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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 JUNE 18
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USN USU TYN TYU FVN FVU EDN EDU
1200 10.61% 10.17% 3.72% 3.89% 1.49% 1.70% 81.35% 76.35%
1000 10.70% 10.27% 3.67% 3.90% 1.53% 1.73% 80.20% 76.35%
THU OPEN 10.72% 10.31% 3.74% 3.99% 1.55% 1.75% 81.35% 79.10%
WED 1500 10.80% 10.45% 3.85% 4.02% 1.61% 1.79% 85.40% 80.05%
WED OPEN 11.00% 10.79% 3.97% 4.20% 1.67% 1.86% 84.75% 76.15%
TUE 1500 11.27% 11.00% 4.13% 4.30% 1.77% 1.94% 93.25% 83.30%
TUE OPEN 11.75% 11.05% 3.36% 4.34% 1.91% 1.93% 88.55% 75.25%
MON 1500 10.11% 10.62% 3.78% 4.17% 1.66% 1.87% 93.90% 82.30%
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
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
JUL'20 10Y NOTE 139.50 C 112,016 +72 137.00 P 62,907 -1,815
SEP'20 10Y NOTE 142.00 C 47,766 +2,663 136.00 P 37,743 +2,921
JUL'20 5Y NOTE 126.50 C 39,700 UNCH 113.00 P 89,767 UNCH
SEP'20 5Y NOTE 126.50 C 30,549 +2,256 109.00 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 11,973 +473 110.00 P 6,011 +2,700
JUL'20 EURODLR 99.62 C 164,336 UNCH 99.50 P 216,315 UNCH
SEP'20 EURODLR 99.87 C 570,649 -1,851 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 119,041 -400 99.25 P 70,674 UNCH
SEP'23 3Y-MIDC 99.62 C 47,018 UNCH 99.38 P 47,899 -100
NEAREST ATM: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
JUL'20 10Y NOTE 138.50 C 49,082 +26,008 138.50 P 39,200 +2,217
JUL'20 10Y NOTE 139.00 C 54,812 +1,047 139.00 P 24,047 +1,005
SEP'20 10Y NOTE 138.50 C 16,428 +3,386 138.50 P 27,299 +4,788
SEP'20 10Y NOTE 139.00 C 37,405 +3,929 139.00 P 32,274 UNCH
JUL'20 5Y NOTE 125.25 C 18,864 -124 125.25 P 27,045 +978
JUL'20 5Y NOTE 125.50 C 21,104 +549 125.50 P 11,829 +319
SEP'20 5Y NOTE 125.25 C 11,053 UNCH 125.25 P 9,134 UNCH
SEP'20 5Y NOTE 125.50 C 16,005 -124 125.50 P 8,273 -261
JUL'20 2Y NOTE 110.25 C 6 UNCH 110.25 P 4,701 +100
JUL'20 2Y NOTE 110.38 C 11,102 UNCH 110.38 P 3,662 UNCH
SEP'20 2Y NOTE 110.12 C 13 +3 110.12 P 10 -2
SEP'20 2Y NOTE 110.25 C 53 UNCH 110.25 P 3,853 +2,715
JUL'20 EURODLR 99.62 C 164,336 UNCH 99.62 P 137,205 UNCH
JUL'20 EURODLR 99.75 C 159,538 +226 99.75 P 78,059 UNCH
SEP'20 EURODLR 99.62 C 250,629 +250 99.62 P 236,947 +303
SEP'20 EURODLR 99.75 C 442,986 +928 99.75 P 49,677 UNCH
SEP'21 1Y-MIDC 99.75 C 126,824 UNCH 99.75 P 56,976 UNCH
SEP'21 1Y-MIDC 99.88 C 79,108 UNCH 99.88 P 30,360 UNCH
SEP'22 2Y-MIDC 99.62 C 54,473 UNCH 99.62 P 58,453 +242
SEP'22 2Y-MIDC 99.75 C 119,041 -400 99.75 P 45,215 +100
SEP'23 3Y-MIDC 99.50 C 28,358 UNCH 99.50 P 30,633 +6,422
SEP'23 3Y-MIDC 99.62 C 47,018 UNCH 99.62 P 18,791 UNCH
PUT/CALL RATIO FOR VOLUME CLEARED:
JUL'20 10Y NOTE PUT/CALL RATIO -- 2.01 (54,782 PUTS VS. 27,524 CALLS)
SEP'20 10Y NOTE PUT/CALL RATIO -- 1.76 (44,447 PUTS VS. 25,003 CALLS)
JUL'20 5Y NOTE PUT/CALL RATIO -- 2.02 (7,765 PUTS VS. 3,838 CALLS)
SEP'20 5Y NOTE PUT/CALL RATIO -- 2.70 (10,087 PUTS VS. 3,699 CALLS)
JUL'20 2Y NOTE PUT/CALL RATIO -- 0.00 (100 PUTS VS. 0 CALLS)
SEP'20 2Y NOTE PUT/CALL RATIO -- 6.77 (6,109 PUTS VS. 922 CALLS)
JUL'20 EURODLRS PUT/CALL RATIO -- 0.00 (0 PUTS VS. 2,274 CALLS)
SEP'20 EURODLRS PUT/CALL RATIO -- 0.29 (6,062 PUTS VS. 20,179 CALLS)
SEP'21 1Y-MIDCRVE PUT/CALL RATIO -- 2.08 (5,000 PUTS VS. 2,400 CALLS)
SEP'22 2Y-MIDCRVE PUT/CALL RATIO -- 2.85 (24,300 PUTS VS. 8,500 CALLS)
SEP'23 3Y-MIDCRVE PUT/CALL RATIO -- 6.61 (13,988 PUTS VS. 2,100 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
1200 25.65 67.11 45.19 69.80 65.85 62.37
1000 25.92 68.41 45.33 70.22 65.90 62.37
Thu Open 25.84 69.55 45.41 70.15 65.94 62.35
Wed 1500 25.80 71.31 45.55 70.13 66.00 62.32
Wed Open 26.26 73.52 47.11 72.10 66.41 62.56
Tue 1500 26.74 74.44 47.34 71.87 66.41 62.62
Tue Open 26.09 71.02 46.09 69.75 66.13 62.59
Mon 1500 26.11 70.80 45.94 69.51 65.97 61.91
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
--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.