-
Policy
Policy
Exclusive interviews with leading policymakers that convey the true policy message that impacts markets.
LATEST FROM POLICY: -
EM Policy
EM Policy
Exclusive interviews with leading policymakers that convey the true policy message that impacts markets.
LATEST FROM EM POLICY: -
G10 Markets
G10 Markets
Real-time insight on key fixed income and fx markets.
Launch MNI PodcastsFixed IncomeFI Markets AnalysisCentral Bank PreviewsFI PiFixed Income Technical AnalysisUS$ Credit Supply PipelineGilt Week AheadGlobal IssuanceEurozoneUKUSDeep DiveGlobal Issuance CalendarsEZ/UK Bond Auction CalendarEZ/UK T-bill Auction CalendarUS Treasury Auction CalendarPolitical RiskMNI Political Risk AnalysisMNI Political Risk - US Daily BriefMNI Political Risk - The week AheadElection Previews -
Emerging Markets
Emerging Markets
Real-time insight of emerging markets in CEMEA, Asia and LatAm region
-
Commodities
Commodities
Real-time insight of oil & gas markets
-
Credit
Credit
Real time insight of credit markets
-
Data
-
Global Macro
Global Macro
Actionable insight on monetary policy, balance sheet and inflation with focus on global issuance. Analysis on key political risk impacting the global markets.
Global MacroDM Central Bank PreviewsDM Central Bank ReviewsEM Central Bank PreviewsEM Central Bank ReviewsBalance Sheet AnalysisData AnalysisEurozone DataUK DataUS DataAPAC DataInflation InsightEmployment InsightGlobal IssuanceEurozoneUKUSDeep DiveGlobal Issuance Calendars EZ/UK Bond Auction Calendar EZ/UK T-bill Auction Calendar US Treasury Auction Calendar Chart Packs -
About Us
To read the full story
Sign up now for free trial access to this content.
Please enter your details below.
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.
Real-time Actionable Insight
Get the latest on Central Bank Policy and FX & FI Markets to help inform both your strategic and tactical decision-making.
Free AccessUS TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JUL 27
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USQ USU TYQ TYU FVQ FVU EDQ EDU
FRI OPEN 12.69% 6.67% 7.10% 3.50% 3.95% 2.20% 10.84% 9.53%
THU 3:00 7.84% 6.81% 4.16% 3.54% 2.68% 2.25% 10.58% 9.88%
THU OPEN 7.69% 6.78% 4.01% 3.59% 2.70% 2.23% 10.88% 9.82%
WED 3:00 7.16% 6.62% 4.00% 3.54% 2.16% 2.24% 11.56% 10.93%
WED OPEN 7.58% 6.92% 3.89% 3.64% 2.43% 2.25% 11.62% 10.43%
TUE 3:00 7.80% 7.05% 3.81% 3.66% 2.48% 2.32% 11.37% 9.98%
TUE OPEN 8.41% 7.32% 4.18% 3.70% 2.47% 2.34% 13.58% 11.45%
MON 3:00 8.99% 7.38% 4.24% 3.81% 2.85% 2.41% 11.61% 8.97%
MON OPEN 8.05% 6.94% 3.91% 3.68% 2.54% 2.33% 11.53% 8.56%
FRI 3:00 6.02% 6.33% 2.88% 3.40% 1.92% 2.19% 10.54% 9.24%
FRI OPEN 6.02% 6.33% 2.88% 3.40% 1.92% 2.19% 10.54% 9.24%
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
AUG18 10Y NOTE 120.50 C 108,627 -99 118.50 P 91,136 -1,230
SEP18 10Y NOTE 120.00 C 289,528 +2,635 119.00 P 117,278 +3,987
AUG18 5Y NOTE 114.00 C 64,012 UNCH 112.50 P 28,494 +807
SEP18 5Y NOTE 114.25 C 66,732 UNCH 106.25 P 91,819 UNCH
AUG18 2Y NOTE 106.12 C 42,984 UNCH 105.50 P 14,813 UNCH
SEP18 2Y NOTE 106.12 C 64,214 UNCH 105.50 P 38,227 +2,000
