-
Policy
Policy
Exclusive interviews with leading policymakers that convey the true policy message that impacts markets.
LATEST FROM POLICY: -
EM Policy
EM Policy
Exclusive interviews with leading policymakers that convey the true policy message that impacts markets.
LATEST FROM EM POLICY: -
G10 Markets
G10 Markets
Real-time insight on key fixed income and fx markets.
Launch MNI PodcastsFixed IncomeFI Markets AnalysisCentral Bank PreviewsFI PiFixed Income Technical AnalysisUS$ Credit Supply PipelineGilt Week AheadGlobal IssuanceEurozoneUKUSDeep DiveGlobal Issuance CalendarsEZ/UK Bond Auction CalendarEZ/UK T-bill Auction CalendarUS Treasury Auction CalendarPolitical RiskMNI Political Risk AnalysisMNI Political Risk - US Daily BriefMNI Political Risk - The week AheadElection Previews -
Emerging Markets
Emerging Markets
Real-time insight of emerging markets in CEMEA, Asia and LatAm region
-
Commodities
Commodities
Real-time insight of oil & gas markets
-
Credit
Credit
Real time insight of credit markets
-
Data
-
Global Macro
Global Macro
Actionable insight on monetary policy, balance sheet and inflation with focus on global issuance. Analysis on key political risk impacting the global markets.
Global MacroDM Central Bank PreviewsDM Central Bank ReviewsEM Central Bank PreviewsEM Central Bank ReviewsBalance Sheet AnalysisData AnalysisEurozone DataUK DataUS DataAPAC DataInflation InsightEmployment InsightGlobal IssuanceEurozoneUKUSDeep DiveGlobal Issuance Calendars EZ/UK Bond Auction Calendar EZ/UK T-bill Auction Calendar US Treasury Auction Calendar Chart Packs -
About Us
To read the full story
Sign up now for free trial access to this content.
Please enter your details below.
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.
Real-time Actionable Insight
Get the latest on Central Bank Policy and FX & FI Markets to help inform both your strategic and tactical decision-making.
Free AccessBRIEF: ECB's Panetta-Time To Start Thinking Of NGEU Successor
MNI China Daily Summary: Wednesday, Aug 21
US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR DEC 13
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USF USH TYF TYH FVF TUH EDZ EDF
WED 3:00 7.24% 7.10% 3.48% 3.40% 2.11% 2.10% N/A 11.70%
1:15 7.71% 7.22% 3.80% 3.46% 2.32% 2.11% N/A 12.69%
11:45 7.75% 7.21% 3.86% 3.42% 2.27% 2.11% N/A 12.89%
10:30 7.88% 7.28% 3.87% 3.47% 2.29% 2.13% N/A 12.67%
9:00 7.64% 7.29% 3.71% 3.43% 2.23% 2.12% N/A 13.03%
WED OPEN 8.15% 7.35% 4.07% 3.52% 2.45% 2.17% N/A 13.30%
TUE 3:00 7.99% 7.40% 3.98% 3.53% 2.34% 2.17% N/A 13.20%
TUE OPEN 8.08% 7.51% 3.85% 3.54% 2.26% 2.17% N/A 13.30%
MON 3:00 7.90% 7.47% 3.82% 3.55% 2.36% 2.16% N/A 12.50%
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%
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
JAN18 10Y NOTE 125.00 C 96,469 +4,956 124.00 P 156,385 +1,401
MAR18 10Y NOTE 127.00 C 26,131 +160 114.00 P 110,162 UNCH
JAN18 5Y NOTE 117.00 C 32,693 -270 116.25 P 35,074 +4,067
MAR18 5Y NOTE 117.25 C 11,979 +35 108.50 P 140,106 UNCH
JAN18 2Y NOTE 107.50 C 8,970 UNCH 107.00 P 2,285 -35
MAR18 2Y NOTE 107.38 C 20,276 UNCH 107.00 P 61,369 +9,898
