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Free AccessMNI BRIEF: PBOC Increases Gold Reserves
MNI BRIEF: Japan Q3 GDP Revised Up On Net Exports, Capex
MNI ASIA OPEN: Nov Job Gains, Fed Blackout, CPI/PPI Ahead
MNI UST Issuance Deep Dive: Dec 2024
US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR AUG 31
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USV USZ TYV TYZ FVV TUZ EDU EDV
9:15 7.00% 7.84% 3.68% 4.04% 2.14% 2.38% 13.50% 16.45%
THU OPEN 6.92% 7.82% 3.62% 4.07% 2.14% 2.42% 12.80% 15.44%
WED 3:00 7.16% 7.88% 3.76% 4.05% 2.23% 2.45% 13.33% 15.85%
WED OPEN 7.27% 7.88% 3.73% 4.44% 2.20% 2.37% 13.50% 18.15%
TUE 3:00 7.35% 7.94% 3.69% 4.66% 2.19% 2.33% 12.75% 16.72%
TUE OPEN 7.82% 8.25% 3.94% 4.17% 2.31% 2.47% 12.90% 16.50%
MON 3:00 6.94% 7.92% 3.49% 4.00% 2.07% 2.36% 11.06% 16.89%
MON OPEN 7.21% 7.95% 3.64% 4.04% 2.20% 2.38% 10.07% 15.79%
FRI 3:00 7.22% N/A 3.68% N/A 2.21% N/A 10.15% 16.10%
FRI OPEN 7.54% N/A 3.88% N/A 2.34% N/A 10.91% 16.70%
THU 3:00 7.63% N/A 3.85% N/A 2.38% N/A 11.22% 16.66%
THU OPEN 7.69% N/A 3.99% N/A 2.37% N/A 10.25% 16.64%
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
OCT17 10Y NOTE 127.50 C 101,457 +6,604 125.00 P 64,691 -238
DEC17 10Y NOTE 129.00 C 89,309 -116 114.00 P 95,075 +891
OCT17 5Y NOTE 119.00 C 24,506 -2,582 116.00 P 26,464 +1,403
DEC17 5Y NOTE 118.25 C 8,655 UNCH 112.25 P 101,550 UNCH
SEP17 EURODLR 98.75 C 335,945 UNCH 98.37 P 746,921 UNCH
OCT17 EURODLR 98.62 C 129,154 UNCH 98.50 P 159,552 +1,900
SEP18 1Y-MIDC 98.37 C 111,401 +2,051 98.12 P 211,037 +1,028
SEP19 2Y-MIDC 98.75 C 136,631 UNCH 97.12 P 192,279 UNCH
SEP20 3Y-MIDC 98.00 C 43,811 -351 97.62 P 56,403 UNCH
NEAREST ATM: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
OCT17 10Y NOTE 126.00 C 19,916 +322 126.00 P 50,175 +847
OCT17 10Y NOTE 126.50 C 42,327 +1,206 126.50 P 28,541 -465
DEC17 10Y NOTE 126.00 C 15,793 -6 126.00 P 36,405 +127
DEC17 10Y NOTE 126.50 C 12,236 +40 126.50 P 10,399 +223
OCT17 5Y NOTE 118.25 C 10,464 UNCH 118.25 P 10,552 +35
OCT17 5Y NOTE 118.50 C 13,914 -325 118.50 P 6,044 +25
DEC17 5Y NOTE 118.25 C 8,655 UNCH 118.25 P 15,371 +1,322
DEC17 5Y NOTE 118.50 C 4,402 +150 118.50 P 1,383 +379
SEP17 EURODLR 98.62 C 255,245 UNCH 98.62 P 226,865 UNCH
SEP17 EURODLR 98.75 C 335,945 UNCH 98.75 P 107,387 UNCH
OCT17 EURODLR 98.50 C 36,742 UNCH 98.50 P 159,552 +1,900
OCT17 EURODLR 98.62 C 129,154 UNCH 98.62 P 30,213 UNCH
SEP18 1Y-MIDC 98.37 C 111,401 +2,051 98.37 P 85,202 +17,295
SEP18 1Y-MIDC 98.50 C 94,109 -12,901 98.50 P 15,438 UNCH
SEP19 2Y-MIDC 98.00 C 62,838 UNCH 98.00 P 109,186 +644
SEP19 2Y-MIDC 98.12 C 120,509 UNCH 98.12 P 84,850 +7,401
SEP20 3Y-MIDC 97.75 C 27,133 UNCH 97.75 P 39,159 UNCH
SEP20 3Y-MIDC 97.87 C 22,685 UNCH 97.87 P 29,440 -1,225
PUT/CALL RATIO FOR VOLUME CLEARED:
OCT17 10Y NOTE PUT/CALL RATIO -- 0.70 (56,019 PUTS VS. 79,063 CALLS)
DEC17 10Y NOTE PUT/CALL RATIO -- 0.97 (26,378 PUTS VS. 27,253 CALLS)
OCT17 5Y NOTE PUT/CALL RATIO -- 0.54 (8,211 PUTS VS. 15,059 CALLS)
DEC17 5Y NOTE PUT/CALL RATIO -- 2.47 (15,623 PUTS VS. 6,354 CALLS)
SEP17 EURODLRS PUT/CALL RATIO -- 0.00 (1,166 PUTS VS. 0 CALLS)
OCT17 EURODLRS PUT/CALL RATIO -- 0.00 (2,000 PUTS VS. 0 CALLS)
SEP18 1Y-MIDCRVE PUT/CALL RATIO -- 1.77 (28,180 PUTS VS. 15,808 CALLS)
SEP19 2Y-MIDCRVE PUT/CALL RATIO -- 7.10 (41,900 PUTS VS. 5,958 CALLS)
SEP20 3Y-MIDCRVE PUT/CALL RATIO -- 6.09 (6,700 PUTS VS. 1,150 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
9:15 39.10 59.90 56.79 63.36 74.53 79.35
Thu Open 38.99 59.96 56.81 63.37 74.49 79.05
Wed 3:00 39.06 60.03 56.69 63.30 74.52 79.00
Wed Open 39.05 60.90 56.54 63.33 73.70 78.56
Tue 3:00 39.02 60.69 56.45 63.19 74.42 79.21
Tue Open 38.96 58.74 56.09 62.70 74.25 79.18
Mon 3:00 38.71 56.67 55.38 61.90 74.18 79.20
Mon Open 38.94 56.04 56.05 62.34 74.11 79.21
Fri 3:00 38.99 56.43 56.40 62.62 74.18 79.21
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
--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.