AUG18 EURODLR 97.62 C 48,936 +2,750 97.37 P 132,285 UNCH
SEP18 EURODLR 97.62 C 348,806 +8,680 97.37 P 534,524 +14,523
SEP19 1Y-MIDC 97.37 C 214,658 UNCH 97.12 P 428,437 -100
SEP20 2Y-MIDC 97.37 C 235,500 -250 97.00 P 353,215 UNCH
SEP21 3Y-MIDC 97.37 C 56,394 UNCH 96.75 P 58,044 UNCH
NEAREST ATM: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
AUG18 10Y NOTE 120.00 C 67,839 -246 120.00 P 38,833 -2,383
AUG18 10Y NOTE 120.50 C 108,627 -99 120.50 P 9,265 -410
SEP18 10Y NOTE 120.00 C 289,528 +2,635 120.00 P 60,936 -369
SEP18 10Y NOTE 120.50 C 93,667 +5,652 120.50 P 24,227 +1,395
AUG18 5Y NOTE 113.50 C 30,965 UNCH 113.50 P 20,657 UNCH
AUG18 5Y NOTE 113.75 C 31,034 +404 113.75 P 4,349 UNCH
SEP18 5Y NOTE 113.50 C 40,334 +1,026 113.50 P 31,516 +122
SEP18 5Y NOTE 113.75 C 13,006 -253 113.75 P 18,580 UNCH
AUG18 2Y NOTE 106.00 C 8,636 UNCH 106.00 P 4,184 UNCH
AUG18 2Y NOTE 106.12 C 42,984 UNCH 106.12 P 15 UNCH
SEP18 2Y NOTE 106.00 C 55,884 UNCH 106.00 P 2,940 UNCH
SEP18 2Y NOTE 106.12 C 64,214 UNCH 106.12 P 16 UNCH
AUG18 EURODLR 97.50 C 14,780 -500 97.50 P 103,645 +2,750
AUG18 EURODLR 97.62 C 48,936 +2,750 97.62 P 6,329 UNCH
SEP18 EURODLR 97.75 C 307,560 +13,626 97.75 P 220,388 +200
SEP18 EURODLR 97.87 C 128,241 UNCH 97.87 P 150,433 UNCH
SEP19 1Y-MIDC 97.12 C 154,866 +1,578 97.12 P 428,437 -100
SEP19 1Y-MIDC 97.25 C 191,571 +3,750 97.25 P 103,631 UNCH
SEP20 2Y-MIDC 97.00 C 88,921 +190 97.00 P 353,215 UNCH
SEP20 2Y-MIDC 97.12 C 92,948 -500 97.12 P 70,902 -500
SEP21 3Y-MIDC 96.87 C 10,472 +347 96.87 P 32,489 -260
SEP21 3Y-MIDC 97.00 C 29,332 UNCH 97.00 P 42,656 UNCH
PUT/CALL RATIO FOR VOLUME CLEARED:
AUG18 10Y NOTE PUT/CALL RATIO -- 1.66 (96,651 PUTS VS. 73,932 CALLS)
SEP18 10Y NOTE PUT/CALL RATIO -- 1.47 (118,864 PUTS VS. 72,129 CALLS)
AUG18 5Y NOTE PUT/CALL RATIO -- 1.47 (18,073 PUTS VS. 13,133 CALLS)
SEP18 5Y NOTE PUT/CALL RATIO -- 1.15 (11,606 PUTS VS. 9,522 CALLS)
AUG18 2Y NOTE PUT/CALL RATIO -- 0.00 (1,370 PUTS VS. 0 CALLS)
SEP18 2Y NOTE PUT/CALL RATIO -- 0.11 (5,031 PUTS VS. 12,025 CALLS)
AUG18 EURODLRS PUT/CALL RATIO -- 0.84 (2,750 PUTS VS. 3,750 CALLS)
SEP18 EURODLRS PUT/CALL RATIO -- 0.65 (47,134 PUTS VS. 80,650 CALLS)
SEP19 1Y-MIDCRVE PUT/CALL RATIO-- 0.05 (47,150 PUTS VS. 950 CALLS)
SEP20 2Y-MIDCRVE PUT/CALL RATIO-- 21.5 (34,650 PUTS VS. 22,650 CALLS)
SEP21 3Y-MIDCRVE PUT/CALL RATIO-- 0.00 (0 PUTS VS. 0 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
FRI OPEN 47.31 54.43 56.83 58.40 68.72 74.28
THU 3:00 47.47 54.45 57.04 58.46 68.71 74.27
THU OPEN 47.52 54.33 57.05 58.42 68.65 74.22
WED 3:00 47.28 53.99 56.89 58.38 68.61 74.09
WED OPEN 48.07 55.95 57.63 59.09 68.76 74.19
TUE 3:00 48.11 56.59 57.60 58.95 68.95 74.26
TUE OPEN 48.51 57.30 58.86 59.62 69.04 74.35
MON 3:00 48.59 56.52 58.58 59.50 69.09 74.48
MON OPEN 47.79 53.15 57.30 57.86 68.23 73.93
FRI 3:00 46.99 51.24 56.48 56.53 67.86 73.53
FRI OPEN 46.99 51.24 56.48 56.53 67.86 73.53
--MNI Chicago Bureau; +1 630-698-0154; email: ryan.martin@marketnews.com
[TOPICS: MTABLE,M$U$$$,M$$FI$,MN$FI$]
To read the full story
Sign up now for free trial access to this content.
Please enter your details below.
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.