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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 MAR 12
OPEN INTEREST NOT UPDATED
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USJ USM TYH TYJ FVH TUJ EDH EDJ
12:00 8.06% 7.78% 4.30% 4.11% 2.74% 2.64% 11.66% 15.67%
10:30 8.73% 7.80% 4.39% 4.18% 2.73% 2.64% 11.60% 15.45%
MON OPEN 8.51% 7.97% 4.65% 4.25% 2.91% 2.68% 12.05% 16.62%
FRI 3:00 7.48% 7.84% 4.00% 4.18% 2.72% 2.67% 10.05% 15.70%
FRI OPEN 9.13% 8:23% 4.54% 4.35% 2.97% 2.78% 10.00% 16.74%
THU 3:00 8.29% 8:23% 4.54% 4.35% 2.97% 2.78% 10.09% 16.00%
THU OPEN 8.48% 8:31% 4.75% 4.50% 3.10% 2.83% 13.20% 16.55%
WED 3:00 8.55% 8:35% 4.83% 4.52% 3.13% 2.85% 15.70% 16.67%
WED 12:00 8.72% 8:44% 4.90% 4.54% 3.10% 2.89% 16.08% 16.18%
TUE 3:00 8.47% 8:32% 4.77% 4.48% 3.07% 2.84% 16.90% 17.30%
TUE OPEN 8.58% 8:45% 4.80% 4.51% 3.07% 2.85% 14.50% 15.80%
MON 3:00 8.76% 8:56% 4.81% 4.56% 3.14% 2.86% 16.60% 15.08%
MON OPEN 8.85% 8:49% 4.87% 4.49% 3.18% 2.84% 16.53% 15.37%
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
APR18 10Y NOTE 122.50 C 97,095 -101 120.00 P 148,319 -11,340
JUN18 10Y NOTE 122.00 C 60,394 -441 108.50 P 113,574 +1,348
APR18 5Y NOTE 114.50 C 87,384 -1,265 113.50 P 51,629 +999
JUN18 5Y NOTE 114.00 C 10,428 +1,349 105.50 P 156,003 +888
APR18 2Y NOTE 106.62 C 18,890 UNCH 105.75 P 8,624 UNCH
JUN18 2Y NOTE 106.75 C 13,281 UNCH 106.12 P 31,003 -3
MAR18 EURODLR 98.50 C 479,662 UNCH 97.75 P 260,031 UNCH
APR18 EURODLR 98.37 C 235,781 -100 98.00 P 268,886 UNCH
MAR19 1Y-MIDC 98.25 C 217,995 UNCH 97.50 P 258,674 UNCH
MAR20 2Y-MIDC 98.50 C 145,426 UNCH 97.37 P 198,319 UNCH
MAR21 3Y-MIDC 97.50 C 97,311 UNCH 97.37 P 91,790 UNCH
NEAREST ATM: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
APR18 10Y NOTE 120.00 C 60,765 +6,912 120.00 P 148,319 -11,340
APR18 10Y NOTE 120.50 C 93,411 +4,183 120.50 P 43,636 -162
JUN18 10Y NOTE 120.00 C 33,522 -838 120.00 P 44,418 -306
JUN18 10Y NOTE 120.50 C 14,047 +1,552 120.50 P 18,594 +380
APR18 5Y NOTE 114.25 C 25,321 +1,214 114.25 P 13,078 -2
APR18 5Y NOTE 114.50 C 87,384 -1,265 114.50 P 15,124 UNCH
JUN18 5Y NOTE 114.25 C 9,154 +2,192 114.25 P 10,955 UNCH
JUN18 5Y NOTE 114.50 C 6,397 UNCH 114.50 P 18,380 UNCH
APR18 2Y NOTE 106.38 C 1,617 -10 106.38 P 1,149 UNCH
