP22 3Y-MIDC 98.62 C 11,400 +18 98.62 P 15,511 UNCH
PUT/CALL RATIO FOR VOLUME CLEARED:
OCT19 10Y NOTE PUT/CALL RATIO -- 0.62 (91,353 PUTS VS. 145,981 CALLS)
DEC19 10Y NOTE PUT/CALL RATIO -- 2.25 (26,141 PUTS VS. 11,679 CALLS)
OCT19 5Y NOTE PUT/CALL RATIO -- 1.41 (31,058 PUTS VS. 22,458 CALLS)
DEC19 5Y NOTE PUT/CALL RATIO -- 5.12 (4,549 PUTS VS. 3,277 CALLS)
OCT19 2Y NOTE PUT/CALL RATIO -- 672.0 (2,018 PUTS VS. 3 CALLS)
DEC19 2Y NOTE PUT/CALL RATIO -- 4.46 (174 PUTS VS. 39 CALLS)
AUG19 EURODLRS PUT/CALL RATIO -- 0.22 (17,531 PUTS VS. 78,524 CALLS)
SEP19 EURODLRS PUT/CALL RATIO -- 0.60 (90,714 PUTS VS. 149,148 CALLS)
JUN20 1Y-MIDCRVE PUT/CALL RATIO -- 0.84 (17,369 PUTS VS. 20,478 CALLS)
JUN21 2Y-MIDCRVE PUT/CALL RATIO -- 0.01 (250 PUTS VS. 16,550 CALLS)
JUN22 3Y-MIDCRVE PUT/CALL RATIO -- 0.00 (0 PUTS VS. 0 CALLS)
(VOLUME, OPEN INTEREST, RATIOS 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
Thu 1500 82.83 86.48 82.26 80.23 69.38 66.73
Thu Open 84.43 88.75 83.22 81.64 69.92 67.39
Wed 1500 83.90 88.46 82.67 81.03 69.66 66.86
Wed Open 83.63 87.64 82.45 80.12 68.92 66.59
Tue 1500 84.05 90.32 82.72 80.38 68.46 66.30
Tue Open 84.04 89.08 81.93 79.62 67.41 65.91
Mon 1500 83.19 89.27 81.89 79.67 67.98 66.45
Mon Open 82.88 87.27 81.55 78.97 67.77 66.28
Fri 1500 82.43 86.79 81.16 78.59 67.76 66.27
Fri Open 76.57 81.18 75.21 73.35 65.95 65.32
Fri Open 77.46 83.10 76.90 74.38 65.78 65.70
--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.