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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 DEC 11
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USF USH TYF TYH FVF TUH EDZ EDF
12:00 7.80% 7.44% 3.73% 3.57% 2.32% 2.18% N/A 12.80%
10:45 7.96% 7.50% 3.85% 3.50% 2.37% 2.20% N/A 12.95%
9:15 8.09% 7.56% 3.84% 3.53% 2.37% 2.20% N/A 12.90%
MON OPEN 8.26% 7.61% 3.95% 3.57% 2.35% 2.21% 12.51% 13.09%
FRI 3:00 7.39% 7.44% 3.55% 3.52% 2.17% 2.14% 12.30% 12.56%
FRI OPEN 7.77% 7.51% 3.90% 3.63% 2.39% 2.24% 13.78% 13.25%
THU 3:00 7.45% 7.49% 3.74% 3.58% 2.33% 2.24% 14.25% N/A
THU OPEN 7.47% 7.38% 3.77% 3.61% 2.30% 2.23% 13.50% 13.50%
WED 3:00 7.53% 7.40% 3.75% 3.63% 2.31% 2.26% 13.70% 13.47%
WED OPEN 7.81% 7.38% 3.95% 3.66% 2.37% 2.26% 15.03% 12.65%
TUE 3:00 7.85% 7.39% 3.94% 3.66% 2.38% 2.22% 14.63% 12.44%
TUE OPEN 7.88% 7.42% 3.84% 3.64% 2.33% 2.20% 15.98% 12.50%
MON 3:00 7.88% 7.42% 3.91% 3.68% 2.43% 2.26% 15.96% 12.07%
MON OPEN 8.15% 7.56% 3.94% 3.68% 2.43% 2.23% 17.56% 12.58%
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
JAN18 10Y NOTE 125.00 C 90,897 -420 124.00 P 155,832 +660
MAR18 10Y NOTE 127.00 C 25,963 +196 114.00 P 109,562 +103
JAN18 5Y NOTE 117.00 C 32,963 +194 116.00 P 28,337 -46
MAR18 5Y NOTE 117.25 C 11,944 UNCH 108.50 P 140,106 UNCH
JAN18 2Y NOTE 107.50 C 8,970 UNCH 107.00 P 2,320 UNCH
MAR18 2Y NOTE 107.38 C 20,276 +276 107.00 P 51,444 +13
DEC17 EURODLR 98.75 C 743,367 UNCH 98.37 P 985,095 -77,235
JAN18 EURODLR 98.62 C 245,189 UNCH 98.25 P 268,189 +200
DEC18 1Y-MIDC 98.50 C 276,378 UNCH 98.00 P 539,908 -20,000
DEC19 2Y-MIDC 98.25 C 148,204 UNCH 97.75 P 220,107 -5,082
DEC20 3Y-MIDC 97.87 C 75,541 -286 97.75 P 122,250 -2,415
NEAREST ATM: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
JAN18 10Y NOTE 124.50 C 48,748 +1,524 124.50 P 53,287 +2,040
JAN18 10Y NOTE 125.00 C 90,897 -420 125.00 P 29,285 +22
MAR18 10Y NOTE 124.50 C 23,711 +3,485 124.50 P 29,175 +1,399
MAR18 10Y NOTE 125.00 C 25,775 -5 125.00 P 20,232 +249
JAN18 5Y NOTE 116.75 C 19,749 +192 116.75 P 6,623 UNCH
JAN18 5Y NOTE 117.00 C 32,963 +194 117.00 P 8,297 UNCH
MAR18 5Y NOTE 116.75 C 2,704 +4 116.75 P 4,510 UNCH
MAR18 5Y NOTE 117.00 C 4,348 UNCH 117.00 P 3,255 UNCH
JAN18 2Y NOTE 107.00 C 0 UNCH 107.00 P 2,320 UNCH
