-
Policy
Policy
Exclusive interviews with leading policymakers that convey the true policy message that impacts markets.
LATEST FROM POLICY: -
EM Policy
EM Policy
Exclusive interviews with leading policymakers that convey the true policy message that impacts markets.
LATEST FROM EM POLICY: -
G10 Markets
G10 Markets
Real-time insight on key fixed income and fx markets.
Launch MNI PodcastsFixed IncomeFI Markets AnalysisCentral Bank PreviewsFI PiFixed Income Technical AnalysisUS$ Credit Supply PipelineGilt Week AheadGlobal IssuanceEurozoneUKUSDeep DiveGlobal Issuance CalendarsEZ/UK Bond Auction CalendarEZ/UK T-bill Auction CalendarUS Treasury Auction CalendarPolitical RiskMNI Political Risk AnalysisMNI Political Risk - US Daily BriefMNI Political Risk - The week AheadElection Previews -
Emerging Markets
Emerging Markets
Real-time insight of emerging markets in CEMEA, Asia and LatAm region
-
Commodities
Commodities
Real-time insight of oil & gas markets
-
Credit
Credit
Real time insight of credit markets
-
Data
-
Global Macro
Global Macro
Actionable insight on monetary policy, balance sheet and inflation with focus on global issuance. Analysis on key political risk impacting the global markets.
Global MacroDM Central Bank PreviewsDM Central Bank ReviewsEM Central Bank PreviewsEM Central Bank ReviewsBalance Sheet AnalysisData AnalysisEurozone DataUK DataUS DataAPAC DataInflation InsightEmployment InsightGlobal IssuanceEurozoneUKUSDeep DiveGlobal Issuance Calendars EZ/UK Bond Auction Calendar EZ/UK T-bill Auction Calendar US Treasury Auction Calendar Chart Packs -
About Us
To read the full story
Sign up now for free trial access to this content.
Please enter your details below.
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.
Real-time Actionable Insight
Get the latest on Central Bank Policy and FX & FI Markets to help inform both your strategic and tactical decision-making.
Free AccessUS TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JAN 10
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USG USH TYG TYH FVG FVH EDF EDH
FRI 1500 6.63% 6.96% 3.29% 3.54% 1.92% 2.18% N/A 10.75%
1345 6.62% 7.00% 3.32% 3.53% 1.96% 2.19% N/A 11.15%
1215 6.85% 7.10% 3.39% 3.62% 2.04% 2.23% N/A 10.75%
1100 6.87% 7.07% 3.44% 3.60% 2.06% 2.22% N/A 10.97%
0930 6.87% 7.12% 3.67% 3.64% 2.02% 2.26% N/A 10.95%
FRI OPEN 7.27% 7.27% 3.75% 3.80% 2.25% 2.35% N/A 11.00%
THU 1500 7.33% 7.32% 3.77% 3.80% 2.29% 2.39% N/A 11.07%
THU OPEN 7.60% 7.50% 3.94% 3.91% 2.39% 2.45% N/A 10.45%
WED 1500 7.82% 7.85% 4.02% 4.04% 2.51% 2.53% N/A 10.69%
WED OPEN 8.01% 7.92% 4.01% 4.07% 2.55% 2.55% N/A 12.65%
TUE 1500 7.85% 7.80% 4.00% 4.10% 2.47% 2.52% N/A 13.54%
TUE OPEN 8.02% 7.90% 4.09% 4.19% 2.55% 2.55% N/A 13.15%
MON 1500 8.00% 7.88% 4.10% 4.14% 2.50% 2.55% N/A 13.05%
MON OPEN 7.80% 7.86% 3.96% 4.04% 2.48% 2.50% N/A 12.70%
FRI 1500 7.80% 7.86% 3.96% 4.04% 2.48% 2.50% N/A 12.70%
FRI OPEN 8.08% 7.95% 4.04% 4.11% 2.52% 2.53% 17.35% 11.95%
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
FEB20 10Y NOTE 129.50 C 210,627 -3,407 127.00 P 116,424 -4,047
MAR20 10Y NOTE 131.50 C 173,803 +112,989 128.00 P 79,815 +5,026
FEB20 5Y NOTE 119.25 C 59,449 -940 118.00 P 38,052 +4,325
MAR20 5Y NOTE 119.00 C 32,161 +1 111.00 P 252,174 UNCH
FEB20 2Y NOTE 107.75 C 5,730 -965 107.12 P 24,223 UNCH
MAR20 2Y NOTE 108.00 C 14,025 +525 105.75 P 55,165 UNCH
