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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 18
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USF USH TYF TYH FVF TUH EDF EDH
12:30 8.12% 7.29% 3.52% 3.38% 2.30% 2.06% 11.66% 13.26%
11:00 8.21% 7.37% 3.70% 3.39% 2.31% 2.08% 12.39% 13.26%
9:15 8.07% 7.31% 3.76% 3.41% 2.22% 2.10% 12.57% 13.83%
MON OPEN 8.26% 7.43% 3.81% 3.47% 2.36% 2.11% 12.66% 13.65%
FRI 3:00 6.80% 7.36% 3.06% 3.42% 1.98% 2.10% 11.10% N/A
FRI OPEN 7.02% 7.29% 3.21% 3.42% 1.80% 2.11% 10.80% N/A
THU 3:00 6.89% 7.24% 3.28% 3.40% 1.84% 2.08% 11.25% N/A
THU OPEN 6.80% 7.16% 3.32% 3.39% 2.13% 2.13% 11.50% N/A
WED 3:00 7.24% 7.10% 3.48% 3.40% 2.11% 2.10% 11.70% N/A
WED OPEN 8.15% 7.35% 4.07% 3.52% 2.45% 2.17% 13.30% N/A
TUE 3:00 7.99% 7.40% 3.98% 3.53% 2.34% 2.17% 13.20% N/A
TUE OPEN 8.08% 7.51% 3.85% 3.54% 2.26% 2.17% 13.30% N/A
MON 3:00 7.90% 7.47% 3.82% 3.55% 2.36% 2.16% 12.50% N/A
MON OPEN 8.26% 7.61% 3.95% 3.57% 2.35% 2.21% 13.09% N/A
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
JAN18 10Y NOTE 125.00 C 96,685 -3,253 124.00 P 134,658 +902
MAR18 10Y NOTE 126.00 C 43,716 +611 114.00 P 110,162 UNCH
JAN18 5Y NOTE 117.00 C 30,650 -82 116.25 P 30,655 -1,997
MAR18 5Y NOTE 117.25 C 14,060 UNCH 108.50 P 140,106 UNCH
JAN18 2Y NOTE 107.50 C 8,970 UNCH 107.00 P 2,286 UNCH
MAR18 2Y NOTE 107.38 C 20,270 -6 107.00 P 61,760 +45
JAN18 EURODLR 98.62 C 245,189 UNCH 98.25 P 270,365 +2,433
MAR18 EURODLR 98.50 C 469,325 -4,980 98.25 P 798,622 +250
MAR19 1Y-MIDC 98.50 C 188,459 UNCH 97.62 P 396,881 UNCH
MAR20 2Y-MIDC 98.50 C 145,426 UNCH 97.75 P 140,595 -250
MAR21 3Y-MIDC 98.12 C 64,759 -1,000 97.37 P 58,525 UNCH
NEAREST ATM: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
JAN18 10Y NOTE 124.50 C 46,140 -647 124.50 P 48,146 -865
JAN18 10Y NOTE 125.00 C 96,685 -3,253 125.00 P 27,485 -257
MAR18 10Y NOTE 124.50 C 29,056 +1,732 124.50 P 32,238 +931
MAR18 10Y NOTE 125.00 C 26,383 +8 125.00 P 20,041 +100
JAN18 5Y NOTE 116.75 C 21,910 +142 116.75 P 9,774 UNCH
JAN18 5Y NOTE 117.00 C 30,650 -82 117.00 P 8,297 UNCH
MAR18 5Y NOTE 116.75 C 4,342 -3 116.75 P 4,487 UNCH
MAR18 5Y NOTE 117.00 C 7,302 UNCH 117.00 P 3,255 UNCH
JAN18 2Y NOTE 107.00 C 0 UNCH 107.00 P 2,286 UNCH
JAN18 2Y NOTE 107.12 C 1,177 UNCH 107.12 P 1,912 UNCH
MAR18 2Y NOTE 107.00 C 231 UNCH 107.00 P 61,760 +45
MAR18 2Y NOTE 107.12 C 991 UNCH 107.12 P 17,227 UNCH
JAN18 EURODLR 98.50 C 148,212 UNCH 98.50 P 18,103 UNCH
JAN18 EURODLR 98.62 C 245,189 UNCH 98.62 P 0 UNCH
MAR18 EURODLR 98.50 C 469,325 -4,980 98.50 P 125,305 UNCH
MAR18 EURODLR 98.62 C 252,662 -248 98.62 P 28,813 UNCH
MAR19 1Y-MIDC 98.12 C 133,979 +7,500 98.12 P 70,031 UNCH
MAR19 1Y-MIDC 98.25 C 171,618 +14,250 98.25 P 36,397 UNCH
MAR20 2Y-MIDC 97.87 C 60,756 UNCH 97.87 P 50,975 UNCH
MAR20 2Y-MIDC 98.00 C 111,258 UNCH 98.00 P 73,178 UNCH
MAR21 3Y-MIDC 97.75 C 34,828 UNCH 97.75 P 25,612 UNCH
MAR21 3Y-MIDC 97.87 C 46,791 UNCH 97.87 P 33,372 UNCH
PUT/CALL RATIO FOR VOLUME CLEARED:
JAN18 10Y NOTE PUT/CALL RATIO -- 0.75 (41,433 PUTS VS. 55,157 CALLS)
MAR18 10Y NOTE PUT/CALL RATIO -- 1.36 (15,143 PUTS VS. 11,136 CALLS)
JAN18 5Y NOTE PUT/CALL RATIO -- 0.70 (14,107 PUTS VS. 20,015 CALLS)
MAR18 5Y NOTE PUT/CALL RATIO -- 1.09 (4,850 PUTS VS. 4,394 CALLS)
JAN18 2Y NOTE PUT/CALL RATIO -- 0.01 (2 PUTS VS. 316 CALLS)
MAR18 2Y NOTE PUT/CALL RATIO -- 1.32 (492 PUTS VS. 374 CALLS)
JAN18 EURODLRS PUT/CALL RATIO -- 209.4 (10,473 PUTS VS. 50 CALLS)
MAR18 EURODLRS PUT/CALL RATIO -- 0.38 (12,800 PUTS VS. 32,994 CALLS)
MAR19 1Y-MIDCRVE PUT/CALL RATIO -- 0.05 (2,096 PUTS VS. 43,188 CALLS)
MAR20 2Y-MIDCRVE PUT/CALL RATIO -- 8.01 (4,333 PUTS VS. 541 CALLS)
MAR21 3Y-MIDCRVE PUT/CALL RATIO -- 0.77 (3,450 PUTS VS. 4,450 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
12:30 37.98 47.50 48.42 52.03 63.03 68.99
11:00 38.01 47.50 48.35 51.97 62.07 69.14
9:15 38.01 47.31 48.57 52.61 63.37 69.23
Mon Open 37.73 47.20 48.64 52.50 63.27 69.17
Fri 3:00 37.31 47.35 48.66 52.50 63.28 69.17
Fri Open 37.39 47.17 47.75 51.29 63.37 69.32
Thu 3:00 37.19 46.60 48.18 52.04 63.53 69.76
Thu Open 37.31 47.65 48.38 52.40 64.26 70.34
Wed 3:00 38.05 48.55 48.72 52.90 64.32 70.51
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
--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.