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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 JAN 16
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USG USH TYG TYH FVG TUH EDG EDH
9:00 7.14% 7.07% 3.18% 3.39% 1.91% 1.93% 12.00% 13.05%
TUE OPEN 7.23% 7.21% 3.22% 3.45% 1.94% 1.98% 11.10% 13.41%
THU 3:00 7.28% 7.40% 3.42% 3.48% 1.91% 2.02% N/A 13.67%
THU OPEN 7.36% 7.43% 3.50% 3.52% 2.00% 2.04% N/A 13.63%
WED 3:00 7.57% 7.54% 3.53% 3.49% 2.04% 2.03% N/A 13.10%
WED OPEN 7.80% 7.84% 3.78% 3.79% 2.15% 2.21% N/A 13.90%
TUE 3:00 7.31% 7.33% 3.26% 3.40% 1.89% 2.06% N/A 13.60%
TUE OPEN 7.17% 7.16% 3.24% 3.32% 1.85% 2.02% N/A 12.20%
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
FEB18 10Y NOTE 125.00 C 112,645 -531 123.00 P 97,499 -13,209
MAR18 10Y NOTE 126.00 C 106,482 +10,029 123.00 P 154,701 -6,354
FEB18 5Y NOTE 117.25 C 75,131 UNCH 115.50 P 44,890 -2,276
MAR18 5Y NOTE 116.25 C 21,204 +273 108.50 P 140,106 UNCH
FEB18 2Y NOTE 107.25 C 13,246 UNCH 106.87 P 30,590 UNCH
MAR18 2Y NOTE 107.38 C 20,745 UNCH 107.00 P 48,407 UNCH
FEB18 EURODLR 98.50 C 245,800 UNCH 98.12 P 285,298 -5,588
MAR18 EURODLR 98.50 C 489,553 +1,100 98.12 P 800,752 +7,619
MAR19 1Y-MIDC 98.25 C 215,751 UNCH 97.62 P 428,845 -20,249
MAR20 2Y-MIDC 98.50 C 145,426 UNCH 97.37 P 218,303 +69,386
MAR21 3Y-MIDC 98.12 C 63,218 UNCH 97.37 P 95,371 +7,885
NEAREST ATM: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
FEB18 10Y NOTE 123.50 C 41,877 +7,259 123.50 P 65,067 +152
FEB18 10Y NOTE 124.00 C 54,762 +8,182 124.00 P 51,267 -126
MAR18 10Y NOTE 123.50 C 38,693 +1,186 123.50 P 41,115 +24
MAR18 10Y NOTE 124.00 C 47,290 -220 124.00 P 41,897 +179
FEB18 5Y NOTE 115.75 C 22,108 -264 115.75 P 41,609 -1,394
FEB18 5Y NOTE 116.00 C 17,077 -457 116.00 P 20,233 +498
MAR18 5Y NOTE 115.75 C 7,317 +2,030 115.75 P 19,307 +122
MAR18 5Y NOTE 116.00 C 14,727 -1,024 116.00 P 8,569 +225
FEB18 2Y NOTE 107.00 C 2,884 -383 107.00 P 20,069 UNCH
FEB18 2Y NOTE 107.12 C 1,863 UNCH 107.12 P 3,849 UNCH
MAR18 2Y NOTE 107.00 C 4,533 +100 107.00 P 48,393 UNCH
MAR18 2Y NOTE 107.12 C 5,661 +1,133 107.12 P 19,443 UNCH
FEB18 EURODLR 98.50 C 245,800 UNCH 98.50 P 1,872 UNCH
FEB18 EURODLR 98.62 C 31,216 UNCH 98.62 P 0 UNCH
MAR18 EURODLR 98.50 C 489,553 +1,100 98.50 P 124,436 UNCH
MAR18 EURODLR 98.62 C 253,276 UNCH 98.62 P 28,813 UNCH
MAR19 1Y-MIDC 98.12 C 196,596 UNCH 98.12 P 62,124 -3,850
MAR19 1Y-MIDC 98.25 C 215,751 UNCH 98.25 P 35,781 -616
MAR20 2Y-MIDC 97.87 C 73,244 +2,000 97.87 P 51,374 -112
MAR20 2Y-MIDC 98.00 C 111,748 +956 98.00 P 73,233 +300
MAR21 3Y-MIDC 97.75 C 46,182 +300 97.75 P 25,729 UNCH
MAR21 3Y-MIDC 97.87 C 50,497 UNCH 97.87 P 33,372 UNCH
PUT/CALL RATIO FOR VOLUME CLEARED:
FEB18 10Y NOTE PUT/CALL RATIO -- 1.19 (148,019 PUTS VS. 124,302 CALLS)
MAR18 10Y NOTE PUT/CALL RATIO -- 3.02 (249,067 PUTS VS. 82,275 CALLS)
FEB18 5Y NOTE PUT/CALL RATIO -- 1.39 (43,250 PUTS VS. 30,966 CALLS)
MAR18 5Y NOTE PUT/CALL RATIO -- 1.24 (55,309 PUTS VS. 44,382 CALLS)
FEB18 2Y NOTE PUT/CALL RATIO -- 0.08 (354 PUTS VS. 4,053 CALLS)
MAR18 2Y NOTE PUT/CALL RATIO -- 3.00 (4,128 PUTS VS. 1,405 CALLS)
FEB18 EURODLRS PUT/CALL RATIO -- 0.88 (10,250 PUTS VS. 11,500 CALLS)
MAR18 EURODLRS PUT/CALL RATIO -- 0.32 (71,255 PUTS VS. 223,650 CALLS)
MAR19 1Y-MIDCRVE PUT/CALL RATIO -- 1.12 (135,848 PUTS VS. 12,000 CALLS)
MAR20 2Y-MIDCRVE PUT/CALL RATIO -- 15.2 (182,148 PUTS VS. 12,000 CALLS)
MAR21 3Y-MIDCRVE PUT/CALL RATIO -- 5.09 (15,870 PUTS VS. 3,100 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
9:00 39.84 53.30 50.14 54.89 63.69 68.04
Tue Open 40.03 53.47 50.24 54.99 63.78 68.04
Thu 3:00 40.78 53.09 50.85 54.97 63.96 68.29
Thu Open 40.98 53.69 51.23 55.29 64.22 68.41
Wed 3:00 41.22 54.99 51.93 56.10 64.51 68.48
Wed Open 41.59 54.82 51.77 55.75 64.60 68.35
Tue 3:00 40.25 52.27 49.78 53.83 63.74 68.22
Tue Open 39.76 50.32 49.02 53.03 63.53 68.11
--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.