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Free AccessMNI: PBOC Net Injects CNY28.8 Bln via OMO Thursday
MNI BRIEF: Ontario To Cut U.S. Energy Flows When Tariffs Hit
MNI BRIEF: Aussie Labour Market Tightens, Unemployment At 3.9%
US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JAN 31
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USH USJ TYH TYJ FVH TUJ EDG EDH
12:45 8.78% 8.54% 4.22% 4.18% 2.41% 2.52% 15.70% 14.60%
11:30 8.76% 8.61% 4.29% 4.19% 2.47% 2.49% 15.90% 14.60%
9:15 8.64% 8.45% 4.09% 4.15% 2.35% 2.44% 16.70% 14.58%
WED OPEN 8.79% 8.74% 4.21% 4.25% 2.35% 2.53% 16.50% 14.58%
TUE 3:00 8.87% 8.82% 4.26% 4.26% 2.44% 2.56% 14.30% 13.67%
TUE OPEN 8.84% 8.30% 4.25% 4.04% 2.50% 2.48% 14.50% 13.63%
MON 3:00 8.51% 8.24% 4.06% 4.25% 2.42% 2.75% 16.10% 14.32%
MON OPEN 9.27% 9.20% 4.53% 4.60% 2.60% 2.83% 12.10% 14.28%
FRI 3:00 8.25% N/A 3.94% N/A 2.29% N/A 13.00% 13.13%
FRI OPEN 7.84% N/A 3.93% N/A 2.23% N/A 10.10% 14.15%
THU 3:00 7.72% N/A 3.68% N/A 2.13% N/A 11.00% 13.71%
THU OPEN 8.22% N/A 3.85% N/A 2.24% N/A 11.05% 13.45%
WED 3:00 8.22% N/A 3.85% N/A 2.24% N/A 11.70% 13.16%
WED OPEN 8.12% N/A 3.88% N/A 2.28% N/A 13.84% 13.92%
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
MAR18 10Y NOTE 126.00 C 126,731 UNCH 122.00 P 152,211 +6,478
APR18 10Y NOTE 125.00 C 43,232 -3 120.00 P 35,409 +2,091
MAR18 5Y NOTE 115.75 C 50,164 +1,582 108.50 P 140,106 UNCH
APR18 5Y NOTE 116.00 C 16,493 -2,835 114.50 P 17,199 -551
MAR18 2Y NOTE 107.38 C 20,745 UNCH 107.00 P 48,297 UNCH
APR18 2Y NOTE 106.62 C 6,311 UNCH 106.50 P 1,906 UNCH
FEB18 EURODLR 98.50 C 245,800 UNCH 98.12 P 179,936 -7,266
MAR18 EURODLR 98.50 C 493,040 UNCH 98.12 P 766,944 -32,322
MAR19 1Y-MIDC 98.25 C 217,995 UNCH 97.50 P 479,317 +189
MAR20 2Y-MIDC 98.50 C 145,426 UNCH 97.25 P 217,454 +4,396
MAR21 3Y-MIDC 98.12 C 63,218 UNCH 97.37 P 91,830 -539
NEAREST ATM: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
MAR18 10Y NOTE 122.00 C 27,982 +8,213 122.00 P 152,211 +6,478
MAR18 10Y NOTE 122.50 C 47,072 +2,430 122.50 P 105,418 -1,820
APR18 10Y NOTE 121.50 C 9,885 +1,118 121.50 P 30,316 -349
APR18 10Y NOTE 122.00 C 15,092 -569 122.00 P 17,062 +19
MAR18 5Y NOTE 114.75 C 8,753 +3,345 114.75 P 17,141 +1,325
MAR18 5Y NOTE 115.00 C 8,492 +1,769 115.00 P 53,938 -104
APR18 5Y NOTE 114.50 C 1,173 +698 114.50 P 17,199 -551
