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Free AccessMNI ASIA MARKETS ANALYSIS: Consolidation Ahead Nov Jobs Report
MNI POLITICAL RISK - Trump Announces Raft Of Key Nominations
US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JUNE 8
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USN USU TYN TYU FVN FVU EDM EDN
MON 1500 10.87% 9.85% 4.42% 4.31% 2.44% 2.10% N/A 85.00%
1330 10.85% 9.84% 4.55% 4.32% 2.50% 2.14% N/A 85.40%
1200 10.87% 9.84% 4.85% 4.34% 2.52% 2.18% N/A 80.55%
1000 10.95% 9.99% 4.86% 4.36% 2.55% 2.18% N/A 83.20%
MON OPEN 11.10% 10.07% 4.87% 4.38% 2.57% 2.18% N/A 86.70%
FRI 1500 10.36% 10.04% 4.30% 4.32% 2.25% 2.14% N/A 90.30%
FRI OPEN 11.05% 10.39% 4.60% 4.38% 2.12% 2.08% N/A 94.55%
THU 1500 10.93% 10.44% 4.40% 4.34% 2.09% 2.07% N/A 87.25%
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 139.50 C 62,363 -1,029 138.00 P 70,472 -3,149
SEP'20 10Y NOTE 139.00 C 31,409 +1,327 136.00 P 33,891 +1,635
JUL'20 5Y NOTE 126.50 C 44,935 +2,998 113.00 P 89,767 -1
SEP'20 5Y NOTE 127.00 C 32,435 -1,000 109.00 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 2,373 +2,360 110.00 P 3,311 UNCH
JUN'20 EURODLR 99.50 C 406,641 -225 98.25 P 619,337 UNCH
JUL'20 EURODLR 99.62 C 169,870 +1 99.50 P 208,101 +366
JUN'21 1Y-MIDC 99.75 C 114,686 -5,806 98.50 P 201,925 UNCH
JUN'22 2Y-MIDC 99.62 C 86,145 +1,390 99.37 P 104,686 -6,000
JUN'23 3Y-MIDC 99.62 C 37,908 -19,340 99.25 P 32,305 +3,766
NEAREST ATM: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
JUL'20 10Y NOTE 137.00 C 5,461 +5,363 137.00 P 61,673 -4,389
JUL'20 10Y NOTE 137.50 C 3,629 +3,374 137.50 P 46,206 -6,065
SEP'20 10Y NOTE 137.00 C 14,668 +14,186 137.00 P 23,783 +4,415
SEP'20 10Y NOTE 137.50 C 3,940 +3,245 137.50 P 10,704 +1,645
JUL'20 5Y NOTE 124.75 C 1,614 +1,264 124.75 P 10,679 -1,370
JUL'20 5Y NOTE 125.00 C 11,672 +9,660 125.00 P 21,849 -5,657
SEP'20 5Y NOTE 124.75 C 1,048 +327 124.75 P 4,197 +336
SEP'20 5Y NOTE 125.00 C 3,378 +1,341 125.00 P 4,659 +536
JUL'20 2Y NOTE 110.25 C 6 UNCH 110.25 P 3,704 -4
JUL'20 2Y NOTE 110.38 C 11,102 UNCH 110.38 P 3,532 UNCH
SEP'20 2Y NOTE 110.12 C 1 UNCH 110.12 P 10 UNCH
SEP'20 2Y NOTE 110.25 C 6 UNCH 110.25 P 1,095 UNCH
JUN'20 EURODLR 99.62 C 283,817 +700 99.62 P 247,516 UNCH
JUN'20 EURODLR 99.75 C 289,816 +200 99.75 P 7,811 UNCH
JUL'20 EURODLR 99.62 C 169,870 +1 99.62 P 127,475 -2,634
JUL'20 EURODLR 99.75 C 153,926 UNCH 99.75 P 78,244 UNCH
JUN'21 1Y-MIDC 99.75 C 114,686 -5,806 99.75 P 33,633 -322
JUN'21 1Y-MIDC 99.88 C 33,151 UNCH 99.88 P 4,425 UNCH
JUN'22 2Y-MIDC 99.75 C 55,162 -19,152 99.75 P 68,298 -500
JUN'22 2Y-MIDC 99.88 C 22,011 +200 99.88 P 0 UNCH
JUN'23 3Y-MIDC 99.38 C 31,898 -400 99.38 P 22,635 +4,822
JUN'23 3Y-MIDC 99.50 C 14,496 -256 99.50 P 18,341 -250
PUT/CALL RATIO FOR VOLUME CLEARED:
JUL'20 10Y NOTE PUT/CALL RATIO -- 2.69 (412,570 PUTS VS. 153,612 CALLS)
SEP'20 10Y NOTE PUT/CALL RATIO -- 0.86 (96,737 PUTS VS. 111,916 CALLS)
JUL'20 5Y NOTE PUT/CALL RATIO -- 0.91 (64,129 PUTS VS. 70,915 CALLS)
SEP'20 5Y NOTE PUT/CALL RATIO -- 0.54 (36,844 PUTS VS. 66,752 CALLS)
JUL'20 2Y NOTE PUT/CALL RATIO -- 0.39 (156 PUTS VS. 391 CALLS)
SEP'20 2Y NOTE PUT/CALL RATIO -- 0.02 (50 PUTS VS. 2,391 CALLS)
JUN'20 EURODLRS PUT/CALL RATIO -- 0.00 (0 PUTS VS. 1,664 CALLS)
JUL'20 EURODLRS PUT/CALL RATIO -- 1577.0 (4,732 PUTS VS. 3 CALLS)
JUN'21 1Y-MIDCRVE PUT/CALL RATIO -- 1.29 (13,013 PUTS VS. 10,489 CALLS)
JUN'22 2Y-MIDCRVE PUT/CALL RATIO -- 1.86 (99,117 PUTS VS. 53,364 CALLS)
JUN'23 3Y-MIDCRVE PUT/CALL RATIO -- 0.38 (30,662 PUTS VS. 78,427 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 1500 29.87 73.42 48.98 69.20 65.27 61.47
1330 29.77 74.59 49.14 69.20 65.02 61.30
1200 29.67 74.60 49.16 69.27 64.98 61.24
1000 29.99 74.11 49.20 69.88 65.30 61.35
Mon Open 30.37 73.85 49.71 70.23 65.73 61.60
Fri 1500 30.27 72.96 49.61 69.99 65.93 61.72
Fri Open 29.75 72.52 48.98 69.47 66.29 61.95
Thu 1500 29.61 70.51 49.15 69.05 65.73 61.82
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$]
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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.