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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 8
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USF USH TYF TYH FVF TUH EDZ EDF
11:45 7.43% 7.46% 3.52% 3.54% 2.28% 2.17% 11.80% 13.53%
10:15 7.54% 7.49% 3.57% 3.60% 2.26% 2.20% 12.31% 13.40%
9:00 7.65% 7.51% 3.74% 3.64% 2.26% 2.21% 13.13% 13.20%
FRI OPEN 7.77% 7.51% 3.90% 3.63% 2.39% 2.24% 13.78% 13.25%
THU 3:00 7.45% 7.49% 3.74% 3.58% 2.33% 2.24% 14.25% N/A
THU OPEN 7.47% 7.38% 3.77% 3.61% 2.30% 2.23% 13.50% 13.50%
WED 3:00 7.53% 7.40% 3.75% 3.63% 2.31% 2.26% 13.70% 13.47%
WED OPEN 7.81% 7.38% 3.95% 3.66% 2.37% 2.26% 15.03% 12.65%
TUE 3:00 7.85% 7.39% 3.94% 3.66% 2.38% 2.22% 14.63% 12.44%
TUE OPEN 7.88% 7.42% 3.84% 3.64% 2.33% 2.20% 15.98% 12.50%
MON 3:00 7.88% 7.42% 3.91% 3.68% 2.43% 2.26% 15.96% 12.07%
MON OPEN 8.15% 7.56% 3.94% 3.68% 2.43% 2.23% 17.56% 12.58%
FRI 3:00 8.17% 7.68% 3.93% 3.71% 2.41% 2.27% 14.70% 12.25%
FRI OPEN 7.67% 7.42% 3.66% 3.66% 2.19% 2.20% 11.90% 11.44%
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
JAN18 10Y NOTE 125.00 C 91,317 +7,339 124.00 P 154,084 +660
MAR18 10Y NOTE 125.00 C 25,780 -3 114.00 P 109,459 +4
JAN18 5Y NOTE 117.00 C 32,769 -38 116.00 P 28,383 +31
MAR18 5Y NOTE 117.25 C 11,944 UNCH 108.50 P 140,106 UNCH
JAN18 2Y NOTE 107.50 C 8,970 +70 107.00 P 2,320 UNCH
MAR18 2Y NOTE 107.50 C 20,002 UNCH 107.00 P 51,412 +18
DEC17 EURODLR 98.75 C 743,367 UNCH 98.37 P1,062,330 -17,049
JAN18 EURODLR 98.62 C 245,189 UNCH 98.25 P 267,989 +500
DEC18 1Y-MIDC 98.50 C 276,378 UNCH 98.00 P 559,908 -9,250
DEC19 2Y-MIDC 98.25 C 148,204 UNCH 97.75 P 225,189 -5,341
DEC20 3Y-MIDC 97.75 C 78,874 +1,716 97.75 P 124,665 -3,900
NEAREST ATM: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
JAN18 10Y NOTE 124.50 C 47,224 +111 124.50 P 51,247 -474
JAN18 10Y NOTE 125.00 C 91,317 +7,339 125.00 P 29,263 +273
MAR18 10Y NOTE 124.50 C 20,226 +544 124.50 P 27,776 +924
MAR18 10Y NOTE 125.00 C 25,780 -3 125.00 P 19,983 +81
JAN18 5Y NOTE 116.75 C 19,557 +100 116.75 P 6,623 UNCH
JAN18 5Y NOTE 117.00 C 32,769 -38 117.00 P 8,297 UNCH
MAR18 5Y NOTE 116.75 C 2,700 +30 116.75 P 4,510 UNCH
MAR18 5Y NOTE 117.00 C 4,348 +346 117.00 P 3,255 UNCH
JAN18 2Y NOTE 107.00 C 0 UNCH 107.00 P 2,320 UNCH
