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GOLD

A Touch Firmer In Asia

JGBS AUCTION

PREVIEW:‌ 20-Year Supply Due

JGBS

Modest Rally, 20-Year Supply Eyed

     
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
            
             USH    USJ     TYH    TYJ     FVH    FVJ     EDG     EDH
10:45       6.23%  6.36%   3.35%  3.49%   2.10%  2.25%   8.45%   6.51%
9:30        6.12%  6.42%   3.32%  3.49%   2.19%  2.35%   7.83%   6.42%
MON OPEN    6.11%  6.46%   3.31%  3.50%   2.19%  2.35%   7.71%   6.33%
FRI 3:00    6.12%  6.48%   3.26%  3.52%   2.19%  2.35%   7.33%   5.98%
FRI OPEN    6.39%  7.05%   3.34%  3.41%   2.23%  2.29%   6.90%   6.11%
THU 3:00    6.36%  7.10%   3.40%  3.37%   2.12%  2.25%   6.60%   6.05%
THU OPEN    6.37%  6.44%   3.46%  3.57%   2.20%  2.35%   8.31%   6.33%
WED 3:30    6.11%  6.86%   3.38%  3.66%   2.26%  2.39%   10.14%  6.27%
WED OPEN    6.15%  6.44%   3.44%  3.61%   2.26%  2.38%   9.11%   7.45%
TUE 3:00    6.17%  6.34%   3.50%  3.79%   2.30%  2.34%   8.81%   7.00%
MON 3:00    6.31%  5.76%   3.45%  3.47%   2.36%  2.41%   8.35%   8.16%
MON OPEN    6.22%  6.12%   3.56%  3.50%   2.35%  2.37%   9.72%   8.94%
LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE
MAR19 10Y NOTE  122.50 C  106,968      +39   106.50 P   97,647    UNCH
APR19 10Y NOTE  124.00 C   28,800     +102   121.50 P   33,131  +9,687
MAR19 5Y NOTE   115.50 C   34,879   -3,395   103.75 P  284,211    UNCH
APR19 5Y NOTE   116.50 C   11,760     UNCH   114.00 P   14,664  +6,206
MAR19 2Y NOTE   106.12 C    7,171      +58   105.62 P    8,781    UNCH
APR19 2Y NOTE   106.12 C      717       +1   103.75 P    3,022    UNCH
FEB19 EURODLR    97.37 C   41,513     UNCH    97.00 P   84,387    UNCH
MAR19 EURODLR    97.37 C  356,975   -1,403    97.00 P  890,586    UNCH
MAR19 1Y-MIDC    97.37 C  185,437     +350    96.62 P  790,236    UNCH
MAR20 2Y-MIDC    97.50 C  103,171     +871    96.62 P  220,789    UNCH
MAR21 3Y-MIDC    97.00 C   60,658     UNCH    97.00 P   63,850    UNCH
NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE
MAR19 10Y NOTE  121.50 C   41,584     -568   121.50 P   64,880  +3,960
MAR19 10Y NOTE  122.00 C   66,711   -5,186   122.00 P   42,555  +2,655
APR19 10Y NOTE  121.50 C    6,941     -213   121.50 P   33,131  +9,687
APR19 10Y NOTE  122.00 C   13,956   +1,427   122.00 P   20,001  +1,360
MAR19 5Y NOTE   114.00 C   17,392       -1   114.00 P   35,410    +357
MAR19 5Y NOTE   114.25 C   26,321       +8   114.25 P   67,185  -1,568
APR19 5Y NOTE   114.00 C    1,622       +1   114.00 P   14,664  +6,206
APR19 5Y NOTE   114.25 C    2,154       +5   114.25 P    3,035  +1,444
MAR19 2Y NOTE   105.87 C    2,768     UNCH   105.87 P    3,569    +358
MAR19 2Y NOTE   106.00 C    4,651     -613   106.00 P    4,702    +585
