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Free AccessMNI Weekly: Latest Sanctions Showing Sharp Early Response
MNI: Fed's Williams Still Sees Work To Be Done On Inflation
MNI BRIEF: Riksbank Head Thedeen Sticks To H1 Cut Guidance
US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JAN 4
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USG USH TYG TYH FVG TUH EDF EDH
12:00 7.13% 7.32% 3.34% 3.43% 1.90% 2.05% N/A 11.95%
10:45 7.22% 7.32% 3.29% 3.47% 1.88% 2.03% N/A 12.70%
9:30 7.22% 7.31% 3.35% 3.47% 1.92% 2.06% N/A 12.70%
THU OPEN 7.31% 7.45% 3.31% 3.46% 1.94% 2.04% N/A 14.99%
WED 3:00 7.46% 7.47% 3.28% 3.41% 1.92% 2.08% 13.10% 15.66%
WED OPEN 7.66% 7.64% 3.38% 3.48% 2.01% 2.12% 13.62% 15.03%
TUE 3:00 7.62% 7.70% 3.45% 3.53% 2.01% 2.11% 11.20% 14.95%
TUE OPEN 7.58% 7.68% 3.36% 3.51% 2.04% 2.12% 11.20% 15.35%
FRI CLSE 7.29% 7.53% 3.19% 3.47% 1.95% 2.12% 11.70% 14.87%
FRI OPEN 7.40% 7.55% 3.27% 3.50% 1.95% 2.08% 12.82% 14.77%
THU 3:00 7.37% 7.59% 3.26% 3.47% 1.91% 2.01% 12.25% 14.32%
THU OPEN 7.26% 7.59% 3.18% 3.42% 1.90% 2.07% 11.46% 14.95%
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
FEB18 10Y NOTE 125.00 C 99,538 +40,646 123.00 P 102,065 -2,525
MAR18 10Y NOTE 126.00 C 47,176 +1,860 114.00 P 119,347 UNCH
FEB18 5Y NOTE 117.25 C 75,181 +189 115.50 P 69,160 +1,243
MAR18 5Y NOTE 117.25 C 14,459 -199 108.50 P 140,106 UNCH
FEB18 2Y NOTE 107.25 C 10,546 +1,800 106.87 P 30,026 +9,276
MAR18 2Y NOTE 107.38 C 20,745 UNCH 107.00 P 66,806 +4,720
JAN18 EURODLR 98.62 C 275,189 UNCH 98.25 P 286,831 -3
MAR18 EURODLR 98.50 C 477,037 +2,152 98.25 P 836,686 +1,381
MAR19 1Y-MIDC 98.25 C 218,154 -9,500 97.62 P 433,718 +750
MAR20 2Y-MIDC 98.50 C 145,426 UNCH 97.75 P 141,693 UNCH
MAR21 3Y-MIDC 98.12 C 63,259 UNCH 97.37 P 62,351 UNCH
NEAREST ATM: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
FEB18 10Y NOTE 123.50 C 24,163 -487 123.50 P 71,280 +5,534
FEB18 10Y NOTE 124.00 C 36,642 +3,315 124.00 P 68,037 +67
MAR18 10Y NOTE 123.50 C 13,431 -192 123.50 P 30,208 +2,278
MAR18 10Y NOTE 124.00 C 21,006 +1,606 124.00 P 42,518 +138
FEB18 5Y NOTE 115.75 C 314 -1 115.75 P 38,182 -441
FEB18 5Y NOTE 116.00 C 12,570 +112 116.00 P 17,019 -269
MAR18 5Y NOTE 115.75 C 1,225 +390 115.75 P 16,904 +257
MAR18 5Y NOTE 116.00 C 6,083 +941 116.00 P 8,452 +271
FEB18 2Y NOTE 107.00 C 2,613 +850 107.00 P 20,209 UNCH
FEB18 2Y NOTE 107.12 C 2,158 UNCH 107.12 P 3,572 UNCH
MAR18 2Y NOTE 107.00 C 2,910 +250 107.00 P 66,806 +4,720
MAR18 2Y NOTE 107.12 C 2,366 UNCH 107.12 P 19,443 UNCH
JAN18 EURODLR 98.50 C 163,410 -20 98.50 P 18,103 UNCH
JAN18 EURODLR 98.62 C 275,189 UNCH 98.62 P 0 UNCH
MAR18 EURODLR 98.50 C 477,037 +2,152 98.50 P 124,436 UNCH
MAR18 EURODLR 98.62 C 253,276 +224 98.62 P 28,813 UNCH
MAR19 1Y-MIDC 98.12 C 170,963 +513 98.12 P 70,031 UNCH
MAR19 1Y-MIDC 98.25 C 218,154 -9,500 98.25 P 36,397 UNCH
MAR20 2Y-MIDC 97.87 C 72,355 UNCH 97.87 P 50,975 UNCH
MAR20 2Y-MIDC 98.00 C 112,768 UNCH 98.00 P 72,318 UNCH
MAR21 3Y-MIDC 97.75 C 37,068 UNCH 97.75 P 25,612 UNCH
MAR21 3Y-MIDC 97.87 C 48,930 UNCH 97.87 P 33,372 UNCH
PUT/CALL RATIO FOR VOLUME CLEARED:
FEB18 10Y NOTE PUT/CALL RATIO -- 0.24 (47,844 PUTS VS. 193,954 CALLS)
MAR18 10Y NOTE PUT/CALL RATIO -- 1.32 (63,758 PUTS VS. 47,916 CALLS)
FEB18 5Y NOTE PUT/CALL RATIO -- 0.56 (17,543 PUTS VS. 31,168 CALLS)
MAR18 5Y NOTE PUT/CALL RATIO -- 1.03 (13,934 PUTS VS. 13,421 CALLS)
FEB18 2Y NOTE PUT/CALL RATIO -- 5.01 (10,091 PUTS VS. 4,565 CALLS)
MAR18 2Y NOTE PUT/CALL RATIO -- 0.22 (5,805 PUTS VS. 464 CALLS)
JAN18 EURODLRS PUT/CALL RATIO -- 0.16 (1,540 PUTS VS. 9,180 CALLS)
MAR18 EURODLRS PUT/CALL RATIO -- 0.53 (127,377 PUTS VS. 237,550 CALLS)
MAR19 1Y-MIDCRVE PUT/CALL RATIO -- 0.96 (29,065 PUTS VS. 30,000 CALLS)
MAR20 2Y-MIDCRVE PUT/CALL RATIO -- 155.0 (38,750 PUTS VS. 250 CALLS)
MAR21 3Y-MIDCRVE PUT/CALL RATIO -- 1.15 (5,220 PUTS VS. 4,500 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
12:00 40.80 51.90 50.58 54.87 63.92 67.90
10:45 40.76 51.90 50.32 54.81 63.76 67.84
9:30 40.76 51.87 50.22 54.77 63.76 68.00
Thu Open 40.53 51.93 50.24 54.81 63.20 67.66
Wed 3:00 40.70 52.65 50.28 55.05 63.19 67.65
Wed Open 40.78 53.13 50.71 55.32 63.60 68.07
Tue 3:00 40.71 53.82 50.60 55.19 63.63 68.30
Tue Open 40.18 51.59 49.79 54.52 63.54 68.22
Fri Clse 40.05 49.17 49.67 54.39 63.50 68.09
Fri Open 40.05 49.17 49.78 54.59 63.68 68.22
Thu 3:00 40.30 49.07 49.76 54.58 63.65 68.22
Thu Open 40.21 50.79 51.13 55.67 63.83 68.50
--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.