-
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 21
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USF USH TYF TYH FVF TUH EDF EDH
THU 3:00 7.13% 7.76% 3.26% 3.65% 2.34% 2.18% 13.42% 14.08%
12:30 7.41% 7.64% 3.39% 3.57% 1.94% 2.14% 11.70% 14.24%
9:00 8.70% 7.68% 4.00% 3.60% 2.12% 2.16% 12.15% 14.06%
THU OPEN 8.85% 7.75% 3.53% 3.60% 2.15% 2.14% 11.80% 14.10%
WED 3:00 8.12% 7.76% 3.76% 3.58% 2.09% 2.15% 11.39% 14.01%
WED OPEN 8.85% 7.59% 4.19% 3.52% 2.34% 2.14% 13.14% 13.97%
TUE 3:00 10.03% 7.55% 4.41% 3.53% 3.15% 2.11% 11.20% 13.75%
TUE OPEN 8.31% 7.38% 3.69% 3.40% 2.41% 2.10% 11.08% 12.59%
MON 3:00 8.13% 7.33% 3.79% 3.45% 2.32% 2.11% 11.67% 13.48%
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
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
JAN18 10Y NOTE 125.00 C 99,108 -80 124.00 P 96,856 -10,717
MAR18 10Y NOTE 126.00 C 42,321 -1,775 114.00 P 112,635 UNCH
JAN18 5Y NOTE 117.00 C 30,976 UNCH 116.00 P 25,520 -257
MAR18 5Y NOTE 117.25 C 14,827 +742 108.50 P 140,106 UNCH
JAN18 2Y NOTE 107.50 C 8,970 UNCH 107.00 P 2,236 -50
MAR18 2Y NOTE 107.38 C 20,629 +359 107.00 P 61,750 -55
JAN18 EURODLR 98.62 C 265,189 +20,000 98.25 P 290,584 -780
MAR18 EURODLR 98.50 C 475,185 UNCH 98.25 P 831,667 +6,437
MAR19 1Y-MIDC 98.50 C 188,459 UNCH 97.62 P 413,273 +8,950
MAR20 2Y-MIDC 98.50 C 145,426 UNCH 97.75 P 144,493 UNCH
MAR21 3Y-MIDC 98.12 C 63,259 UNCH 97.37 P 62,351 +1,948
NEAREST ATM: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
JAN18 10Y NOTE 124.50 C 41,480 -3,413 124.50 P 47,628 -179
JAN18 10Y NOTE 125.00 C 99,108 -80 125.00 P 27,139 -51
MAR18 10Y NOTE 124.50 C 30,118 +162 124.50 P 32,382 +61
MAR18 10Y NOTE 125.00 C 30,845 +4,222 125.00 P 19,983 -58
JAN18 5Y NOTE 116.75 C 24,046 +1,482 116.75 P 9,780 UNCH
JAN18 5Y NOTE 117.00 C 30,976 UNCH 117.00 P 8,297 UNCH
MAR18 5Y NOTE 116.75 C 4,248 -94 116.75 P 4,487 UNCH
MAR18 5Y NOTE 117.00 C 11,627 +3,854 117.00 P 3,255 UNCH
JAN18 2Y NOTE 107.00 C 0 UNCH 107.00 P 2,236 -50
JAN18 2Y NOTE 107.12 C 1,178 UNCH 107.12 P 1,787 -125
MAR18 2Y NOTE 107.00 C 428 +196 107.00 P 61,755 -55
MAR18 2Y NOTE 107.12 C 991 UNCH 107.12 P 17,087 UNCH
JAN18 EURODLR 98.50 C 158,430 +9,968 98.50 P 18,103 UNCH
JAN18 EURODLR 98.62 C 265,189 +20,000 98.62 P 0 UNCH
MAR18 EURODLR 98.50 C 475,185 UNCH 98.50 P 124,436 -219
MAR18 EURODLR 98.62 C 253,051 UNCH 98.62 P 28,813 UNCH
MAR19 1Y-MIDC 98.12 C 134,029 +800 98.12 P 70,031 UNCH
MAR19 1Y-MIDC 98.25 C 175,618 UNCH 98.25 P 36,397 UNCH
MAR20 2Y-MIDC 97.87 C 64,199 +6,943 97.87 P 50,975 UNCH
MAR20 2Y-MIDC 98.00 C 108,008 UNCH 98.00 P 73,178 UNCH
MAR21 3Y-MIDC 97.75 C 36,818 +2,696 97.75 P 25,612 UNCH
MAR21 3Y-MIDC 97.87 C 47,581 +790 97.87 P 33,372 UNCH
PUT/CALL RATIO FOR VOLUME CLEARED:
JAN18 10Y NOTE PUT/CALL RATIO -- 3.21 (182,995 PUTS VS. 56,914 CALLS)
MAR18 10Y NOTE PUT/CALL RATIO -- 1.37 (55,635 PUTS VS. 40,456 CALLS)
JAN18 5Y NOTE PUT/CALL RATIO -- 1.22 (16,075 PUTS VS. 13,191 CALLS)
MAR18 5Y NOTE PUT/CALL RATIO -- 0.97 (25,536 PUTS VS. 26,224 CALLS)
JAN18 2Y NOTE PUT/CALL RATIO -- 73.5 (1,323 PUTS VS. 18 CALLS)
MAR18 2Y NOTE PUT/CALL RATIO -- 1.77 (1,032 PUTS VS. 583 CALLS)
JAN18 EURODLRS PUT/CALL RATIO -- 0.61 (33,044 PUTS VS. 53,706 CALLS)
MAR18 EURODLRS PUT/CALL RATIO -- 3.86 (65,724 PUTS VS. 17,024 CALLS)
MAR19 1Y-MIDCRVE PUT/CALL RATIO -- 1.30 (53,228 PUTS VS. 40,750 CALLS)
MAR20 2Y-MIDCRVE PUT/CALL RATIO -- 4.35 (22,244 PUTS VS. 5,150 CALLS)
MAR21 3Y-MIDCRVE PUT/CALL RATIO -- 1.17 (10,300 PUTS VS. 8,850 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
Thu 3:00 39.11 52.44 51.24 56.11 64.43 68.86
12:30 39.14 52.51 51.45 56.36 64.27 68.89
9:00 38.58 51.75 50.90 55.78 63.87 68.69
Thu Open 38.67 51.64 50.89 55.51 63.79 68.71
Wed 3:00 38.50 51.38 50.72 55.28 63.88 68.68
Wed Open 38.14 51.01 49.99 54.09 63.35 68.84
Tue 3:00 38.14 50.32 49.67 53.74 63.37 68.88
Tue Open 38.05 48.67 48.69 52.32 63.06 68.90
Mon 3:00 38.05 48.02 48.63 52.11 63.06 69.02
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
--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.