DEC17 EURODLR 98.75 C 743,367 UNCH 98.37 P 938,456 -27,170
JAN18 EURODLR 98.62 C 245,189 UNCH 98.25 P 260,153 -2,975
DEC18 1Y-MIDC 98.50 C 276,378 UNCH 98.00 P 507,633 -29,975
DEC19 2Y-MIDC 98.25 C 148,204 UNCH 97.75 P 186,886 -20,861
DEC20 3Y-MIDC 97.75 C 75,600 +200 97.75 P 121,150 -200
NEAREST ATM: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
JAN18 10Y NOTE 124.50 C 49,146 +435 124.50 P 52,932 +31
JAN18 10Y NOTE 125.00 C 96,469 +4,956 125.00 P 28,865 -420
MAR18 10Y NOTE 124.50 C 24,555 +478 124.50 P 30,419 +621
MAR18 10Y NOTE 125.00 C 25,795 +25 125.00 P 20,216 -16
JAN18 5Y NOTE 116.75 C 19,626 -156 116.75 P 9,792 +3,169
JAN18 5Y NOTE 117.00 C 32,693 -270 117.00 P 8,297 UNCH
MAR18 5Y NOTE 116.75 C 4,395 +1,691 116.75 P 4,487 -23
MAR18 5Y NOTE 117.00 C 4,543 +17 117.00 P 3,255 UNCH
JAN18 2Y NOTE 107.00 C 0 UNCH 107.00 P 2,285 -35
JAN18 2Y NOTE 107.12 C 870 +287 107.12 P 1,932 -33
MAR18 2Y NOTE 107.00 C 232 +232 107.00 P 61,369 +9,898
MAR18 2Y NOTE 107.12 C 806 +373 107.12 P 10,195 -454
DEC17 EURODLR 98.50 C 463,115 UNCH 98.50 P 490,255 -2,314
DEC17 EURODLR 98.62 C 740,638 -1,000 98.62 P 210,686 UNCH
JAN18 EURODLR 98.50 C 158,212 UNCH 98.50 P 18,103 -250
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 277,207 -3,079
DEC18 1Y-MIDC 98.25 C 259,813 UNCH 98.25 P 169,370 -500
DEC19 2Y-MIDC 97.87 C 121,632 UNCH 97.88 P 121,998 -800
DEC19 2Y-MIDC 98.00 C 143,134 UNCH 98.00 P 182,379 UNCH
DEC20 3Y-MIDC 97.75 C 75,600 +200 97.75 P 121,150 -200
DEC20 3Y-MIDC 97.87 C 75,541 UNCH 97.87 P 75,865 UNCH
PUT/CALL RATIO FOR VOLUME CLEARED:
JAN18 10Y NOTE PUT/CALL RATIO -- 0.85 (53,783 PUTS VS. 63,008 CALLS)
MAR18 10Y NOTE PUT/CALL RATIO -- 2.03 (27,739 PUTS VS. 13,616 CALLS)
JAN18 5Y NOTE PUT/CALL RATIO -- 1.36 (37,858 PUTS VS. 27,811 CALLS)
MAR18 5Y NOTE PUT/CALL RATIO -- 0.92 (5,284 PUTS VS. 5,744 CALLS)
JAN18 2Y NOTE PUT/CALL RATIO -- 1.39 (716 PUTS VS. 508 CALLS)
MAR18 2Y NOTE PUT/CALL RATIO -- 0.71 (16,165 PUTS VS. 22,673 CALLS)
DEC17 EURODLRS PUT/CALL RATIO -- 2.66 (56,353 PUTS VS. 21,095 CALLS)
JAN18 EURODLRS PUT/CALL RATIO -- 2.14 (26,300 PUTS VS. 12,300 CALLS)
DEC18 1Y-MIDCRVE PUT/CALL RATIO -- 4.86 (117,753 PUTS VS. 24,233 CALLS)
DEC19 2Y-MIDCRVE PUT/CALL RATIO -- 10.1 (82,369 PUTS VS. 8,100 CALLS)
DEC20 3Y-MIDCRVE PUT/CALL RATIO -- 1.64 (11,055 PUTS VS. 6,700 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
Wed 3:00 38.05 48.55 48.72 52.90 64.32 70.51
1:15 38.08 49.45 49.17 53.48 64.81 71.10
11:45 38.10 49.74 49.30 53.59 65.05 71.10
10:30 37.96 50.27 49.35 53.67 65.08 71.13
9:00 37.99 50.22 49.48 53.88 65.16 71.06
Wed Open 37.81 50.22 49.45 53.85 65.17 71.44
Tue 3:00 37.57 51.29 49.76 53.92 65.65 71.45
Tue Open 37.66 51.32 49.97 54.18 65.88 71.75
Mon 3:00 38.04 51.05 50.24 54.22 65.75 71.82
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
--MNI Chicago Bureau; tel: +1 312-431-0089; email: bill.sokolis@marketnews.com
[TOPICS: MTABLE,M$U$$$,M$$FI$,MN$FI$]
To read the full story
Sign up now for free trial access to this content.
Please enter your details below.
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.