APR18 5Y NOTE 114.75 C 4,678 +1,282 114.75 P 4,530 +3
MAR18 2Y NOTE 106.50 C 0 UNCH 106.50 P 1,505 -2
MAR18 2Y NOTE 106.62 C 61 UNCH 106.62 P 18,823 +664
APR18 2Y NOTE 106.38 C 40 UNCH 106.38 P 2 UNCH
APR18 2Y NOTE 106.50 C 1,700 UNCH 106.50 P 1,906 UNCH
FEB18 EURODLR 98.00 C 5 UNCH 98.00 P 95,824 UNCH
FEB18 EURODLR 98.12 C 11,004 +76 98.12 P 179,936 -7,266
MAR18 EURODLR 98.00 C 21,207 UNCH 98.00 P 269,957 -4,440
MAR18 EURODLR 98.12 C 39,821 +5,115 98.12 P 766,944 -32,322
MAR19 1Y-MIDC 97.50 C 12,481 +250 97.50 P 479,317 +189
MAR19 1Y-MIDC 97.62 C 44,448 -2,708 97.62 P 236,860 -250
MAR20 2Y-MIDC 97.37 C 46,361 +1,062 97.37 P 200,204 -17,173
MAR20 2Y-MIDC 97.50 C 32,116 UNCH 97.50 P 115,531 -10
MAR21 3Y-MIDC 97.25 C 46,436 +561 97.25 P 79,360 +1,631
MAR21 3Y-MIDC 97.37 C 28,748 UNCH 97.37 P 91,830 -539
PUT/CALL RATIO FOR VOLUME CLEARED:
MAR18 10Y NOTE PUT/CALL RATIO -- 2.43 (324,230 PUTS VS. 133,107 CALLS)
APR18 10Y NOTE PUT/CALL RATIO -- 0.77 (25,342 PUTS VS. 32,688 CALLS)
AMR18 5Y NOTE PUT/CALL RATIO -- 2.27 (97,548 PUTS VS. 42,789 CALLS)
APR18 5Y NOTE PUT/CALL RATIO -- 0.24 (4,890 PUTS VS. 20,353 CALLS)
MAR18 2Y NOTE PUT/CALL RATIO -- 0.26 (1,354 PUTS VS. 5,063 CALLS)
APR18 2Y NOTE PUT/CALL RATIO -- 0.00 (0 PUTS VS. 3 CALLS)
FEB18 EURODLRS PUT/CALL RATIO -- 29.3 (29,375 PUTS VS. 1,000 CALLS)
MAR18 EURODLRS PUT/CALL RATIO -- 1.54 (97,849 PUTS VS. 63,252 CALLS)
MAR19 1Y-MIDCRVE PUT/CALL RATIO -- 3.35 (19,150 PUTS VS. 5,750 CALLS)
MAR20 2Y-MIDCRVE PUT/CALL RATIO -- 13.0 (140,090 PUTS VS. 10,718 CALLS)
MAR21 3Y-MIDCRVE PUT/CALL RATIO -- 14.1 (38,091 PUTS VS. 2,685 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
12:45 42.15 65.41 57.97 64.83 70.78 72.20
11:30 42.03 65.62 57.70 64.53 70.73 72.14
9:15 42.02 65.88 57.67 64.52 70.69 72.02
Wed Open 41.99 65.25 57.70 64.53 70.55 71.88
Tue 3:00 41.96 64.24 57.74 64.51 70.52 71.61
Tue Open 41.74 64.61 57.67 64.18 70.03 71.35
Mon 3:00 41.84 63.66 57.74 64.21 69.92 70.95
Mon Open 42.08 64.88 57.23 64.63 68.93 69.44
Fri 3:00 40.45 59.86 54.27 62.16 67.32 68.99
Fri Open 39.93 58.57 52.77 60.85 66.27 68.37
Thu 3:00 39.91 57.86 52.61 60.71 66.21 68.34
Thu Open 40.18 60.44 53.12 61.39 66.11 68.25
Wed 3:00 40.22 60.39 53.13 61.43 66.09 68.20
Wed Open 39.85 59.64 52.40 60.54 65.64 68.01
--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.