-
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
-
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 Global Macro Weekly -
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 3
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USF USH TYJ TYH FVF FVH EDZ EDF
MON 1500 7.76% 7.77% 4.10% 4.19% 2.62% 2.65% 14.55% 22.27%
MON OPEN 7.80% 7.75% 4.15% 4.17% 2.62% 2.64% 13.85% 22.85%
WED 1500 7.22% 7.55% 3.92% 4.05% 2.48% 2.59% 13.30% 23.05%
WED OPEN 7.35% 7.62% 4.02% 4.13% 2.52% 2.63% 14.16% 23.82%
TUE 1500 7.47% 7.65% 4.05% 4.10% 2.55% 2.64% 14.15% 23.66%
TUE OPEN 7.41% 7.61% 4.00% 4.12% 2.57% 2.65% 14.98% 23.99%
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
JAN20 10Y NOTE 131.00 C 116,915 +5,142 128.00 P 95,260 -5,049
MAR20 10Y NOTE 134.50 C 51,434 -4,600 117.50 P 63,350 UNCH
JAN20 5Y NOTE 120.50 C 71,954 -13 118.25 P 69,033 -252
MAR20 5Y NOTE 120.50 C 19,951 UNCH 111.00 P 250,582 UNCH
JAN20 2Y NOTE 108.00 C 9,879 +1 107.62 P 15,283 +1,252
MAR20 2Y NOTE 110.37 C 7,692 UNCH 105.75 P 55,000 UNCH
DEC19 EURODLR 98.25 C 624,145 -2,544 97.25 P1,065,828 +23
JAN20 EURODLR 98.50 C 113,525 +3,000 98.12 P 165,337 +3,150
DEC20 1Y-MIDC 98.75 C 191,519 +75 97.50 P 171,536 UNCH
DEC21 2Y-MIDC 98.00 C 81,524 -2,725 97.37 P 125,829 UNCH
DEC22 3Y-MIDC 98.75 C 75,238 UNCH 97.37 P 63,651 UNCH
NEAREST ATM: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
JAN20 10Y NOTE 129.00 C 39,214 +7,060 129.00 P 66,437 -2,015
JAN20 10Y NOTE 129.50 C 54,627 +1,609 129.50 P 56,646 -1,719
MAR20 10Y NOTE 129.00 C 11,953 +1,355 129.00 P 11,944 +1,322
MAR20 10Y NOTE 129.50 C 13,315 -508 129.50 P 10,822 +49
JAN20 5Y NOTE 119.00 C 20,482 +3,448 119.00 P 12,155 +52
JAN20 5Y NOTE 119.25 C 31,380 -362 119.25 P 6,131 +1
MAR20 5Y NOTE 119.00 C 17,330 UNCH 119.00 P 5,591 UNCH
MAR20 5Y NOTE 119.25 C 4,951 -3 119.25 P 4,550 +45
JAN20 2Y NOTE 107.75 C 964 -10 107.75 P 9,034 +301
JAN20 2Y NOTE 107.88 C 6,059 +554 107.88 P 8,175 +1,500
MAR20 2Y NOTE 107.75 C 819 +100 107.75 P 511 UNCH
MAR20 2Y NOTE 107.88 C 356 +56 107.88 P 386 +56
DEC19 EURODLR 98.00 C 324,424 -210 98.00 P 305,523 -2,017
DEC19 EURODLR 98.12 C 563,547 -2,602 98.12 P 231,763 +801
JAN20 EURODLR 98.25 C 33,001 +1,711 98.25 P 143,828 -1,450
JAN20 EURODLR 98.37 C 59,012 +5,094 98.37 P 29,193 -400
DEC20 1Y-MIDC 98.50 C 89,353 -1,865 98.50 P 99,735 -5,297
DEC20 1Y-MIDC 98.62 C 131,426 -12,681 98.62 P 49,071 UNCH
DEC21 2Y-MIDC 98.50 C 79,677 +713 98.50 P 57,994 -842
DEC21 2Y-MIDC 98.62 C 62,808 UNCH 98.62 P 22,017 +262
DEC22 3Y-MIDC 98.50 C 37,824 -650 98.50 P 19,653 +100
DEC22 3Y-MIDC 98.62 C 49,973 +6,917 98.62 P 18,440 UNCH
PUT/CALL RATIO FOR VOLUME CLEARED:
JAN20 10Y NOTE PUT/CALL RATIO -- 1.73 (167,342 PUTS VS. 96,385 CALLS)
MAR20 10Y NOTE PUT/CALL RATIO -- 1.32 (37,351 PUTS VS. 28,273 CALLS)
JAN20 5Y NOTE PUT/CALL RATIO -- 1.70 (41,480 PUTS VS. 24,964 CALLS)
MAR20 5Y NOTE PUT/CALL RATIO -- 8.95 (18,818 PUTS VS. 2,124 CALLS)
JAN20 2Y NOTE PUT/CALL RATIO -- 3.42 (4,890 PUTS VS. 1,499 CALLS)
MAR20 2Y NOTE PUT/CALL RATIO -- 0.46 (125 PUTS VS. 266 CALLS)
DEC19 EURODLRS PUT/CALL RATIO -- 0.09 (3,890 PUTS VS. 38,452 CALLS)
JAN20 EURODLRS PUT/CALL RATIO -- 1.06 (16,550 PUTS VS. 15,050 CALLS)
DEC20 1Y-MIDCRVE PUT/CALL RATIO -- 9.75 (43,945 PUTS VS. 4,500 CALLS)
DEC21 2Y-MIDCRVE PUT/CALL RATIO -- 0.76 (3,520 PUTS VS. 4,650 CALLS)
DEC22 3Y-MIDCRVE PUT/CALL RATIO -- 0.59 (7,375 PUTS VS. 12,354 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
Mon 1500 54.50 63.20 64.82 64.92 66.45 66.46
Mon Open 54.54 61.36 64.24 64.40 66.92 67.15
Wed 1500 56.39 61.79 64.70 64.25 67.25 67.11
Wed Open 57.51 64.32 65.64 65.27 67.37 67.05
Tue 1500 57.46 65.08 65.57 65.16 67.30 66.88
Tue Open 57.99 66.01 65.98 66.13 67.15 66.55
--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.