JAN18 2Y NOTE 107.12 C 563 UNCH 107.12 P 1,965 UNCH
MAR18 2Y NOTE 107.00 C 0 UNCH 107.00 P 51,444 +13
MAR18 2Y NOTE 107.12 C 443 UNCH 107.12 P 10,649 UNCH
DEC17 EURODLR 98.50 C 464,064 UNCH 98.50 P 494,091 -6,082
DEC17 EURODLR 98.62 C 741,638 UNCH 98.62 P 210,686 UNCH
JAN18 EURODLR 98.50 C 158,212 -880 98.50 P 18,353 UNCH
JAN18 EURODLR 98.62 C 245,189 UNCH 98.62 P 0 UNCH
DEC18 1Y-MIDC 98.12 C 253,581 UNCH 98.12 P 280,286 UNCH
DEC18 1Y-MIDC 98.25 C 259,813 UNCH 98.25 P 169,870 +240
DEC19 2Y-MIDC 97.87 C 121,507 -51 97.88 P 122,798 -3,500
DEC19 2Y-MIDC 98.00 C 143,134 UNCH 98.00 P 182,379 -4,500
DEC20 3Y-MIDC 97.75 C 75,400 -3,474 97.75 P 122,250 -2,415
DEC20 3Y-MIDC 97.87 C 75,541 -286 97.87 P 76,765 -2,600
PUT/CALL RATIO FOR VOLUME CLEARED:
JAN18 10Y NOTE PUT/CALL RATIO -- 1.80 (76,130 PUTS VS. 42,135 CALLS)
MAR18 10Y NOTE PUT/CALL RATIO -- 1.14 (29,372 PUTS VS. 25,705 CALLS)
JAN18 5Y NOTE PUT/CALL RATIO -- 0.43 (8,364 PUTS VS. 19,193 CALLS)
MAR18 5Y NOTE PUT/CALL RATIO -- 0.80 (1,622 PUTS VS. 2,030 CALLS)
JAN18 2Y NOTE PUT/CALL RATIO -- 0.00 (0 PUTS VS. 4,104 CALLS)
MAR18 2Y NOTE PUT/CALL RATIO -- 0.00 (21 PUTS VS. 28,898 CALLS)
DEC17 EURODLRS PUT/CALL RATIO -- 21.2 (157,380 PUTS VS. 7,384 CALLS)
JAN18 EURODLRS PUT/CALL RATIO -- 3.28 (17,463 PUTS VS. 5,300 CALLS)
DEC18 1Y-MIDCRVE PUT/CALL RATIO -- 2.58 (51,489 PUTS VS. 19,913 CALLS)
DEC19 2Y-MIDCRVE PUT/CALL RATIO -- 9.72 (35,059 PUTS VS. 3,659 CALLS)
DEC20 3Y-MIDCRVE PUT/CALL RATIO -- 1.61 (12,309 PUTS VS. 7,650 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
12:00 38.04 51.18 49.89 53.84 65.83 71.79
10:45 38.04 51.18 50.44 54.55 65.83 71.79
9:15 38.04 51.18 50.44 54.55 65.83 71.79
Mon Open 38.04 50.85 50.28 54.39 65.81 71.79
Fri 3:00 38.08 50.27 50.47 54.57 65.87 71.70
Fri Open 39.05 52.35 51.21 55.40 66.14 72.06
Thu 3:00 38.77 52.21 50.97 55.11 66.12 72.03
Thu Open 38.98 52.87 51.03 55.17 66.42 72.45
Wed 3:00 38.89 53.37 51.14 55.48 66.91 72.56
Wed Open 38.98 53.62 51.16 55.45 67.16 72.90
Tue 3:00 38.94 54.26 51.18 55.50 67.40 73.24
Tue Open 38.71 54.57 51.17 55.53 67.99 73.83
Mon 3:00 38.25 53.90 51.10 55.76 67.62 73.76
Mon Open 38.42 54.44 51.74 56.26 68.34 73.59
--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.