APR18 2Y NOTE 106.50 C 9,055 UNCH 106.50 P 1,906 UNCH
JUN18 2Y NOTE 106.38 C 1,363 UNCH 106.38 P 30,000 UNCH
JUN18 2Y NOTE 106.50 C 642 UNCH 106.50 P 1,800 UNCH
MAR18 EURODLR 97.87 C 35,593 -175 97.87 P 148,762 -2,717
MAR18 EURODLR 98.00 C 91,157 UNCH 98.00 P 188,463 UNCH
APR18 EURODLR 97.75 C 39,673 +650 97.75 P 142,597 -250
APR18 EURODLR 97.87 C 124,252 UNCH 97.87 P 245,279 UNCH
MAR19 1Y-MIDC 97.37 C 29,744 +3,400 97.37 P 186,162 +1,295
MAR19 1Y-MIDC 97.50 C 158,441 -2,907 97.50 P 258,674 UNCH
MAR20 2Y-MIDC 97.00 C 7,446 +125 97.00 P 148,834 -13,007
MAR20 2Y-MIDC 97.12 C 47,530 +1,190 97.12 P 96,825 -2,705
MAR21 3Y-MIDC 96.87 C 1,750 UNCH 96.87 P 43,663 +666
MAR21 3Y-MIDC 97.00 C 19,268 +473 97.00 P 63,715 +1,203
PUT/CALL RATIO FOR VOLUME CLEARED:
APR18 10Y NOTE PUT/CALL RATIO -- 0.53 (120,735 PUTS VS. 224,284 CALLS)
JUN18 10Y NOTE PUT/CALL RATIO -- 1.70 (82,941 PUTS VS. 48,585 CALLS)
APR18 5Y NOTE PUT/CALL RATIO -- 0.88 (15,748 PUTS VS. 17,743 CALLS)
JUN18 5Y NOTE PUT/CALL RATIO -- 0.99 (15,943 PUTS VS. 16,043 CALLS)
APR18 2Y NOTE PUT/CALL RATIO -- 68.7 (687 PUTS VS. 10 CALLS)
JUN18 2Y NOTE PUT/CALL RATIO -- 132.6 (12,871 PUTS VS. 97 CALLS)
MAR18 EURODLRS PUT/CALL RATIO -- 2.80 (12,669 PUTS VS. 4,550 CALLS)
APR18 EURODLRS PUT/CALL RATIO -- 0.81 (22,000 PUTS VS. 27,180 CALLS)
MAR19 1Y-MIDCRVE PUT/CALL RATIO -- 3.48 (25,869 PUTS VS. 7,450 CALLS)
MAR20 2Y-MIDCRVE PUT/CALL RATIO -- 0.62 (30,325 PUTS VS. 48,700 CALLS)
MAR21 3Y-MIDCRVE PUT/CALL RATIO -- 8.91 (10,741 PUTS VS. 1,200 CALLS)
(VOLUME, OPEN INTEREST, PUT/CALL RATIOS FOR VOLUME CLEARED 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
12:00 52.31 63.34 64.43 65.75 72.40 74.46
10:30 52.36 63.44 64.52 65.86 72.51 74.55
Mon Open 52.46 62.68 64.63 66.07 72.63 74.65
Fri 3:00 52.45 63.17 65.42 67.03 72.80 74.71
Fri Open 52.80 67.25 67.30 68.85 73.31 74.85
Thu 3:00 52.82 67.35 67.34 68.86 73.32 74.86
Thu Open 53.29 68.72 68.48 69.67 73.57 74.97
Wed 3:00 53.23 68.90 68.43 69.75 73.48 74.75
Wed 12:00 53.44 69.03 68.65 69.87 73.39 74.53
Tue 3:00 53.15 70.60 68.54 69.77 73.22 74.47
Tue Open 53.27 70.83 68.63 70.00 72.90 74.39
Mon 3:00 53.15 69.89 68.99 69.52 72.74 74.27
Mon Open 52.55 69.55 68.16 68.81 72.34 73.89
--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.