-
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
-
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 Global Macro Weekly -
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 JULY 17
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USQ USU TYQ TYU FVQ FVU EDQ EDU
FRI OPEN 7.30% 8.40% 2.58% 3.20% 1.22% 1.44% 58.20% 57.45%
THU 1500 7.50% 8.31% 2.62% 3.15% 1.20% 1.40% 59.48% 56.90%
THU OPEN 7.45% 8.01% 2.75% 3.13% 1.26% 1.43% 66.80% 62.65%
WED 1500 7.70% 8.05% 2.86% 3.12% 1.30% 1.42% 65.10% 62.55%
WED OPEN 7.87% 8.25% 2.98% 3.25% 1.40% 1.47% 62.30% 60.40%
TUE 1500 8.41% 8.60% 3.05% 3.32% 1.33% 1.52% 65.90% 63.15%
TUE OPEN 8.25% 8.54% 2.96% 3.26% 1.34% 1.48% 62.40% 60.05%
MON 1500 8.32% 8.46% 2.91% 3.25% 1.31% 1.46% 62.55% 54.60%
MON OPEN 8.37% 8.63% 2.95% 3.26% 1.35% 1.49% 64.86% 59.90%
FRI 1500 7.91% 8.60% 2.81% 3.21% 1.25% 1.45% N/A 59.50%
FRI OPEN 8.60% 8.95% 3.08% 3.36% 1.37% 1.54% N/A 61.98%
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
AUG'20 10Y NOTE 139.50 C 68,334 -909 137.50 P 67,528 +109
SEP'20 10Y NOTE 140.00 C 71,272 +4,489 137.00 P 114,177 +615
AUG'20 5Y NOTE 125.75 C 31,116 +25 116.50 P 59,016 UNCH
SEP'20 5Y NOTE 126.00 C 44,836 -410 119.00 P 58,062 UNCH
AUG'20 2Y NOTE 110.62 C 3,948 UNCH 110.25 P 7,845 UNCH
SEP'20 2Y NOTE 110.50 C 42,041 +25 109.88 P 8,500 UNCH
AUG'20 EURODLR 99.75 C 78,982 +1 98.25 P 22,197 UNCH
SEP'20 EURODLR 99.87 C 563,797 UNCH 98.25 P 667,814 UNCH
SEP'21 1Y-MIDC 99.75 C 340,521 UNCH 99.62 P 177,707 -7,400
SEP'22 2Y-MIDC 99.75 C 129,623 +1,000 99.62 P 88,573 +4,022
SEP'23 3Y-MIDC 99.75 C 73,324 UNCH 99.50 P 109,031 +44,680
NEAREST ATM: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
AUG'20 10Y NOTE 139.00 C 36,347 -253 139.00 P 55,585 +251
AUG'20 10Y NOTE 139.50 C 68,334 -909 138.50 P 10,514 +4,131
SEP'20 10Y NOTE 139.00 C 51,268 +679 139.00 P 57,054 +3,122
SEP'20 10Y NOTE 139.50 C 46,388 +1,549 139.50 P 13,997 +1,367
AUG'20 5Y NOTE 125.50 C 10,948 UNCH 125.50 P 14,144 +127
AUG'20 5Y NOTE 125.75 C 31,116 +25 125.75 P 8,133 +1,400
SEP'20 5Y NOTE 125.50 C 23,759 -325 125.50 P 18,653 -323
SEP'20 5Y NOTE 125.75 C 42,819 UNCH 125.75 P 10,788 +200
AUG'20 2Y NOTE 110.38 C 1,939 UNCH 110.38 P 7,101 UNCH
AUG'20 2Y NOTE 110.50 C 2,265 UNCH 110.50 P 5 UNCH
SEP'20 2Y NOTE 110.38 C 9,176 +7,798 110.38 P 764 -5
SEP'20 2Y NOTE 110.50 C 42,041 +25 110.50 P 1,053 +1
AUG'20 EURODLR 99.62 C 10,000 UNCH 99.62 P 11,759 UNCH
AUG'20 EURODLR 99.75 C 78,982 +1 99.75 P 12,118 +1
SEP'20 EURODLR 99.62 C 246,583 UNCH 99.62 P 249,514 UNCH
SEP'20 EURODLR 99.75 C 415,836 -491 99.75 P 68,707 +505
SEP'21 1Y-MIDC 99.75 C 340,521 UNCH 99.75 P 162,333 +3,073
SEP'21 1Y-MIDC 99.88 C 247,615 UNCH 99.88 P 30,825 UNCH
SEP'22 2Y-MIDC 99.62 C 54,884 UNCH 99.62 P 88,573 +4,022
SEP'22 2Y-MIDC 99.75 C 129,623 +1,000 99.75 P 71,115 +8,079
SEP'23 3Y-MIDC 99.50 C 33,467 UNCH 99.50 P 109,031 +44,680
SEP'23 3Y-MIDC 99.62 C 41,142 -413 99.62 P 97,429 +24,000
PUT/CALL RATIO FOR VOLUME CLEARED:
AUG'20 10Y NOTE PUT/CALL RATIO -- 1.03 (29,650 PUTS VS. 28,165 CALLS)
SEP'20 10Y NOTE PUT/CALL RATIO -- 0.84 (45,909 PUTS VS. 53,513 CALLS)
AUG'20 5Y NOTE PUT/CALL RATIO -- 2.65 (5,338 PUTS VS. 2,066 CALLS)
SEP'20 5Y NOTE PUT/CALL RATIO -- 0.88 (3,834 PUTS VS. 4,334 CALLS
AUG'20 2Y NOTE PUT/CALL RATIO -- 0.00 (0 PUTS VS. 0 CALLS)
SEP'20 2Y NOTE PUT/CALL RATIO -- 0.00 (6 PUTS VS. 12,043 CALLS)
AUG'20 EURODLRS PUT/CALL RATIO -- 1.00 (1 PUTS VS. 1 CALLS)
SEP'20 EURODLRS PUT/CALL RATIO -- 0.66 (873 PUTS VS. 1,302 CALLS)
SEP'21 1Y-MIDCRVE PUT/CALL RATIO -- 2.38 (17,900 PUTS VS. 7,500 CALLS)
SEP'22 2Y-MIDCRVE PUT/CALL RATIO -- 5.87 (23,500 PUTS VS. 4,000 CALLS)
SEP'23 3Y-MIDCRVE PUT/CALL RATIO -- 90.0 (90,000 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
Fri Open 20.02 55.44 37.58 59.46 64.75 61.72
Thu 1500 20.06 55.24 37.60 59.54 64.30 61.30
Thu Open 20.46 56.79 37.81 59.74 64.61 61.37
Wed 1500 20.46 56.79 37.81 59.74 64.61 61.37
Wed Open 21.43 58.08 38.63 60.80 65.13 61.57
Tue 1500 21.31 59.39 38.60 60.87 65.04 61.27
Tue Open 21.15 58.45 38.26 60.07 64.58 60.53
Mon 1500 21.08 58.23 38.10 59.93 64.63 60.64
Mon Open 20.86 58.52 38.14 59.89 64.86 61.08
Fri 1500 20.96 59.94 38.55 60.31 64.95 61.01
Fri Open 21.35 59.99 38.74 60.78 65.14 61.41
--MNI Chicago Bureau; tel: +1 312-431-0089; email: bill.sokolis@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.