JAN20 EURODLR 98.50 C 126,857 UNCH 98.12 P 105,555 UNCH
MAR20 EURODLR 98.50 C 485,309 -2,420 98.25 P 528,043 -18,524
MAR21 1Y-MIDC 99.75 C 247,313 UNCH 98.37 P 89,330 +3,060
MAR22 2Y-MIDC 98.25 C 79,246 UNCH 97.37 P 96,133 UNCH
MAR23 3Y-MIDC 98.12 C 53,469 UNCH 98.12 P 35,674 -413
NEAREST ATM: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
FEB20 10Y NOTE 129.00 C 126,695 +2,366 129.00 P 38,226 +889
FEB20 10Y NOTE 129.50 C 210,627 -3,407 129.50 P 25,883 +98
MAR20 10Y NOTE 129.00 C 35,800 -362 129.00 P 34,410 -1,228
MAR20 10Y NOTE 129.50 C 31,439 +6,397 129.50 P 11,064 -407
FEB20 5Y NOTE 119.00 C 49,257 -2,905 119.00 P 15,941 -447
FEB20 5Y NOTE 119.25 C 59,449 -940 119.25 P 2,286 -25
MAR20 5Y NOTE 119.00 C 32,161 +1 119.00 P 11,472 -11
MAR20 5Y NOTE 119.25 C 28,821 +12,918 119.25 P 6,185 -1
FEB20 2Y NOTE 107.75 C 5,730 -965 107.75 P 8,165 -2,139
FEB20 2Y NOTE 107.87 C 2,858 UNCH 107.87 P 2,993 -197
MAR20 2Y NOTE 107.75 C 1,132 UNCH 107.75 P 3,512 -250
MAR20 2Y NOTE 107.87 C 3,042 UNCH 107.87 P 4,507 UNCH
JAN20 EURODLR 98.25 C 62,328 -3,122 98.25 P 77,817 +165
JAN20 EURODLR 98.37 C 75,797 +16 98.37 P 25,285 UNCH
MAR20 EURODLR 98.25 C 278,404 -3,300 98.25 P 528,043 -18,524
MAR20 EURODLR 98.37 C 477,835 -525 98.37 P 248,484 -1,000
MAR21 1Y-MIDC 98.37 C 73,321 UNCH 98.37 P 89,330 +3,060
MAR21 1Y-MIDC 98.50 C 64,014 +120 98.50 P 58,249 +550
MAR22 2Y-MIDC 98.37 C 31,398 UNCH 98.37 P 33,504 UNCH
MAR22 2Y-MIDC 98.50 C 38,983 UNCH 98.50 P 32,086 UNCH
MAR23 3Y-MIDC 98.37 C 9,945 UNCH 98.37 P 14,302 UNCH
MAR23 3Y-MIDC 98.50 C 46,239 UNCH 98.50 P 7,792 UNCH
PUT/CALL RATIO FOR VOLUME CLEARED:
FEB20 10Y NOTE PUT/CALL RATIO -- 1.75 (126,141 PUTS VS. 71,822 CALLS)
MAR20 10Y NOTE PUT/CALL RATIO -- 0.27 (107,672 PUTS VS. 383,376 CALLS)
FEB20 5Y NOTE PUT/CALL RATIO -- 0.45 (18,843 PUTS VS. 40,243 CALLS)
MAR20 5Y NOTE PUT/CALL RATIO -- 0.81 (31,189 PUTS VS. 38,050 CALLS)
FEB20 2Y NOTE PUT/CALL RATIO -- 4.28 (10,701 PUTS VS. 2,546 CALLS)
MAR20 2Y NOTE PUT/CALL RATIO -- 0.46 (1,865 PUTS VS. 3,945 CALLS)
JAN20 EURODLRS PUT/CALL RATIO -- 0.51 (2,685 PUTS VS. 5,172 CALLS)
MAR20 EURODLRS PUT/CALL RATIO -- 1.17 (112,443 PUTS VS. 95,266 CALLS)
MAR21 1Y-MIDCRVE PUT/CALL RATIO -- 0.40 (7,324 PUTS VS. 17,951 CALLS)
MAR22 2Y-MIDCRVE PUT/CALL RATIO -- 0.41 (20,814 PUTS VS. 50,460 CALLS)
MAR23 3Y-MIDCRVE PUT/CALL RATIO -- 8.01 (3,194 PUTS VS. 410 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 49.04 59.21 60.16 62.64 63.75 64.77
1345 49.00 59.61 60.55 62.83 63.71 64.67
1215 48.82 60.38 60.95 63.19 63.64 64.50
1100 48.83 60.26 60.94 63.17 63.70 64.49
0930 49.52 60.30 61.17 63.42 63.97 64.50
Fri Open 50.20 63.20 62.31 64.60 64.75 64.85
Thu 1500 50.25 63.28 62.44 64.69 64.77 64.86
Thu Open 52.41 66.64 64.16 66.21 65.43 65.23
Wed 1500 51.91 66.64 64.21 66.15 65.46 65.32
Wed Open 54.05 67.05 65.05 67.00 65.30 65.10
Tue 1500 53.90 68.70 64.96 66.58 65.31 65.11
Tue Open 54.08 68.19 65.24 66.97 65.13 64.90
Mon 1500 54.28 67.80 65.73 67.38 64.78 64.80
Mon Open 49.77 65.86 64.41 66.46 64.01 64.39
Fri 1500 49.77 65.86 64.41 66.46 64.01 64.39
Fri Open 47.70 66.41 63.95 66.40 63.80 64.23
--MNI Chicago Bureau; tel: +1 312-431-0089; email: bill.sokolis@marketnews.com
[TOPICS: MTABLE,M$U$$$,M$$FI$,MN$FI$]
To read the full story
Sign up now for free trial access to this content.
Please enter your details below.
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.