-
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 AccessUS TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR DEC 17
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USF USH TYF TYH FVF FVH EDF EDH
1245 6.68% 7.09% 3.47% 3.79% 2.02% 2.30% 12.05% 10.65%
1130 6.80% 7.17% 3.48% 3.82% 2.06% 2.32% 11.85% 11.05%
0900 6.64% 7.11% 3.48% 3.80% 2.02% 2.32% 11.70% 10.85%
TUE OPEN 6.60% 7.10% 3.45% 3.80% 2.05% 2.31% 12.15% 10.65%
MON 1500 7.04% 7.22% 3.67% 3.89% 2.15% 2.34% 12.30% 11.20%
MON OPEN 6.77% 7.09% 3.60% 3.83% 2.08% 2.33% 13.20% 11.70%
FRI 1500 7.01% 7.35% 3.63% 4.01% 2.17% 2.36% 20.37% N/A
FRI OPEN 8.37% 8.07% 4.63% 4.30% 2.75% 2.62% 21.60% N/A
THU 1500 8.37% 8.07% 4.63% 4.30% 2.75% 2.62% 21.60% N/A
THU OPEN 8.05% 8.03% 4.29% 4.21% 2.59% 2.62% 22.65% N/A
WED 1500 8.10% 8.15% 4.29% 4.30% 2.63% 2.64% 24.15% N/A
WED OPEN 8.40% 8.27% 4.50% 4.37% 2.67% 2.72% 24.40% N/A
TUE 1500 8.43% 8.32% 4.53% 4.42% 2.70% 2.75% 23.20% N/A
TUE OPEN 8.87% 8.43% 4.83% 4.48% 2.93% 2.88% 22.95% N/A
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
JAN20 10Y NOTE 130.00 C 162,287 -35,127 128.00 P 95,976 -3,561
MAR20 10Y NOTE 131.00 C 62,821 +2,623 117.50 P 66,948 UNCH
JAN20 5Y NOTE 119.50 C 106,161 -130 118.25 P 57,048 +773
MAR20 5Y NOTE 128.00 C 21,291 UNCH 111.00 P 250,582 UNCH
JAN20 2Y NOTE 108.00 C 11,238 UNCH 107.62 P 14,526 +200
MAR20 2Y NOTE 110.37 C 7,692 UNCH 105.75 P 55,036 UNCH
JAN20 EURODLR 98.50 C 130,008 -313 98.12 P 138,395 -89
MAR20 EURODLR 99.00 C 460,823 UNCH 98.25 P 569,721 -9,927
MAR21 1Y-MIDC 99.75 C 246,914 UNCH 98.25 P 77,015 -766
MAR22 2Y-MIDC 98.25 C 78,846 UNCH 97.37 P 96,133 UNCH
MAR23 3Y-MIDC 98.12 C 53,469 UNCH 97.62 P 29,500 -50
NEAREST ATM: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
JAN20 10Y NOTE 128.50 C 32,742 +1,787 128.50 P 78,836 +125
JAN20 10Y NOTE 129.00 C 47,727 +1,263 129.00 P 63,202 -5,237
MAR20 10Y NOTE 128.50 C 20,144 +1,240 128.50 P 18,617 +2,355
MAR20 10Y NOTE 129.00 C 19,742 -870 129.00 P 26,035 +256
JAN20 5Y NOTE 118.50 C 32,700 +1,000 118.50 P 32,070 +1,492
JAN20 5Y NOTE 118.75 C 22,993 +726 118.75 P 52,311 -412
MAR20 5Y NOTE 118.50 C 8,682 +205 118.50 P 16,580 -10
MAR20 5Y NOTE 118.75 C 11,999 UNCH 118.75 P 11,156 -1
JAN20 2Y NOTE 107.75 C 5,760 +78 107.75 P 10,207 UNCH