APR19 2Y NOTE   105.87 C        4     UNCH   105.87 P        7    UNCH
APR19 2Y NOTE   106.00 C      606     UNCH   106.00 P      372    UNCH
FEB19 EURODLR    97.25 C   35,477     UNCH    97.25 P   67,190      +1
FEB19 EURODLR    97.37 C   41,513     UNCH    97.37 P    5,470    UNCH
MAR19 EURODLR    97.25 C  335,537     -241    97.25 P  253,068  -1,500
MAR19 EURODLR    97.37 C  356,975   -1,403    97.37 P  119,619    UNCH
MAR20 1Y-MIDC    97.37 C  185,437     +350    97.37 P  104,459  +4,683
MAR20 1Y-MIDC    97.50 C  168,478     +400    97.50 P   39,083     +50
MAR21 2Y-MIDC    97.50 C  103,171     +871    97.50 P   55,758  +2,598
MAR21 2Y-MIDC    97.62 C   89,151   +1,050    97.62 P   20,257    UNCH
MAR22 3Y-MIDC    97.50 C   43,183     +812    97.50 P   14,732    +212
MAR22 3Y-MIDC    97.62 C   41,408      -51    97.62 P      850    UNCH
PUT/CALL RATIO FOR VOLUME CLEARED:
MAR19 10Y NOTE PUT/CALL RATIO  -- 0.45 (93,855 PUTS VS. 207,489 CALLS)
APR19 10Y NOTE PUT/CALL RATIO  -- 1.72 (35,770 PUTS VS. 20,746 CALLS)
MAR19 5Y NOTE PUT/CALL RATIO   -- 0.61 (37,411 PUTS VS. 61,121 CALLS)
APR19 5Y NOTE PUT/CALL RATIO   -- 9.11 (16,384 PUTS VS. 1,890 CALLS)
MAR19 2Y NOTE PUT/CALL RATIO   -- 3.08 (3,755 PUTS VS. 1,212 CALLS)
APR19 2Y NOTE PUT/CALL RATIO   -- 0.37 (100 PUTS VS. 269 CALLS)
FEB19 EURODLRS PUT/CALL RATIO  -- 1.00 (4 PUTS VS. 4 CALLS)
MAR19 EURODLRS PUT/CALL RATIO  -- 0.30 (6,000 PUTS VS. 20,001 CALLS)
MAR20 1Y-MIDCRVE PUT/CALL RATIO-- 11.3 (154,921 PUTS VS. 13,750 CALLS)
MAR21 2Y-MIDCRVE PUT/CALL RATIO-- 1.81 (39,215 PUTS VS. 21,650 CALLS)
MAR22 3Y-MIDCRVE PUT/CALL RATIO-- 43.8 (52,659 PUTS VS. 1,210 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
10:45       48.25    52.11    57.00    55.25    65.53     74.34
9:30        48.22    52.07    56.83    55.07    65.52     74.34
Mon Open    48.11    52.05    56.71    55.01    65.51     74.33
Fri 3:00    47.83    52.20    56.02    54.09    65.48     74.26
Fri Open    49.13    52.33    56.44    54.27    65.39     74.19
Thu 3:00    48.93    52.08    56.55    54.24    65.35     74.04
Thu Open    50.05    51.87    57.11    55.01    65.99     74.51
Wed 3:00    51.73    51.84    57.72    55.39    66.58     74.84
Wed Open    52.92    52.59    58.48    56.07    66.87     74.96
Tue 3:00    53.00    52.92    58.70    56.16    66.93     75.05
Mon 3:00    53.50    53.02    58.97    56.46    67.36     75.32
Mon Open    54.42    54.64    59.81    57.21    67.66     75.62
--MNI Chicago Bureau; tel: +1 312-431-0089; email: bill.sokolis@marketnews.com
[TOPICS: MTABLE,M$U$$$,M$$FI$,MN$FI$]
MNI Chicago Bureau | +1 312-431-0089 | bill.sokolis@marketnews.com
MNI Chicago Bureau | +1 312-431-0089 | bill.sokolis@marketnews.com