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Free AccessMNI BRIEF: Canada Commits To Just One Of Three Fiscal Anchors
MNI POLITICAL RISK - Thune Eyes 'Deficit-Negative' Legislation
US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JUN 20
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USN USU TYN TYU FVN FVU EDN EDU
THU 1500 8.82% 7.27% 4.18% 4.33% 3.14% 2.93% 34.42% 27.89%
1145 9.27% 7.53% 5.52% 4.43% 3.30% 3.00% 38.70% 29.90%
THU OPEN 9.31% 7.55% 5.59% 4.40% 3.27% 3.01% 35.55% 28.99%
WED 1500 9.34% 7.30% 5.55% 4.16% 3.19% 2.97% 29.80% 25.60%
WED OPEN 12.22% 7.82% 7.90% 4.52% 5.83% 3.09% 34.40% 27.35%
TUE 1500 10.58% 7.73% 7.01% 4.59% 5.30% 3.10% 33.68% 28.07%
TUE OPEN 11.17% 8.17% 7.00% 4.82% 5.25% 3.29% 38.20% 30.80%
MON 1500 9.85% 7.90% 6.37% 4.65% 4.64% 3.15% 37.02% 30.38%
MON OPEN 9.83% 7.83% 6.35% 4.65% 4.67% 3.18% 38.60% 30.33%
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
JUL19 10Y NOTE 126.00 C 74,133 +29 124.00 P 98,572 -1,648
SEP19 10Y NOTE 126.00 C 35,186 +303 121.00 P 131,265 +988
JUL19 5Y NOTE 117.25 C 53,965 -63 116.50 P 87,604 +418
SEP19 5Y NOTE 117.75 C 16,863 +170 106.50 P 80,403 UNCH
JUL19 2Y NOTE 107.00 C 8,592 UNCH 106.25 P 14,653 UNCH
SEP19 2Y NOTE 107.75 C 7,894 +50 107.00 P 23,862 +284
JUL19 EURODLR 97.87 C 233,772 +12,909 97.75 P 182,970 -1,842
SEP19 EURODLR 98.25 C 602,604 -1,000 97.50 P 808,058 -3,596
SEP20 1Y-MIDC 98.12 C 142,859 UNCH 97.75 P 175,397 +25,362
SEP21 2Y-MIDC 98.12 C 96,800 UNCH 97.12 P 74,826 UNCH
SEP22 3Y-MIDC 98.00 C 125,307 UNCH 97.50 P 57,763 UNCH
NEAREST ATM: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
JUL19 10Y NOTE 128.00 C 58,659 -4,023 128.00 P 5,243 +485
JUL19 10Y NOTE 128.50 C 22,447 -2,315 128.50 P 204 -1
SEP19 10Y NOTE 128.00 C 30,380 +1,470 128.00 P 4,932 +3,297
SEP19 10Y NOTE 128.50 C 18,930 +184 128.50 P 426 +6
JUL19 5Y NOTE 118.25 C 14,838 +744 118.25 P 363 +301
JUL19 5Y NOTE 118.50 C 15,395 +1,781 118.50 P 85 +1
SEP19 5Y NOTE 118.25 C 5,868 +236 118.25 P 334 +5
SEP19 5Y NOTE 118.50 C 7,637 -19 118.50 P 2,286 UNCH
JUL19 2Y NOTE 107.38 C 2,545 -1,545 107.38 P 3,878 +1,103
JUL19 2Y NOTE 107.50 C 4,992 -621 107.50 P 2,848 UNCH
SEP19 2Y NOTE 107.38 C 1,354 +223 107.38 P 1,076 +1
SEP19 2Y NOTE 107.50 C 551 UNCH 107.50 P 483 UNCH
JUL19 EURODLR 97.87 C 233,772 +12,909 97.87 P 91,808 -9,721
JUL19 EURODLR 98.00 C 229,011 -8,241 98.00 P 22,685 -1,382
SEP19 EURODLR 97.87 C 513,365 -18,973 97.87 P 109,008 -871
SEP19 EURODLR 98.00 C 402,831 -2,600 98.00 P 30,241 -210
SEP20 1Y-MIDC 98.37 C 99,971 -1,279 98.37 P 45,630 -124
SEP20 1Y-MIDC 98.50 C 103,414 +7,193 98.50 P 44,036 -2,140
SEP21 2Y-MIDC 98.37 C 52,491 +2,150 98.37 P 13,564 UNCH
SEP21 2Y-MIDC 98.50 C 20,393 +2,846 98.50 P 175 UNCH
SEP22 3Y-MIDC 98.25 C 100,000 UNCH 98.25 P 6,794 UNCH
SEP22 3Y-MIDC 98.37 C 6,225 UNCH 98.37 P 300 UNCH
PUT/CALL RATIO FOR VOLUME CLEARED:
JUL19 10Y NOTE PUT/CALL RATIO -- 1.55 (193,083 PUTS VS. 124,565 CALLS)
SEP19 10Y NOTE PUT/CALL RATIO -- 4.60 (281,456 PUTS VS. 61,302 CALLS)
JUL19 5Y NOTE PUT/CALL RATIO -- 0.51 (63,811 PUTS VS. 127,289 CALLS)
SEP19 5Y NOTE PUT/CALL RATIO -- 2.66 (36,856 PUTS VS. 13,820 CALLS)
JUL19 2Y NOTE PUT/CALL RATIO -- 0.86 (12,799 PUTS VS. 14,838 CALLS)
SEP19 2Y NOTE PUT/CALL RATIO -- 7.04 (6,055 PUTS VS. 860 CALLS)
JUL19 EURODLRS PUT/CALL RATIO -- 0.55 (151,687 PUTS VS. 273,975 CALLS)
SEP19 EURODLRS PUT/CALL RATIO -- 0.91 (162,981 PUTS VS. 177,560 CALLS)
JUN20 1Y-MIDCRVE PUT/CALL RATIO -- 7.60 (213,753 PUTS VS. 28,266 CALLS)
JUN21 2Y-MIDCRVE PUT/CALL RATIO -- 0.26 (7,000 PUTS VS. 26,000 CALLS)
JUN22 3Y-MIDCRVE PUT/CALL RATIO -- 1.01 (12,206 PUTS VS. 12,050 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 1500 85.19 66.77 76.41 66.43 63.52 66.76
1145 83.76 66.39 74.35 65.99 63.30 66.49
Thu Open 84.52 68.21 75.33 66.27 63.81 66.77
Wed 1500 85.81 70.94 76.81 67.02 64.30 67.05
Wed Open 89.16 73.55 78.86 68.84 65.12 67.42
Tue 1500 89.15 73.03 78.77 68.80 65.29 67.63
Tue Open 90.56 72.91 80.38 69.85 65.96 68.28
Mon 1500 88.47 71.84 78.39 68.70 65.80 68.10
Mon Open 92.26 72.74 79.56 69.24 66.68 68.78
--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.