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Free AccessMNI: China CFETS Yuan Index Up 0.01% In Week of Nov 22
MNI: PBOC Net Injects CNY76.7 Bln via OMO Monday
US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR DEC 30
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USG USH TYG TYH FVG FVH EDF EDH
FRI 1500 N/A 7.25% N/A 3.91% N/A 2.37% 13.20% 11.90%
FRI OPEN N/A 7.23% N/A 3.94% N/A 2.43% 12.25% 11.75%
THU 1500 N/A 7.47% N/A 4.04% N/A 2.45% 13.00% 12.10%
THU OPEN 8.80% 7.47% 4.14% 4.02% 2.89% 2.45% 14.05% 12.45%
TUE 1300 6.42% 7.46% 3.34% 4.02% 1.75% 2.44% 12.75% 11.85%
TUE OPEN 6.21% 7.33% 3.25% 4.01% 1.83% 2.39% 11.99% 11.70%
MON 1500 6.48% 7.26% 3.24% 3.95% 1.83% 2.36% 11.55% 11.05%
MON OPEN 6.45% 7.18% 3.12% 3.90% 1.83% 2.33% 12.30% 11.49%
FRI 1500 5.80% 7.13% 3.01% 3.85% 1.63% 2.32% 12.40% 10.80%
FRI OPEN 6.35% 7.12% 3.28% 3.85% 1.87% 2.31% 11.65% 10.75%
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
FEB20 10Y NOTE 130.00 C 220,111 +7,218 127.00 P 123,758 +5,591
MAR20 10Y NOTE 131.00 C 72,524 -17 117.50 P 66,948 UNCH
FEB20 5Y NOTE 119.25 C 53,454 -479 118.00 P 32,991 +1,895
MAR20 5Y NOTE 119.00 C 31,501 UNCH 111.00 P 252,174 UNCH
FEB20 2Y NOTE 107.75 C 6,090 +99 107.12 P 24,173 UNCH
MAR20 2Y NOTE 110.37 C 7,692 UNCH 105.75 P 55,165 UNCH
JAN20 EURODLR 98.50 C 126,858 UNCH 98.12 P 114,555 UNCH
MAR20 EURODLR 98.37 C 470,247 +1,300 98.25 P 542,635 +1,949
MAR21 1Y-MIDC 99.75 C 247,313 UNCH 98.25 P 79,737 UNCH
MAR22 2Y-MIDC 98.25 C 79,246 UNCH 97.37 P 96,133 UNCH
MAR23 3Y-MIDC 98.12 C 53,469 UNCH 97.62 P 29,500 UNCH
NEAREST ATM: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
FEB20 10Y NOTE 128.00 C 17,635 -578 128.00 P 59,768 +4,669
FEB20 10Y NOTE 128.50 C 101,034 +2,707 128.50 P 42,956 +4,624
MAR20 10Y NOTE 128.00 C 11,390 +1,411 128.00 P 35,662 -62
MAR20 10Y NOTE 128.50 C 25,901 +555 128.50 P 23,182 +860
FEB20 5Y NOTE 118.25 C 8,182 UNCH 118.25 P 14,123 +693
FEB20 5Y NOTE 118.50 C 45,838 UNCH 118.50 P 18,500 +1,345
MAR20 5Y NOTE 118.25 C 2,625 +5 118.25 P 8,561 +708
MAR20 5Y NOTE 118.50 C 12,492 +316 118.50 P 18,319 -411
FEB20 2Y NOTE 107.62 C 1,642 -67 107.62 P 5,736 -609
FEB20 2Y NOTE 107.75 C 6,090 +99 107.75 P 12,299 +1,384
MAR20 2Y NOTE 107.62 C 565 UNCH 107.62 P 3,118 -199
MAR20 2Y NOTE 107.75 C 1,055 UNCH 107.75 P 2,720 UNCH
JAN20 EURODLR 98.25 C 74,193 +3,600 98.25 P 91,374 +499
JAN20 EURODLR 98.37 C 90,123 +14,833 98.37 P 25,287 UNCH
MAR20 EURODLR 98.25 C 380,596 +4,074 98.25 P 542,635 +1,949
MAR20 EURODLR 98.37 C 470,247 +1,300 98.37 P 270,785 -1
MAR21 1Y-MIDC 98.37 C 72,771 UNCH 98.37 P 73,100 -250
MAR21 1Y-MIDC 98.50 C 63,069 UNCH 98.50 P 50,900 UNCH
MAR22 2Y-MIDC 98.37 C 31,398 UNCH 98.37 P 28,915 -2,161
MAR22 2Y-MIDC 98.50 C 35,011 UNCH 98.50 P 30,640 UNCH
MAR23 3Y-MIDC 98.37 C 10,499 UNCH 98.37 P 15,376 UNCH
MAR23 3Y-MIDC 98.50 C 44,729 UNCH 98.50 P 7,719 UNCH
PUT/CALL RATIO FOR VOLUME CLEARED:
FEB20 10Y NOTE PUT/CALL RATIO -- 0.96 (111,440 PUTS VS. 115,557 CALLS)
MAR20 10Y NOTE PUT/CALL RATIO -- 0.62 (34,953 PUTS VS. 55,865 CALLS)
FEB20 5Y NOTE PUT/CALL RATIO -- 0.74 (23,496 PUTS VS. 31,284 CALLS)
MAR20 5Y NOTE PUT/CALL RATIO -- 10.2 (11,209 PUTS VS. 1,120 CALLS)
FEB20 2Y NOTE PUT/CALL RATIO -- 0.60 (4,950 PUTS VS. 8,181 CALLS)
MAR20 2Y NOTE PUT/CALL RATIO -- 1.41 (1,785 PUTS VS. 1,219 CALLS)
JAN20 EURODLRS PUT/CALL RATIO -- 0.02 (1,016 PUTS VS. 54,752 CALLS)
MAR20 EURODLRS PUT/CALL RATIO -- 0.22 (19,325 PUTS VS. 85,224 CALLS)
MAR21 1Y-MIDCRVE PUT/CALL RATIO -- 0.01 (250 PUTS VS. 17,750 CALLS)
MAR22 2Y-MIDCRVE PUT/CALL RATIO -- 5.33 (4,800 PUTS VS. 900 CALLS)
MAR23 3Y-MIDCRVE PUT/CALL RATIO -- 1.00 (1,000 PUTS VS. 1,000 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
Fri 1500 48.55 61.60 61.62 64.01 63.65 64.27
Fri Open 47.76 62.54 61.91 64.45 64.30 64.25
Thu 1500 48.11 62.76 62.20 64.64 64.50 64.72
Thu Open 48.32 63.03 62.25 64.64 64.49 64.70
Tue 1300 48.22 63.13 61.51 64.54 64.50 64.73
Tue Open 46.11 61.47 60.66 63.71 64.21 64.71
Mon 1500 46.54 61.02 60.37 63.37 64.16 64.65
Mon Open 46.29 61.08 60.25 63.26 64.05 64.61
Fri 1500 46.27 60.47 60.34 63.38 64.09 64.62
Fri Open 46.63 60.53 60.39 63.45 64.15 64.67
--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.