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Free AccessMNI UST Issuance Deep Dive: Dec 2024
MNI US Employment Insight: Soft Enough To Keep Fed Cutting
MNI ASIA MARKETS ANALYSIS: Jobs Data Green Lights Rate Cuts
US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JUNE 23
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USN USU TYN TYU FVN FVU EDN EDU
1245 9.56% 9.62% 4.05% 3.73% 1.54% 1.67% 83.25% 72.10%
1100 9.87% 9.63% 4.10% 3.72% 1.51% 1.65% 90.05% 78.85%
0900 10.68% 9.83% 4.20% 3.82% 1.65% 1.69% 93.30% 72.15%
TUE OPEN 10.50% 9.81% 4.05% 3.77% 1.55% 1.65% 91.80% 73.20%
MON 1500 10.00% 9.76% 3.72% 3.67% 1.46% 1.64% 85.02% 73.80%
MON OPEN 9.81% 9.77% 3.55% 3.65% 1.40% 1.64% 83.60% 71.29%
FRI 1500 9.38% 9.82% 3.22% 3.69% 1.30% 1.65% 80.05% 71.55%
FRI OPEN 10.02% 10.07% 3.45% 3.81% 1.44% 1.66% 84.00% 72.30%
THU 1500 10.12% 10.00% 3.40% 3.78% 1.47% 1.67% 89.05% 77.11%
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%
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
JUL'20 10Y NOTE 139.50 C 107,914 -923 138.00 P 68,613 +89
SEP'20 10Y NOTE 142.00 C 53,178 +3,063 136.00 P 42,368 +4,123
JUL'20 5Y NOTE 126.50 C 39,320 -374 113.00 P 89,767 UNCH
SEP'20 5Y NOTE 126.50 C 30,556 +190 124.00 P 18,979 UNCH
JUL'20 2Y NOTE 110.38 C 11,102 UNCH 107.88 P 6,842 UNCH
SEP'20 2Y NOTE 110.50 C 36,336 +9,037 110.12 P 8,494 +2
JUL'20 EURODLR 99.62 C 164,335 -1 99.50 P 216,315 UNCH
SEP'20 EURODLR 99.87 C 574,384 -537 98.25 P 667,814 UNCH
SEP'21 1Y-MIDC 99.75 C 152,162 +25,159 98.37 P 111,199 UNCH
SEP'22 2Y-MIDC 99.75 C 119,541 -500 99.25 P 70,674 UNCH
SEP'23 3Y-MIDC 99.62 C 47,236 UNCH 99.38 P 48,659 +760
NEAREST ATM: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
JUL'20 10Y NOTE 138.50 C 48,528 -306 138.50 P 39,953 +1,857
JUL'20 10Y NOTE 139.00 C 57,369 -1,732 139.00 P 24,456 +461
SEP'20 10Y NOTE 138.50 C 18,409 +290 138.50 P 31,582 +500
SEP'20 10Y NOTE 139.00 C 37,941 -139 139.00 P 32,878 +117
JUL'20 5Y NOTE 125.25 C 16,025 -3,288 125.25 P 27,893 -115
JUL'20 5Y NOTE 125.50 C 18,395 -108 125.50 P 12,066 -188
SEP'20 5Y NOTE 125.25 C 11,574 UNCH 125.25 P 9,271 UNCH
SEP'20 5Y NOTE 125.50 C 19,648 +19 125.50 P 10,955 UNCH
JUL'20 2Y NOTE 110.25 C 172 +86 110.25 P 4,551 UNCH
JUL'20 2Y NOTE 110.38 C 11,102 UNCH 110.38 P 3,465 -197
SEP'20 2Y NOTE 110.12 C 15 +2 110.12 P 8,494 +2
SEP'20 2Y NOTE 110.25 C 61 UNCH 110.25 P 6,258 UNCH
JUL'20 EURODLR 99.62 C 164,335 -1 99.62 P 135,207 UNCH
JUL'20 EURODLR 99.75 C 159,538 UNCH 99.75 P 78,061 +2
SEP'20 EURODLR 99.62 C 251,219 -78 99.62 P 237,932 +8
SEP'20 EURODLR 99.75 C 436,546 -321 99.75 P 49,678 +1
SEP'21 1Y-MIDC 99.75 C 152,162 +25,159 99.75 P 57,797 +1,000
SEP'21 1Y-MIDC 99.88 C 106,774 +13,492 99.88 P 30,360 UNCH
SEP'22 2Y-MIDC 99.62 C 54,387 UNCH 99.62 P 62,738 +1,818
SEP'22 2Y-MIDC 99.75 C 119,541 -500 99.75 P 44,755 -500
SEP'23 3Y-MIDC 99.50 C 30,058 UNCH 99.50 P 31,218 -260
SEP'23 3Y-MIDC 99.62 C 47,236 UNCH 99.62 P 19,291 UNCH
PUT/CALL RATIO FOR VOLUME CLEARED:
JUL'20 10Y NOTE PUT/CALL RATIO -- 0.47 (27,209 PUTS VS. 57,575 CALLS)
SEP'20 10Y NOTE PUT/CALL RATIO -- 1.68 (42,818 PUTS VS. 25,988 CALLS)
JUL'20 5Y NOTE PUT/CALL RATIO -- 0.18 (4,638 PUTS VS. 24,621 CALLS)
SEP'20 5Y NOTE PUT/CALL RATIO -- 1.29 (9,286 PUTS VS. 7,182 CALLS)
JUL'20 2Y NOTE PUT/CALL RATIO -- 0.99 (251 PUTS VS. 258 CALLS)
SEP'20 2Y NOTE PUT/CALL RATIO -- 0.00 (78 PUTS VS. 11,730 CALLS)
JUL'20 EURODLRS PUT/CALL RATIO -- 0.01 (27 PUTS VS. 4,047 CALLS)
SEP'20 EURODLRS PUT/CALL RATIO -- 0.19 (2,777 PUTS VS. 13,637 CALLS)
SEP'21 1Y-MIDCRVE PUT/CALL RATIO -- 0.07 (6,324 PUTS VS. 87,690 CALLS)
SEP'22 2Y-MIDCRVE PUT/CALL RATIO -- 1.99 (19,950 PUTS VS. 10,100 CALLS)
SEP'23 3Y-MIDCRVE PUT/CALL RATIO -- 0.00 (4,845 PUTS VS. 0 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
1245 23.93 64.60 41.67 65.71 64.92 61.67
1100 23.85 64.69 41.70 65.80 64.96 61.81
0900 23.97 65.33 42.04 66.36 65.06 61.92
Tue Open 23.95 65.29 42.05 66.29 64.99 61.83
Mon 1500 23.93 65.16 42.08 66.08 64.80 61.75
Mon Open 24.09 65.10 42.01 66.15 64.75 61.70
Fri 1500 24.17 64.54 42.10 66.17 64.90 61.74
Fri Open 24.77 65.62 43.07 67.66 65.48 62.06
Thu 1500 25.15 66.51 44.09 69.25 65.63 62.17
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
--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.