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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 FEB 23
OPEN INTEREST LEVELS NOT UPDATED
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USH USJ TYH TYJ FVH TUJ EDH EDJ
FRI 3:00 N/A 8.65% N/A 4.54% N/A 3.05% 16.10% 14.60%
1:00 N/A 8.76% N/A 4.62% N/A 3.08% 15.90% 14.70%
11:30 N/A 8.60% N/A 4.52% N/A 3.00% 16.00% 14.20%
FRI OPEN N/A 8.50% N/A 4.47% N/A 2.97% 15.13% 14.65%
THU 3:00 10.09% 8.63% 4.81% 4.58% 2.33% 2.99% 15.80% 13.90%
THU OPEN 10.39% 8.50% 5.02% 4.43% 2.71% 2.86% 16.80% 15.70%
WED 3:00 11.03% 8.75% 5.56% 4.49% 3.16% 2.94% 16.10% 15.45%
WED OPEN 9.19% 8.34% 4.78% 4.32% 3.05% 2.89% 16.25% 12.58%
TUE 3:00 9.02% 8.34% 4.89% 4.36% 2.58% 2.89% 19.10% 14.20%
TUE OPEN 9.17% 8.39% 4.74% 4.41% 2.74% 2.85% 17.22% 13.10%
FRI 3:00 7.77% 8.21% 4.06% 4.38% 2.30% 2.83% 18.20% N/A
FRI OPEN 7.70% 8.38% 4.11% 4.46% 2.62% 2.81% 18.50% N/A
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
MAR18 10Y NOTE 126.00 C 121,296 UNCH 114.00 P 118,592 UNCH
APR18 10Y NOTE 122.50 C 69,882 +8,490 118.00 P 203,644 -327
MAR18 5Y NOTE 115.00 C 90,054 +9 108.50 P 140,106 UNCH
APR18 5Y NOTE 115.00 C 39,802 +1,449 111.50 P 23,865 UNCH
MAR18 2Y NOTE 106.87 C 67,109 UNCH 107.00 P 26,594 UNCH
APR18 2Y NOTE 107.12 C 13,970 UNCH 106.25 P 3,775 UNCH
MAR18 EURODLR 98.50 C 484,605 UNCH 98.25 P 301,872 UNCH
APR18 EURODLR 98.50 C 235,881 UNCH 98.00 P 270,386 UNCH
MAR19 1Y-MIDC 98.25 C 217,995 UNCH 97.50 P 281,175 -7,347
MAR20 2Y-MIDC 98.50 C 145,426 UNCH 97.25 P 202,213 UNCH
MAR21 3Y-MIDC 97.50 C 96,513 +9,242 97.37 P 91,800 UNCH
NEAREST ATM: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
MAR18 10Y NOTE 121.00 C 30,922 +4,237 121.00 P 76,086 +3,324
MAR18 10Y NOTE 121.50 C 59,400 -668 121.50 P 78,995 -564
APR18 10Y NOTE 120.00 C 16,331 +3,074 120.00 P 72,621 +3,708
APR18 10Y NOTE 120.50 C 62,407 -806 120.50 P 43,501 +301
MAR18 5Y NOTE 114.50 C 11,141 -25 114.50 P 34,788 +1,541
MAR18 5Y NOTE 114.75 C 21,860 +4,233 114.75 P 21,238 -11
APR18 5Y NOTE 114.25 C 11,931 +1,597 114.25 P 10,787 -6
APR18 5Y NOTE 114.50 C 38,571 +915 114.50 P 5,385 +1,115
MAR18 2Y NOTE 106.50 C 240 +75 106.50 P 6,598 -491
MAR18 2Y NOTE 106.62 C 3,195 -180 106.62 P 11,780 +140
APR18 2Y NOTE 106.38 C 1,307 UNCH 106.38 P 848 UNCH
APR18 2Y NOTE 106.50 C 4,093 -600 106.50 P 1,906 UNCH
MAR18 EURODLR 97.87 C 16,570 +1,750 97.87 P 203,845 +4,393
MAR18 EURODLR 98.00 C 66,107 +16,049 98.00 P 266,898 -2,450
APR18 EURODLR 97.75 C 2,250 +1,750 97.75 P 178,790 -250
APR18 EURODLR 97.87 C 68,612 -498 97.87 P 246,375 -2,015
MAR19 1Y-MIDC 97.38 C 8,533 UNCH 97.38 P 211,124 +7,634
MAR19 1Y-MIDC 97.50 C 110,005 +13,042 97.50 P 281,175 -7,347
MAR20 2Y-MIDC 97.00 C 10,024 +1,000 97.00 P 179,383 +1,778
MAR20 2Y-MIDC 97.12 C 14,195 +100 97.12 P 149,717 +580
MAR21 3Y-MIDC 96.87 C 0 UNCH 96.87 P 49,306 +200
MAR21 3Y-MIDC 97.00 C 8,850 UNCH 97.00 P 86,256 -1,100
PUT/CALL RATIO FOR VOLUME CLEARED:
MAR18 10Y NOTE PUT/CALL RATIO -- 1.66 (151,527 PUTS VS. 90,822 CALLS)
APR18 10Y NOTE PUT/CALL RATIO -- 0.77 (75,672 PUTS VS. 97,532 CALLS)
MAR18 5Y NOTE PUT/CALL RATIO -- 1.08 (36,988 PUTS VS. 34,129 CALLS
APR18 5Y NOTE PUT/CALL RATIO -- 0.65 (23,374 PUTS VS. 35,606 CALLS)
MAR18 2Y NOTE PUT/CALL RATIO -- 0.63 (1,892 PUTS VS. 3,071 CALLS)
APR18 2Y NOTE PUT/CALL RATIO -- 0.17 (2,839 PUTS VS. 16,386 CALLS)
MAR18 EURODLRS PUT/CALL RATIO -- 1.02 (129,530 PUTS VS. 126,212 CALLS)
Apr18 EURODLRS PUT/CALL RATIO -- 2.76 (59,512 PUTS VS. 21,526 CALLS)
MAR19 1Y-MIDCRVE PUT/CALL RATIO -- 4.80 (82,201 PUTS VS. 17,150 CALLS)
MAR20 2Y-MIDCRVE PUT/CALL RATIO -- 1.04 (7,630 PUTS VS. 7,360 CALLS)
MAR21 3Y-MIDCRVE PUT/CALL RATIO -- 0.61 (6,800 PUTS VS. 11,050 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
Fri 3:00 49.89 69.47 63.79 66.70 70.83 72.80
1:00 49.81 69.19 63.50 66.50 70.76 72.84
11:30 49.72 69.14 63.50 66.42 70.63 72.81
Fri Open 49.54 67.88 63.07 65.91 70.44 72.66
Thu 3:00 49.72 67.94 63.46 66.53 70.80 72.98
Thu Open 50.04 67.73 63.87 66.92 71.04 73.16
Wed 3:00 48.85 66.15 63.26 66.17 70.96 73.26
Wed Open 49.05 67.50 63.78 67.20 71.60 73.61
Tue 3:00 49.18 67.90 62.81 67.32 72.04 73.79
Tue Open 49.97 69.49 63.50 68.30 73.38 74.96
Fri 3:00 50.14 69.28 64.10 69.16 73.80 75.16
Fri Open 51.21 72.65 66.28 72.24 75.15 75.69
--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.