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Why MNI
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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.
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Free AccessMNI BRIEF: PBOC Increases Gold Reserves
MNI BRIEF: Japan Q3 GDP Revised Up On Net Exports, Capex
MNI ASIA OPEN: Nov Job Gains, Fed Blackout, CPI/PPI Ahead
MNI UST Issuance Deep Dive: Dec 2024
US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JULY 7
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USQ USU TYQ TYU FVQ FVU EDN EDU
0945 8.51% 8.74% 3.21% 3.37% 1.52% 1.59% N/A 65.70%
TUE OPEN 8.57% 8.80% 3.20% 3.38% 1.55% 1.60% N/A 65.60%
MON 1500 8.88% 8.93% 3.36% 3.50% 1.65% 1.65% N/A 69.00%
MON 0645 8.75% 8.99% 3.27% 3.46% 1.62% 1.63% N/A 69.40%
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
AUG'20 10Y NOTE 139.50 C 63,319 -99 137.50 P 70,280 -1,770
SEP'20 10Y NOTE 142.00 C 63,418 +1,294 137.00 P 91,705 +6,760
AUG'20 5Y NOTE 126.50 C 28,829 -99 116.50 P 59,016 UNCH
SEP'20 5Y NOTE 126.50 C 35,504 +249 119.00 P 58,062 UNCH
AUG'20 2Y NOTE 110.62 C 3,948 UNCH 110.25 P 7,857 -827
SEP'20 2Y NOTE 110.50 C 40,772 +446 110.00 P 8,743 UNCH
JUL'20 EURODLR 99.62 C 164,484 UNCH 99.50 P 216,105 UNCH
SEP'20 EURODLR 99.87 C 566,563 -150 98.25 P 667,814 UNCH
SEP'21 1Y-MIDC 99.75 C 340,521 UNCH 99.75 P 115,716 +9,980
SEP'22 2Y-MIDC 99.75 C 128,810 UNCH 99.62 P 70,922 +3,598
SEP'23 3Y-MIDC 99.62 C 67,563 UNCH 99.25 P 63,992 UNCH
NEAREST ATM: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
AUG'20 10Y NOTE 138.50 C 28,163 UNCH 138.50 P 43,387 -310
AUG'20 10Y NOTE 139.00 C 36,533 -173 139.00 P 35,602 -552
SEP'20 10Y NOTE 138.50 C 21,489 +1,285 138.50 P 52,635 +1,922
SEP'20 10Y NOTE 139.00 C 43,987 +1,252 139.00 P 44,712 +619
AUG'20 5Y NOTE 125.25 C 13,658 UNCH 125.25 P 13,994 -252
AUG'20 5Y NOTE 125.50 C 11,195 +13 125.50 P 13,963 +522
SEP'20 5Y NOTE 125.25 C 10,080 UNCH 125.25 P 14,162 UNCH
SEP'20 5Y NOTE 125.50 C 24,231 -491 125.50 P 17,105 +650
AUG'20 2Y NOTE 110.25 C 101 UNCH 110.25 P 7,857 -827
AUG'20 2Y NOTE 110.38 C 1,939 UNCH 110.38 P 7,100 UNCH
SEP'20 2Y NOTE 110.12 C 12 UNCH 110.12 P 8,497 UNCH
SEP'20 2Y NOTE 110.25 C 91 UNCH 110.25 P 8,668 UNCH
JUL'20 EURODLR 99.62 C 164,484 UNCH 99.62 P 133,896 UNCH
JUL'20 EURODLR 99.75 C 156,513 -316 99.75 P 78,061 UNCH
SEP'20 EURODLR 99.62 C 247,097 -186 99.62 P 236,225 +214
SEP'20 EURODLR 99.75 C 416,765 +589 99.75 P 45,531 -78
SEP'21 1Y-MIDC 99.75 C 340,521 UNCH 99.75 P 115,716 +9,980
SEP'21 1Y-MIDC 99.88 C 246,515 -5,300 99.88 P 30,825 UNCH
SEP'22 2Y-MIDC 99.62 C 53,930 UNCH 99.62 P 70,922 +3,598
SEP'22 2Y-MIDC 99.75 C 128,810 UNCH 99.75 P 48,910 +2,425
SEP'23 3Y-MIDC 99.50 C 39,340 UNCH 99.50 P 53,505 -54
SEP'23 3Y-MIDC 99.62 C 67,563 UNCH 99.62 P 18,079 UNCH
PUT/CALL RATIO FOR VOLUME CLEARED:
AUG'20 10Y NOTE PUT/CALL RATIO -- 2.02 (51,290 PUTS VS. 25,275 CALLS)
SEP'20 10Y NOTE PUT/CALL RATIO -- 1.13 (95,060 PUTS VS. 84,396 CALLS)
AUG'20 5Y NOTE PUT/CALL RATIO -- 0.67 (5,314 PUTS VS. 7,874 CALLS)
SEP'20 5Y NOTE PUT/CALL RATIO -- 1.81 (9,885 PUTS VS. 5,460 CALLS
AUG'20 2Y NOTE PUT/CALL RATIO -- 8.21 (846 PUTS VS. 103 CALLS)
SEP'20 2Y NOTE PUT/CALL RATIO -- 0.02 (18 PUTS VS. 907 CALLS)
JUL'20 EURODLRS PUT/CALL RATIO -- 0.00 (0 PUTS VS. 2,100 CALLS)
SEP'20 EURODLRS PUT/CALL RATIO -- 0.37 (2,316 PUTS VS. 6,113 CALLS)
SEP'21 1Y-MIDCRVE PUT/CALL RATIO -- 4.98 (32,960 PUTS VS. 6,600 CALLS)
SEP'22 2Y-MIDCRVE PUT/CALL RATIO -- 3.33 (8,072 PUTS VS. 2,412 CALLS)
SEP'23 3Y-MIDCRVE PUT/CALL RATIO -- 1.00 (3,000 PUTS VS. 3,000 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
0945 22.70 61.89 40.60 63.23 65.36 62.12
Tue Open 22.72 62.16 40.90 63.37 65.31 62.88
Mon 1500 24.59 61.84 40.91 63.95 65.55 62.39
Mon 0900 25.05 62.20 41.36 64.41 65.52 62.45
--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.