-
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 JUN 20
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USN USQ TYN TYQ FVN FVQ EDN EDU
3:00 7.65% 6.53% 3.98% 3.62% 2.58% 2.31% 8.65% 8.73%
11:00 7.40% 6.66% 4.13% 3.64% 2.56% 2.32% 10.80% 9.54%
WED OPEN 7.98% 6.66% 4.00% 3.68% 2.56% 2.34% 10.99% 9.34%
TUE 3:00 7.82% 6.76% 4.29% 3.68% 3.04% 2.42% 9.86% 10.37%
TUE OPEN 7.67% 6.80% 4.32% 3.79% 2.81% 2.38% 9.87% 9.71%
MON 3:00 7.31% 6.77% 4.17% 3.66% 2.31% 2.31% 8.51% 9.26%
MON OPEN 8.07% 6.98% 4.24% 3.75% 2.51% 2.34% 8.46% 9.24%
FRI 3:00 6.68% 6.77% 3.35% 3.62% 2.32% 2.33% 10.80% N/A
FRI OPEN 7.01% 6.79% 3.62% 3.66% 2.24% 2.34% 9.78% N/A
THU 3:00 6.63% 6.71% 3.29% 3.59% 2.21% 2.31% 10.23% N/A
THU OPEN 7.26% 6.97% 3.57% 3.72% 2.32% 2.39% 11.08% N/A
WED 3:00 7.22% 7.12% 3.72% 3.77% 2.63% 2.47% 11.84% N/A
WED OPEN 8.09% 7.34% 4.40% 3.91% 2.97% 2.59% 12.60% N/A
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
JUL18 10Y NOTE 121.00 C 108,814 -3,538 118.00 P 159,976 UNCH
SEP18 10Y NOTE 120.00 C 125,740 +1,070 117.50 P 58,488 +6
JUL18 5Y NOTE 114.00 C 68,169 -2 113.00 P 43,702 +2,843
SEP18 5Y NOTE 114.25 C 48,370 +100 106.25 P 91,854 UNCH
JUL18 2Y NOTE 106.37 C 94,294 UNCH 105.67 P 8,035 UNCH
SEP18 2Y NOTE 106.80 C 5,000 UNCH 105.75 P 8,830 UNCH
JUL18 EURODLR 97.62 C 93,119 UNCH 97.50 P 113,961 +102
SEP18 EURODLR 97.75 C 265,481 +7,995 97.37 P 484,066 +210
SEP19 1Y-MIDC 97.37 C 204,840 +4,400 97.12 P 425,434 +23,750
SEP20 2Y-MIDC 97.37 C 200,700 +3,494 97.00 P 377,571 +8,444
SEP21 3Y-MIDC 97.62 C 56,829 UNCH 97.62 P 36,351 UNCH
NEAREST ATM: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
JUL18 10Y NOTE 119.00 C 56,791 -527 119.00 P 92,969 -10,744
JUL18 10Y NOTE 119.50 C 72,675 -828 119.50 P 59,863 -1,460
SEP18 10Y NOTE 119.00 C 24,469 +130 119.00 P 36,944 -462
SEP18 10Y NOTE 119.50 C 43,439 -149 119.50 P 39,640 +1,477
JUL18 5Y NOTE 113.00 C 49,518 -325 113.00 P 43,702 +2,843
JUL18 5Y NOTE 113.50 C 48,301 +378 113.50 P 40,229 +4,765
SEP18 5Y NOTE 113.00 C 5,205 UNCH 113.00 P 16,769 +2,969
SEP18 5Y NOTE 113.50 C 24,978 +1,333 113.50 P 21,582 +2,530
JUL18 2Y NOTE 106.00 C 25,725 UNCH 106.00 P 2,654 UNCH
JUL18 2Y NOTE 106.12 C 25,400 -150 106.12 P 201 UNCH
SEP18 2Y NOTE 106.00 C 1,954 +808 106.00 P 3,090 UNCH
SEP18 2Y NOTE 106.12 C 89 UNCH 106.12 P 16 UNCH
JUL18 EURODLR 97.50 C 38,995 -50 97.50 P 113,961 +102
JUL18 EURODLR 97.62 C 93,119 UNCH 97.62 P 42,711 UNCH
SEP18 EURODLR 97.75 C 265,481 +7,995 97.75 P 223,507 UNCH
SEP18 EURODLR 97.87 C 122,658 +3,100 97.87 P 153,224 UNCH
SEP19 1Y-MIDC 97.37 C 204,840 +4,400 97.37 P 25,795 UNCH
SEP19 1Y-MIDC 97.50 C 132,491 -840 97.50 P 114,324 UNCH
SEP20 2Y-MIDC 97.00 C 75,004 +66 97.00 P 377,571 +8,444
SEP20 2Y-MIDC 97.12 C 81,141 +12,943 97.12 P 70,742 UNCH
SEP21 3Y-MIDC 96.87 C 9,822 UNCH 96.87 P 22,400 UNCH
SEP21 3Y-MIDC 97.00 C 25,579 -125 97.00 P 34,439 -22
PUT/CALL RATIO FOR VOLUME CLEARED:
JUL18 10Y NOTE PUT/CALL RATIO -- 0.41 (70,209 PUTS VS. 172,273 CALLS)
SEP18 10Y NOTE PUT/CALL RATIO -- 1.68 (71,860 PUTS VS. 42,707 CALLS)
JUL18 5Y NOTE PUT/CALL RATIO -- 0.54 (22,819 PUTS VS. 42,485 CALLS)
SEP18 5Y NOTE PUT/CALL RATIO -- 1.34 (11,932 PUTS VS. 8,926 CALLS)
JUL18 2Y NOTE PUT/CALL RATIO -- 0.04 (31 PUTS VS. 748 CALLS)
SEP18 2Y NOTE PUT/CALL RATIO -- 0.40 (575 PUTS VS. 1,453 CALLS)
JUL18 EURODLRS PUT/CALL RATIO -- 1.01 (403 PUTS VS. 400 CALLS)
SEP18 EURODLRS PUT/CALL RATIO -- 1.60 (54,521 PUTS VS. 34,165 CALLS)
SEP19 1Y-MIDCRVE PUT/CALL RATIO-- 4.03 (99,250 PUTS VS. 24,600 CALLS)
SEP20 2Y-MIDCRVE PUT/CALL RATIO-- 1.25 (43,250 PUTS VS. 34,550 CALLS)
SEP21 3Y-MIDCRVE PUT/CALL RATIO-- 0.00 (12,200 PUTS VS. 12,200 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
3:00 47.73 57.47 58.61 60.57 69.17 74.16
11:00 47.59 57.58 58.53 60.47 69.12 74.03
WED OPEN 47.71 58.00 58.62 60.63 69.11 74.01
TUE 3:00 47.37 57.88 58.40 60.48 69.01 73.82
TUE OPEN 47.03 57.92 58.04 60.34 69.00 73.75
MON 3:00 47.06 57.44 57.71 60.07 69.02 73.87
MON OPEN 47.28 57.39 57.97 60.28 69.00 73.79
FRI 3:00 46.96 56.80 57.59 59.88 69.10 73.90
FRI OPEN 46.94 56.39 57.63 59.94 69.22 73.98
THU 3:00 53.62 66.56 58.86 60.59 69.64 74.18
THU OPEN 49.01 58.16 59.60 61.18 70.02 74.69
WED 3:00 49.41 60.30 60.68 62.04 70.70 75.29
WED OPEN 50.78 60.81 61.53 62.56 70.83 75.29
--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.