JAN20 2Y NOTE 107.88 C 6,522 UNCH 107.88 P 8,170 UNCH
MAR20 2Y NOTE 107.75 C 1,059 UNCH 107.75 P 2,720 UNCH
MAR20 2Y NOTE 107.88 C 937 UNCH 107.88 P 4,509 UNCH
JAN20 EURODLR 98.25 C 47,174 -1,396 98.25 P 108,411 -1,264
JAN20 EURODLR 98.37 C 67,341 +845 98.37 P 27,422 UNCH
MAR20 EURODLR 98.25 C 383,313 +2,463 98.25 P 569,721 -9,927
MAR20 EURODLR 98.37 C 405,755 +13,995 98.37 P 241,734 +449
MAR21 1Y-MIDC 98.37 C 72,433 UNCH 98.37 P 71,500 +1,079
MAR21 1Y-MIDC 98.50 C 61,639 -1,334 98.50 P 51,159 -1,242
MAR22 2Y-MIDC 98.37 C 29,548 +843 98.37 P 29,976 +357
MAR22 2Y-MIDC 98.50 C 35,011 UNCH 98.50 P 30,790 UNCH
MAR23 3Y-MIDC 98.37 C 10,174 UNCH 98.37 P 26,202 UNCH
MAR23 3Y-MIDC 98.50 C 49,923 UNCH 98.50 P 10,895 -48
PUT/CALL RATIO FOR VOLUME CLEARED:
JAN20 10Y NOTE PUT/CALL RATIO -- 1.68 (233,579 PUTS VS. 138,358 CALLS)
MAR20 10Y NOTE PUT/CALL RATIO -- 0.89 (57,794 PUTS VS. 64,713 CALLS)
JAN20 5Y NOTE PUT/CALL RATIO -- 1.16 (21,356 PUTS VS. 18,297 CALLS)
MAR20 5Y NOTE PUT/CALL RATIO -- 2.13 (4,972 PUTS VS. 2,389 CALLS)
JAN20 2Y NOTE PUT/CALL RATIO -- 0.99 (1,415 PUTS VS. 1,489 CALLS)
MAR20 2Y NOTE PUT/CALL RATIO -- 1.00 (550 PUTS VS. 550 CALLS)
JAN20 EURODLRS PUT/CALL RATIO -- 1.16 (14,075 PUTS VS. 12,336 CALLS)
MAR20 EURODLRS PUT/CALL RATIO -- 0.42 (45,055 PUTS VS. 105,614 CALLS)
MAR21 1Y-MIDCRVE PUT/CALL RATIO -- 0.30 (14,781 PUTS VS. 56,828 CALLS)
MAR22 2Y-MIDCRVE PUT/CALL RATIO -- 10.1 (6,157 PUTS VS. 650 CALLS)
MAR23 3Y-MIDCRVE PUT/CALL RATIO -- 1.00 (125 PUTS VS. 125 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
1245 46.94 63.40 60.47 63.33 64.39 64.91
1130 47.44 63.42 60.59 63.46 64.47 64.88
0900 45.73 63.25 60.14 63.07 64.52 64.83
Tue Open 45.74 63.20 60.17 63.08 64.51 64.76
Mon 1500 47.61 62.06 59.91 61.84 64.00 64.61
Mon Open 49.32 65.41 62.22 64.09 64.60 64.70
Fri 1500 49.40 64.61 62.37 63.98 64.57 64.61
Fri Open 50.05 68.20 65.30 67.47 65.49 65.05
Thu 1500 50.05 68.20 65.30 67.47 65.49 65.05
Thu Open 52.59 67.58 65.66 67.05 65.78 65.41
Wed 1500 53.85 68.14 66.31 67.61 65.94 65.64
Wed Open 55.35 71.08 68.44 69.80 66.84 66.16
Tue 1500 55.68 72.82 68.49 69.85 67.13 66.19
Tue Open 56.53 72.19 68.50 69.74 67.53 66.59
--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.