-
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
Commodities
Real-time insight of oil & gas markets
-
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 Chart Packs -
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 JUNE 4
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USN USU TYN TYU FVN FVU EDM EDN
THU 1500 10.93% 10.44% 4.40% 4.34% 2.09% 2.07% N/A 87.25%
1300 10.67% 10.33% 4.36% 4.32% 2.05% 2.06% N/A 92.70%
1100 11.15% 10.69% 4.49% 4.39% 2.20% 2.11% N/A 86.63%
0945 11.85% 10.82% 4.81% 4.45% 2.32% 2.19% N/A 86.63%
THU OPEN 10.92% 10.30% 4.33% 4.18% 2.08% 2.03% 111.10% 97.85%
WED 1500 11.11% 10.56% 4.30% 4.18% 2.10% 2.05% 95.85% 92.20%
WED OPEN 10.24% 10.08% 3.92% 3.96% 1.90% 1.94% 96.20% 97.75%
TUE 1500 10.03% 9.83% 3.76% 3.88% 1.84% 1.91% 90.10% 91.45%
TUE OPEN 9.80% 9.54% 3.73% 3.82% 1.87% 1.92% 94.50% 91.10%
MON 1500 10.10% 9.71% 3.80% 3.83% 1.95% 1.94% 93.20% 94.60%
MON OPEN 10.03% 9.71% 3.85% 3.88% 1.87% 1.88% 99.05% 91.20%
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
JUL'20 10Y NOTE 140.00 C 67,201 -2,410 138.00 P 75,881 -158
SEP'20 10Y NOTE 139.00 C 28,263 +653 136.00 P 30,803 +3,267
JUL'20 5Y NOTE 126.50 C 42,323 -929 113.00 P 89,768 UNCH
SEP'20 5Y NOTE 127.00 C 36,739 UNCH 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 111.00 C 2,191 UNCH 110.00 P 3,311 UNCH
JUN'20 EURODLR 99.50 C 406,866 -200 98.25 P 619,337 UNCH
JUL'20 EURODLR 99.62 C 169,868 UNCH 99.50 P 207,735 UNCH
JUN'21 1Y-MIDC 99.75 C 120,492 -1,000 98.50 P 201,925 UNCH
JUN'22 2Y-MIDC 99.50 C 85,640 UNCH 99.37 P 110,686 UNCH
JUN'23 3Y-MIDC 99.62 C 56,748 UNCH 99.25 P 28,539 UNCH
NEAREST ATM: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
JUL'20 10Y NOTE 138.50 C 23,566 -215 138.50 P 33,981 -865
JUL'20 10Y NOTE 139.00 C 29,937 -7,074 139.00 P 18,428 -1,204
SEP'20 10Y NOTE 138.50 C 11,965 +1,871 138.50 P 20,767 +722
SEP'20 10Y NOTE 139.00 C 28,263 +653 139.00 P 26,916 +302
JUL'20 5Y NOTE 125.50 C 13,252 -1,269 125.50 P 11,937 -669
JUL'20 5Y NOTE 125.75 C 14,607 +107 125.75 P 4,088 +2
SEP'20 5Y NOTE 125.50 C 15,207 -409 125.50 P 9,382 -50
SEP'20 5Y NOTE 125.75 C 5,106 -503 125.75 P 640 UNCH
JUL'20 2Y NOTE 110.25 C 6 UNCH 110.25 P 3,605 +404
JUL'20 2Y NOTE 110.38 C 11,102 UNCH 110.38 P 3,585 -167
SEP'20 2Y NOTE 110.12 C 1 UNCH 110.12 P 10 UNCH
SEP'20 2Y NOTE 110.25 C 6 +2 110.25 P 1,095 UNCH
JUN'20 EURODLR 99.62 C 282,931 +1,700 99.62 P 247,516 +1,000
JUN'20 EURODLR 99.75 C 289,416 +202 99.75 P 7,811 -3
JUL'20 EURODLR 99.62 C 169,868 UNCH 99.62 P 130,109 +500
JUL'20 EURODLR 99.75 C 154,025 +1,793 99.75 P 78,244 +498
JUN'21 1Y-MIDC 99.75 C 120,492 -1,000 99.75 P 34,055 +751
JUN'21 1Y-MIDC 99.88 C 35,151 UNCH 99.88 P 4,425 +50
JUN'22 2Y-MIDC 99.75 C 74,314 -1,817 99.75 P 70,286 +1,410
JUN'22 2Y-MIDC 99.88 C 21,711 +205 99.88 P 0 UNCH
JUN'23 3Y-MIDC 99.38 C 32,298 UNCH 99.38 P 17,813 UNCH
JUN'23 3Y-MIDC 99.50 C 14,752 UNCH 99.50 P 16,341 UNCH
PUT/CALL RATIO FOR VOLUME CLEARED:
JUL'20 10Y NOTE PUT/CALL RATIO -- 1.41 (203,165 PUTS VS. 143,074 CALLS)
SEP'20 10Y NOTE PUT/CALL RATIO -- 0.93 (41,576 PUTS VS. 44,375 CALLS)
JUL'20 5Y NOTE PUT/CALL RATIO -- 1.01 (36,842 PUTS VS. 35,523 CALLS)
SEP'20 5Y NOTE PUT/CALL RATIO -- 0.50 (12,333 PUTS VS. 24,999 CALLS)
JUL'20 2Y NOTE PUT/CALL RATIO -- 0.00 (1,737 PUTS VS. 0 CALLS)
SEP'20 2Y NOTE PUT/CALL RATIO -- 0.00 (0 PUTS VS. 214 CALLS)
JUN'20 EURODLRS PUT/CALL RATIO -- 1.63 (12,910 PUTS VS. 7,933 CALLS)
JUL'20 EURODLRS PUT/CALL RATIO -- 2.66 (16,869 PUTS VS. 6,685 CALLS)
JUN'21 1Y-MIDCRVE PUT/CALL RATIO -- 1.50 (2,451 PUTS VS. 1,601 CALLS)
JUN'22 2Y-MIDCRVE PUT/CALL RATIO -- 1.54 (37,805 PUTS VS. 24,600 CALLS)
JUN'23 3Y-MIDCRVE PUT/CALL RATIO -- 1.00 (100 PUTS VS. 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
Thu 1500 29.61 70.51 49.15 69.05 65.73 61.82
1300 29.78 70.47 49.28 69.06 65.63 61.60
1100 29.55 69.80 48.88 68.24 65.44 61.47
0945 29.49 68.66 48.04 67.56 65.12 61.24
Thu Open 29.43 68.60 47.82 67.23 64.98 61.16
Wed 1500 29.56 68.27 47.31 66.73 64.88 61.04
Wed Open 28.45 64.25 45.64 64.25 63.73 60.51
Tue 1500 28.34 63.81 45.40 63.78 63.43 60.41
Tue Open 28.55 62.23 45.87 63.14 62.86 60.06
Mon 1500 28.17 62.12 45.66 62.58 62.90 59.97
Mon Open 28.33 61.93 45.21 61.93 62.80 60.05
--MNI Chicago Bureau; tel: +1 312-431-0089; email: bill.sokolis@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.