JAN18 2Y NOTE 107.12 C 563 UNCH 107.12 P 1,965 UNCH
MAR18 2Y NOTE 107.00 C 0 UNCH 107.00 P 51,431 +19
MAR18 2Y NOTE 107.12 C 443 UNCH 107.12 P 10,649 +94
DEC17 EURODLR 98.50 C 464,064 -10,084 98.50 P 500,173 -1,499
DEC17 EURODLR 98.62 C 741,638 UNCH 98.62 P 210,686 UNCH
JAN18 EURODLR 98.50 C 159,092 UNCH 98.50 P 18,353 UNCH
JAN18 EURODLR 98.62 C 245,189 UNCH 98.62 P 0 UNCH
DEC18 1Y-MIDC 98.12 C 253,581 -10,028 98.12 P 280,286 UNCH
DEC18 1Y-MIDC 98.25 C 259,813 UNCH 98.25 P 169,630 UNCH
DEC19 2Y-MIDC 97.87 C 121,558 UNCH 97.88 P 126,298 -3,574
DEC19 2Y-MIDC 98.00 C 143,134 -2,836 98.00 P 186,879 -5,300
DEC20 3Y-MIDC 97.75 C 78,874 +1,716 97.75 P 124,665 -3,900
DEC20 3Y-MIDC 97.87 C 75,827 UNCH 97.87 P 79,365 -5,825
PUT/CALL RATIO FOR VOLUME CLEARED:
JAN18 10Y NOTE PUT/CALL RATIO -- 1.03 (85,900 PUTS VS. 82,999 CALLS)
MAR18 10Y NOTE PUT/CALL RATIO -- 1.86 (35,808 PUTS VS. 19,244 CALLS)
JAN18 5Y NOTE PUT/CALL RATIO -- 0.32 (4,850 PUTS VS. 15,154 CALLS)
MAR18 5Y NOTE PUT/CALL RATIO -- 1.03 (3,200 PUTS VS. 3,157 CALLS)
JAN18 2Y NOTE PUT/CALL RATIO -- 0.00 (0 PUTS VS. 70 CALLS)
MAR18 2Y NOTE PUT/CALL RATIO -- 78.5 (157 PUTS VS. 2 CALLS)
DEC17 EURODLRS PUT/CALL RATIO -- 2.37 (80,632 PUTS VS. 34,000 CALLS)
JAN18 EURODLRS PUT/CALL RATIO -- 2.79 (14,843 PUTS VS. 5,300 CALLS)
DEC18 1Y-MIDCRVE PUT/CALL RATIO -- 1.81 (50,357 PUTS VS. 27,750 CALLS)
DEC19 2Y-MIDCRVE PUT/CALL RATIO -- 18.6 (39,128 PUTS VS. 2,100 CALLS)
DEC20 3Y-MIDCRVE PUT/CALL RATIO -- 0.77 (2,701 PUTS VS. 3,500 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
11:45 38.43 50.78 50.58 54.74 66.00 72.11
10:15 38.54 51.54 50.79 54.95 66.07 72.14
9:00 38.70 52.34 51.04 55.32 66.07 72.16
Fri Open 39.05 52.35 51.21 55.40 66.14 72.06
Thu 3:00 38.77 52.21 50.97 55.11 66.12 72.03
Thu Open 38.98 52.87 51.03 55.17 66.42 72.45
Wed 3:00 38.89 53.37 51.14 55.48 66.91 72.56
Wed Open 38.98 53.62 51.16 55.45 67.16 72.90
Tue 3:00 38.94 54.26 51.18 55.50 67.40 73.24
Tue Open 38.71 54.57 51.17 55.53 67.99 73.83
Mon 3:00 38.25 53.90 51.10 55.76 67.62 73.76
Mon Open 38.42 54.44 51.74 56.26 68.34 73.59
Fri 3:00 38.54 54.02 52.18 56.95 68.63 74.24
Fri Open 37.69 51.20 50.37 54.93 67.83 73.99
--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.