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Free AccessMNI BRIEF: China November PMI Rises Further Above 50
MNI US Macro Weekly: Politics To The Fore
US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JAN 30
OPEN INTEREST NOT UPDATED, REFLECTS MONDAY OPEN
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USH USJ TYH TYJ FVH FVJ EDG EDH
12:30 6.10% 6.12% 3.53% 3.61% 2.31% 2.27% 7.95% 7.11%
10:45 6.10% 6.26% 3.44% 3.65% 2.30% 2.36% 8.24% 7.08%
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%
FRI 3:00 5.04% 5.30% 3.14% 3.30% 2.23% N/A 9.12% 8.32%
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
MAR19 10Y NOTE 127.00 C 91,072 +565 121.00 P 101,735 +2,884
APR19 10Y NOTE 124.00 C 21,676 +9,437 120.50 P 17,766 +171
MAR19 5Y NOTE 115.50 C 38,255 +322 103.75 P 284,111 UNCH
APR19 5Y NOTE 116.50 C 11,760 UNCH 113.25 P 3,842 UNCH
MAR19 2Y NOTE 106.12 C 7,114 UNCH 105.62 P 8,781 UNCH
APR19 2Y NOTE 106.12 C 701 +1 103.75 P 3,022 UNCH
FEB19 EURODLR 97.37 C 41,513 +992 97.00 P 84,387 UNCH
MAR19 EURODLR 97.37 C 351,610 -19,765 97.00 P 885,881 UNCH
MAR19 1Y-MIDC 97.37 C 179,306 -4,950 96.62 P 790,986 UNCH
MAR20 2Y-MIDC 97.50 C 107,984 +927 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 42,699 +1,178 121.50 P 55,208 -2,537
MAR19 10Y NOTE 122.00 C 73,186 +234 122.00 P 39,256 +333
APR19 10Y NOTE 121.50 C 6,944 +4 121.50 P 16,794 +912
APR19 10Y NOTE 122.00 C 13,128 +1,238 122.00 P 11,359 +1,200
MAR19 5Y NOTE 114.00 C 17,393 UNCH 114.00 P 35,862 -313
MAR19 5Y NOTE 114.25 C 27,763 +813 114.25 P 55,256 +562
APR19 5Y NOTE 114.00 C 1,620 UNCH 114.00 P 3,922 +191
APR19 5Y NOTE 114.25 C 2,149 +1 114.25 P 2,039 +611
MAR19 2Y NOTE 105.87 C 2,769 UNCH 105.87 P 4,795 -1,204
MAR19 2Y NOTE 106.00 C 5,532 -44 106.00 P 2,354 +40
APR19 2Y NOTE 105.87 C 4 UNCH 105.87 P 7 UNCH
APR19 2Y NOTE 106.00 C 506 +400 106.00 P 672 +400
FEB19 EURODLR 97.25 C 35,477 UNCH 97.25 P 67,189 UNCH
FEB19 EURODLR 97.37 C 41,513 +992 97.37 P 5,470 UNCH
MAR19 EURODLR 97.25 C 334,378 UNCH 97.25 P 250,818 UNCH
MAR19 EURODLR 97.37 C 351,610 -19,765 97.37 P 120,453 -3
MAR20 1Y-MIDC 97.37 C 179,306 -4,950 97.37 P 101,733 +250
MAR20 1Y-MIDC 97.50 C 166,709 +625 97.50 P 32,649 UNCH
MAR21 2Y-MIDC 97.50 C 107,984 +927 97.50 P 57,990 UNCH
MAR21 2Y-MIDC 97.62 C 79,650 -11,805 97.62 P 17,257 -81
MAR22 3Y-MIDC 97.50 C 38,771 +1,735 97.50 P 14,520 -7,000
MAR22 3Y-MIDC 97.62 C 40,183 +9,750 97.62 P 600 UNCH
PUT/CALL RATIO FOR VOLUME CLEARED:
MAR19 10Y NOTE PUT/CALL RATIO -- 0.65 (50,965 PUTS VS. 77,244 CALLS)
APR19 10Y NOTE PUT/CALL RATIO -- 0.21 (10,774 PUTS VS. 48,879 CALLS)
MAR19 5Y NOTE PUT/CALL RATIO -- 0.60 (10,633 PUTS VS. 17,576 CALLS)
APR19 5Y NOTE PUT/CALL RATIO -- 1.57 (3,304 PUTS VS. 2,179 CALLS)
MAR19 2Y NOTE PUT/CALL RATIO -- 79.8 (4,153 PUTS VS. 52 CALLS)
APR19 2Y NOTE PUT/CALL RATIO -- 1.22 (550 PUTS VS. 451 CALLS)
FEB19 EURODLRS PUT/CALL RATIO -- 0.00 (0 PUTS VS. 4,314 CALLS)
MAR19 EURODLRS PUT/CALL RATIO -- 0.00 (157 PUTS VS. 57,882 CALLS)
MAR20 1Y-MIDCRVE PUT/CALL RATIO-- 0.78 (23,863 PUTS VS. 30,500 CALLS)
MAR21 2Y-MIDCRVE PUT/CALL RATIO-- 3.28 (76,324 PUTS VS. 23,200 CALLS)
MAR22 3Y-MIDCRVE PUT/CALL RATIO-- 0.16 (4,000 PUTS VS. 23,680 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
12:30 52.40 52.12 58.03 55.63 66.66 74.89
10:45 52.53 52.41 58.18 55.77 66.78 74.96
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
FRI 3:00 54.25 54.00 59.85 57.14 67.57 75.69
--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.