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Free AccessMNI POLITICAL RISK - Trump Rounds Out Cabinet Nominations
MNI POLITICAL RISK ANALYSIS - Week Ahead 25 Nov-1 Dec
US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JUNE 15
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USN USU TYN TYU FVN FVU EDN EDU
MON OPEN 10.58% 10.55% 3.97% 4.22% 1.73% 1.89% 75.05% 82.05%
FRI 1500 9.75% 10.35% 3.67% 4.17% 1.55% 1.86% 91.20% N/A
FRI OPEN 9.50% 10.02% 3.90% 4.15% 1.60% 1.88% 78.80% N/A
THU 1500 9.75% 10.05% 3.96% 4.15% 1.75% 1.88% 79.95% N/A
THU OPEN 8.78% 9.40% 3.58% 3.89% 1.58% 1.76% 81.80% N/A
WED 1500 10.86% 10.10% 4.75% 4.31% 2.15% 1.97% 92.90% N/A
WED OPEN 10.90% 10.15% 4.91% 4.40% 2.22% 2.01% 89.55% N/A
TUE 1500 11.15% 10.24% 5.13% 4.47% 2.43% 2.06% 96.85% N/A
TUE OPEN 10.12% 9.83% 4.63% 4.34% 2.33% 2.08% 93.15% N/A
MON 1500 10.87% 9.85% 4.42% 4.31% 2.44% 2.10% 85.00% N/A
MON OPEN 11.10% 10.07% 4.87% 4.38% 2.57% 2.18% 86.70% N/A
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
JUL'20 10Y NOTE 139.50 C 91,573 -1,039 138.00 P 64,414 +129
SEP'20 10Y NOTE 142.00 C 46,544 -96 136.00 P 34,433 +95
JUL'20 5Y NOTE 126.50 C 39,713 -160 113.00 P 89,767 UNCH
SEP'20 5Y NOTE 126.50 C 26,486 +726 109.00 P 18,886 UNCH
JUL'20 2Y NOTE 110.38 C 11,102 UNCH 107.88 P 6,842 UNCH
SEP'20 2Y NOTE 110.50 C 9,607 +4,427 110.00 P 3,311 UNCH
JUL'20 EURODLR 99.62 C 164,335 +603 99.50 P 214,005 +1,973
SEP'20 EURODLR 99.87 C 562,735 -859 98.25 P 667,814 UNCH
SEP'21 1Y-MIDC 99.75 C 126,824 UNCH 98.37 P 111,199 UNCH
SEP'22 2Y-MIDC 99.75 C 118,743 +1,400 99.25 P 71,174 +802
SEP'23 3Y-MIDC 99.62 C 30,855 UNCH 99.38 P 43,444 -2,500
NEAREST ATM: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
JUL'20 10Y NOTE 138.50 C 23,576 -5,970 138.50 P 32,219 +2,931
JUL'20 10Y NOTE 139.00 C 43,737 +592 139.00 P 21,443 +7
SEP'20 10Y NOTE 138.50 C 10,620 +292 138.50 P 19,549 +178
SEP'20 10Y NOTE 139.00 C 33,400 +2,145 139.00 P 32,520 +3,520
JUL'20 5Y NOTE 125.25 C 19,574 -857 125.25 P 24,093 +414
JUL'20 5Y NOTE 125.50 C 20,075 -2,284 125.50 P 11,493 -271
SEP'20 5Y NOTE 125.25 C 10,629 +17 125.25 P 9,120 +3,171
SEP'20 5Y NOTE 125.50 C 16,065 +73 125.50 P 8,918 +30
JUL'20 2Y NOTE 110.25 C 6 UNCH 110.25 P 4,551 +500
JUL'20 2Y NOTE 110.38 C 11,102 UNCH 110.38 P 3,662 +100
SEP'20 2Y NOTE 110.12 C 2 UNCH 110.12 P 10 UNCH
SEP'20 2Y NOTE 110.25 C 6 UNCH 110.25 P 1,095 UNCH
JUL'20 EURODLR 99.62 C 164,335 +603 99.62 P 134,143 UNCH
JUL'20 EURODLR 99.75 C 159,265 +963 99.75 P 78,545 UNCH
SEP'20 EURODLR 99.62 C 251,849 -7,202 99.62 P 229,417 +1,171
SEP'20 EURODLR 99.75 C 440,138 +1,665 99.75 P 41,057 -1,604
SEP'21 1Y-MIDC 99.75 C 126,824 UNCH 99.75 P 57,476 UNCH
SEP'21 1Y-MIDC 99.88 C 79,108 UNCH 99.88 P 30,860 UNCH
SEP'22 2Y-MIDC 99.62 C 53,162 +200 99.62 P 55,949 +547
SEP'22 2Y-MIDC 99.75 C 118,743 +1,400 99.75 P 43,875 -400
SEP'23 3Y-MIDC 99.50 C 19,202 UNCH 99.50 P 23,156 +250
SEP'23 3Y-MIDC 99.62 C 30,855 UNCH 99.62 P 18,791 UNCH
PUT/CALL RATIO FOR VOLUME CLEARED:
JUL'20 10Y NOTE PUT/CALL RATIO -- 0.64 (52,419 PUTS VS. 81,454 CALLS)
SEP'20 10Y NOTE PUT/CALL RATIO -- 1.02 (30,477 PUTS VS. 29,867 CALLS)
JUL'20 5Y NOTE PUT/CALL RATIO -- 1.29 (10,501 PUTS VS. 13,799 CALLS)
SEP'20 5Y NOTE PUT/CALL RATIO -- 2.44 (10,099 PUTS VS. 24,430 CALLS)
JUL'20 2Y NOTE PUT/CALL RATIO -- 1.11 (610 PUTS VS. 557 CALLS)
SEP'20 2Y NOTE PUT/CALL RATIO -- 0.00 (0 PUTS VS. 4,260 CALLS)
JUL'20 EURODLRS PUT/CALL RATIO -- 0.71 (9,339 PUTS VS. 13,078 CALLS)
SEP'20 EURODLRS PUT/CALL RATIO -- 0.55 (25,197 PUTS VS. 45,763 CALLS)
SEP'21 1Y-MIDCRVE PUT/CALL RATIO -- 0.06 (300 PUTS VS. 4,605 CALLS)
SEP'22 2Y-MIDCRVE PUT/CALL RATIO -- 1.19 (10,143 PUTS VS. 12,897 CALLS)
SEP'23 3Y-MIDCRVE PUT/CALL RATIO -- 1.22 (5,500 PUTS VS. 4,500 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
Mon Open 27.03 70.06 46.15 69.48 65.68 61.91
Fri 1500 26.01 68.19 45.49 68.26 65.36 61.84
Fri Open 25.80 66.91 45.60 67.00 64.95 61.57
Thu 1500 26.98 67.72 46.55 67.76 64.50 61.45
Thu Open 27.11 66.15 46.00 65.91 64.07 61.11
Wed 1500 29.46 75.75 49.01 68.92 65.14 61.70
Wed Open 29.98 78.38 49.54 69.99 65.46 61.91
Tue 1500 29.84 74.45 49.34 69.29 65.52 61.95
Tue Open 29.74 74.48 49.17 69.29 65.49 61.46
Mon 1500 29.87 73.42 48.98 69.20 65.27 61.47
Mon Open 30.37 73.85 49.71 70.23 65.73 61.60
--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.