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Free AccessUS$ Corporate Supply Pipeline
US Treasury Auction Calendar
US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JAN 23
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USG USH TYG TYH FVG FVH EDG EDH
WED 1500 7.97% 7.03% 3.90% 3.60% 2.22% 2.35% 9.95% 10.60%
WED OPEN 8.23% 7.00% 4.07% 3.52% 2.20% 2.35% 9.25% 10.05%
TUE 1500 8.04% 7.02% 4.05% 3.65% 2.39% 2.23% 9.10% 10.55%
TUE OPEN 7.45% 6.76% 3.62% 3.48% 2.17% 2.15% 9.18% 10.95%
FRI 1500 6.10% 6.72% 2.92% 3.40% 1.79% 2.09% 8.85% 10.25%
FRI OPEN 6.43% 6.76% 2.95% 3.43% 1.76% 2.13% 8.45% 9.70%
THU 1500 5.90% 6.76% 2.90% 3.55% 1.82% 2.16% 9.95% 10.38%
THU OPEN 5.93% 6.75% 2.94% 3.50% 1.79% 2.15% 9.07% 10.05%
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
FEB20 10Y NOTE 129.00 C 122,020 +5,386 127.00 P 107,074 +6
MAR20 10Y NOTE 131.50 C 176,899 -5,278 128.00 P 132,674 +8,479
FEB20 5Y NOTE 119.00 C 61,333 +5,421 118.00 P 37,409 UNCH
MAR20 5Y NOTE 119.00 C 46,256 +4,007 111.00 P 252,174 UNCH
FEB20 2Y NOTE 108.00 C 6,100 UNCH 107.12 P 24,223 UNCH
MAR20 2Y NOTE 108.00 C 14,996 +1 105.75 P 55,165 UNCH
FEB20 EURODLR 99.12 C 164,000 UNCH 98.25 P 133,255 +3,354
MAR20 EURODLR 98.37 C 526,783 -3,605 98.25 P 511,103 -4,842
MAR21 1Y-MIDC 99.75 C 247,313 UNCH 98.37 P 83,495 -1,700
MAR22 2Y-MIDC 98.25 C 79,246 UNCH 98.25 P 109,793 UNCH
MAR23 3Y-MIDC 98.12 C 53,469 UNCH 98.12 P 39,484 UNCH
NEAREST ATM: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
FEB20 10Y NOTE 129.00 C 122,020 +5,386 129.00 P 95,798 +5,421
FEB20 10Y NOTE 129.50 C 73,113 -4,871 129.50 P 27,754 +2,962
MAR20 10Y NOTE 129.00 C 48,011 +6,653 129.00 P 87,663 +4,520
MAR20 10Y NOTE 129.50 C 49,426 +8,120 129.50 P 30,454 +8,453
FEB20 5Y NOTE 119.00 C 61,333 +5,421 119.00 P 25,518 +8,001
FEB20 5Y NOTE 119.25 C 57,999 -6,890 119.25 P 2,522 +260
MAR20 5Y NOTE 119.00 C 46,256 +4,007 119.00 P 16,361 +1,079
MAR20 5Y NOTE 119.25 C 38,731 +2,765 119.25 P 6,876 +692
FEB20 2Y NOTE 107.75 C 5,454 -432 107.75 P 6,331 UNCH
FEB20 2Y NOTE 107.87 C 4,121 -151 107.87 P 2,984 UNCH
MAR20 2Y NOTE 107.75 C 1,627 +50 107.75 P 5,195 +385
MAR20 2Y NOTE 107.87 C 5,084 +100 107.87 P 4,679 UNCH
FEB20 EURODLR 98.25 C 68,745 -400 98.25 P 133,255 +3,354
FEB20 EURODLR 98.37 C 109,901 -1,341 98.37 P 50,083 UNCH
MAR20 EURODLR 98.25 C 284,338 -859 98.25 P 511,103 -4,842
MAR20 EURODLR 98.37 C 526,783 -3,605 98.37 P 241,190 -1,750
MAR21 1Y-MIDC 98.37 C 118,087 UNCH 98.37 P 83,495 -1,700
MAR21 1Y-MIDC 98.50 C 159,834 -525 98.50 P 57,714 +1,150
MAR22 2Y-MIDC 98.37 C 31,398 UNCH 98.37 P 45,345 UNCH
MAR22 2Y-MIDC 98.50 C 38,133 UNCH 98.50 P 29,255 UNCH
MAR23 3Y-MIDC 98.37 C 10,870 UNCH 98.37 P 15,652 UNCH
MAR23 3Y-MIDC 98.50 C 45,739 UNCH 98.50 P 7,582 UNCH
PUT/CALL RATIO FOR VOLUME CLEARED:
FEB20 10Y NOTE PUT/CALL RATIO -- 1.03 (120,762 PUTS VS. 116,406 CALLS)
MAR20 10Y NOTE PUT/CALL RATIO -- 1.30 (171,631 PUTS VS. 131,259 CALLS)
FEB20 5Y NOTE PUT/CALL RATIO -- 1.15 (23,740 PUTS VS. 20,314 CALLS)
MAR20 5Y NOTE PUT/CALL RATIO -- 0.98 (24,475 PUTS VS. 24,870 CALLS)
FEB20 2Y NOTE PUT/CALL RATIO -- 0.00 (0 PUTS VS. 1,205 CALLS)
MAR20 2Y NOTE PUT/CALL RATIO -- 1.55 (3,153 PUTS VS. 2,072 CALLS)
FEB20 EURODLRS PUT/CALL RATIO -- 3.55 (32,345 PUTS VS. 9,490 CALLS)
FEB20 EURODLRS PUT/CALL RATIO -- 0.72 (9,775 PUTS VS. 13,434 CALLS)
MAR21 1Y-MIDCRVE PUT/CALL RATIO -- 0.91 (14,200 PUTS VS. 15,683 CALLS)
MAR22 2Y-MIDCRVE PUT/CALL RATIO -- 0.33 (50 PUTS VS. 150 CALLS)
MAR23 3Y-MIDCRVE PUT/CALL RATIO -- 1.00 (1,000 PUTS VS. 1,000 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 1500 46.72 57.41 58.32 61.20 63.41 64.83
Wed Open 47.89 58.03 58.36 61.49 63.49 64.86
Tue 1500 47.26 58.95 58.58 61.55 63.71 64.80
Tue Open 46.31 56.22 57.26 60.41 63.23 64.57
Fri 1500 46.45 55.47 57.65 60.73 63.45 64.61
Fri Open 46.50 55.58 57.62 60.60 63.36 64.75
Thu 1500 47.07 55.88 57.68 60.77 63.42 64.86
Thu Open 47.18 55.69 58.16 61.27 63.64 64.99
--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
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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.