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Free AccessMNI BRIEF: Canada Commits To Just One Of Three Fiscal Anchors
MNI POLITICAL RISK - Thune Eyes 'Deficit-Negative' Legislation
US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR FEB 26
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USJ USM TYJ TYM FVH FVJ EDH EDJ
WED OPEN 9.97% 8.92% 5.13% 4.65% 3.41% 3.11% 25.05% 48.45%
TUE 1500 10.29% 9.15% 5.36% 4.94% 3.52% 3.20% 24.85% 51.95%
TUE OPEN 10.08% 9.13% 5.30% 4.90% 3.45% 3.16% 21.40% 49.48%
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
APR20 10Y NOTE 132.00 C 97,245 -3,512 129.50 P 99,233 -6,261
JUN20 10Y NOTE 134.00 C 55,879 -225 128.50 P 68,776 -1,989
APR20 5Y NOTE 121.25 C 46,972 +840 119.50 P 90,483 +2,263
JUN20 5Y NOTE 121.50 C 14,603 +2,720 113.00 P 198,722 +112
APR20 2Y NOTE 108.75 C 5,000 UNCH 107.50 P 23,000 UNCH
JUN20 2Y NOTE 111.00 C 5,699 UNCH 106.50 P 41,091 -100
MAR20 EURODLR 98.50 C 561,774 -1,781 98.00 P 396,944 UNCH
APR20 EURODLR 98.62 C 180,446 -553 98.25 P 249,278 -2,000
MAR21 1Y-MIDC 99.75 C 235,547 UNCH 98.37 P 165,011 UNCH
MAR22 2Y-MIDC 98.25 C 71,920 -500 98.25 P 98,983 UNCH
MAR23 3Y-MIDC 98.12 C 53,469 UNCH 98.12 P 38,842 UNCH
NEAREST ATM: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
APR20 10Y NOTE 132.50 C 75,299 +17,407 132.50 P 19,110 +7,880
APR20 10Y NOTE 133.00 C 80,901 +6,482 133.00 P 14,732 +11,490
JUN20 10Y NOTE 132.50 C 19,559 +4,895 132.50 P 14,872 +10,584
JUN20 10Y NOTE 133.00 C 48,072 +1,817 133.00 P 10,556 +10,284
APR20 5Y NOTE 121.25 C 46,972 +840 121.25 P 5,472 +469
APR20 5Y NOTE 121.50 C 16,384 +580 121.50 P 3,100 +3,016
JUN20 5Y NOTE 121.25 C 8,350 +280 121.25 P 8,728 -20
JUN20 5Y NOTE 121.50 C 14,603 +2,720 121.50 P 5,743 +5,739
APR20 2Y NOTE 108.38 C 1,645 UNCH 108.38 P 215 +214
APR20 2Y NOTE 108.50 C 4,255 +10 108.50 P 0 UNCH
JUN20 2Y NOTE 108.38 C 150 UNCH 108.38 P 461 U+341
JUN20 2Y NOTE 108.50 C 1,738 UNCH 108.50 P 256 +221
MAR20 EURODLR 98.37 C 394,794 -28,229 98.37 P 154,714 -435
MAR20 EURODLR 98.50 C 561,774 -1,781 98.50 P 35,251 -561
APR20 EURODLR 98.50 C 99,540 -4,537 98.50 P 80,887 -896
APR20 EURODLR 98.62 C 180,446 -553 98.62 P 5,250 +250
MAR21 1Y-MIDC 98.75 C 124,810 +1,049 98.75 P 53,308 -3,276
MAR21 1Y-MIDC 98.88 C 97,696 -3,800 98.88 P 30,940 +6,489
MAR22 2Y-MIDC 98.88 C 33,294 -1,387 98.88 P 3,391 +1,167
MAR22 2Y-MIDC 99.00 C 21,970 -160 99.00 P 1,500 +1,500
MAR23 3Y-MIDC 98.88 C 17,095 -10 98.88 P 1,050 +250
MAR23 3Y-MIDC 99.00 C 45,758 -4,998 99.00 P 0 UNCH
PUT/CALL RATIO FOR VOLUME CLEARED:
MAR20 10Y NOTE PUT/CALL RATIO -- 1.14 (275,401 PUTS VS. 241,575 CALLS)
APR20 10Y NOTE PUT/CALL RATIO -- 1.94 (191,836 PUTS VS. 98,114 CALLS)
MAR20 5Y NOTE PUT/CALL RATIO -- 2.23 (38,237 PUTS VS. 17,851 CALLS)
APR20 5Y NOTE PUT/CALL RATIO -- 1.62 (57,543 PUTS VS. 35,950 CALLS)
MAP20 2Y NOTE PUT/CALL RATIO -- 5.70 (4,495 PUTS VS. 788 CALLS)
APR20 2Y NOTE PUT/CALL RATIO -- 7.01 (21,335 PUTS VS. 3,557 CALLS)
MAR20 EURODLRS PUT/CALL RATIO -- 0.09 (45,320 PUTS VS. 465,986 CALLS)
APR20 EURODLRS PUT/CALL RATIO -- 0.19 (20,358 PUTS VS. 107,300 CALLS)
MAR21 1Y-MIDCRVE PUT/CALL RATIO -- 0.15 (28,256 PUTS VS. 186,093 CALLS)
MAR22 2Y-MIDCRVE PUT/CALL RATIO -- 0.53 (3,542 PUTS VS. 6,622 CALLS)
MAR23 3Y-MIDCRVE PUT/CALL RATIO -- 0.31 (2,596 PUTS VS. 8,015 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
Wed Open 74.74 88.10 76.67 76.62 67.46 66.60
Tue 1500 77.10 89.38 77.51 77.40 67.84 67.28
Tue Open 74.58 90.02 76.76 78.25 68.59 67.97
--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.