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Free AccessMNI China Daily Summary: Monday, Aug 26
MNI: China CFETS Yuan Index Down 0.50% In Week of Aug 23
US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR MAR 12
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USJ USM TYJ TYM FVJ FVM EDH EDJ
10:30 5.62% 5.90% 3.13% 3.26% 2.00% 2.15% N/A 5.75%
TUE OPEN 6.08% 6.01% 3.33% 3.35% 2.23% 2.23% N/A 6.37%
MON 3:00 5.92% 6.00% 3.28% 3.36% 2.12% 2.23% N/A 6.56%
MON OPEN 6.13% 6.12% 3.38% 3.43% 2.22% 2.28% 7.60% 6.90%
FRI 3:00 5.57% 6.05% 3.26% 3.38% 2.06% 2.25% 6.81% 6.58%
FRI OPEN 5.77% 6.03% 3.20% 3.43% 2.14% 2.25% 7.10% 6.59%
WED 3:00 5.96% 6.12% 3.27% 3.41% 2.13% 2.24% 6.77% 6.98%
WED OPEN 6.15% 6.29% 3.31% 3.45% 2.15% 2.25% 7.56% 7.35%
TUE 3:00 6.19% 6.32% 3.34% 3.49% 2.12% 2.27% 7.23% 7.42%
TUE OPEN 6.32% 6.43% 3.40% 3.56% 2.24% 2.31% 7.60% 7.43%
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
APR19 10Y NOTE 122.50 C 81,415 +670 121.50 P 138,468 +19,755
JUN19 10Y NOTE 123.50 C 22,704 +19 121.50 P 50,607 +47
APR19 5Y NOTE 115.50 C 43,996 -59 114.00 P 49,458 -142
JUN19 5Y NOTE 116.25 C 16,494 UNCH 108.25 P 151,557 UNCH
APR19 2Y NOTE 106.25 C 5,878 +1 105.88 P 6,608 +1
JUN19 2Y NOTE 106.00 C 4,246 UNCH 105.25 P 35,000 UNCH
MAR19 EURODLR 97.25 C 322,453 UNCH 97.00 P 886,549 UNCH
APR19 EURODLR 97.37 C 139,489 +361 97.25 P 70,761 UNCH
MAR19 1Y-MIDC 97.37 C 142,733 +6,543 96.62 P 789,236 UNCH
MAR20 2Y-MIDC 97.62 C 83,778 UNCH 96.62 P 220,789 UNCH
MAR21 3Y-MIDC 97.75 C 52,485 -375 97.00 P 64,925 UNCH
NEAREST ATM: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
APR19 10Y NOTE 122.00 C 29,837 -377 122.00 P 89,208 +10,632
APR19 10Y NOTE 122.50 C 81,415 +670 122.50 P 42,108 +341
JUN19 10Y NOTE 122.00 C 22,578 +195 122.00 P 29,657 +4
JUN19 10Y NOTE 122.50 C 18,208 +878 122.50 P 21,003 +598
APR19 5Y NOTE 114.50 C 13,972 +1 114.50 P 39,474 +50
APR19 5Y NOTE 114.75 C 27,395 +216 114.75 P 20,451 +1,358
JUN19 5Y NOTE 114.50 C 11,229 -1 114.50 P 11,793 UNCH
JUN19 5Y NOTE 114.75 C 11,013 -1 114.75 P 36,367 -155
APR19 2Y NOTE 106.00 C 1,625 -1 106.00 P 4,717 -1
APR19 2Y NOTE 106.12 C 5,386 +1 106.12 P 3,540 UNCH
JUN19 2Y NOTE 106.00 C 4,246 UNCH 106.00 P 28,506 UNCH
JUN19 2Y NOTE 106.12 C 2,113 UNCH 106.12 P 12,103 UNCH
MAR19 EURODLR 97.25 C 322,453 UNCH 97.25 P 318,001 -125
MAR19 EURODLR 97.37 C 294,953 UNCH 97.37 P 166,529 +302
APR19 EURODLR 97.25 C 75,473 UNCH 97.25 P 70,761 UNCH
APR19 EURODLR 97.37 C 139,489 +361 97.37 P 36,089 +250
MAR20 1Y-MIDC 97.37 C 142,733 +6,543 97.37 P 135,602 +6,427
MAR20 1Y-MIDC 97.50 C 116,372 +1,150 97.50 P 40,008 +350
MAR21 2Y-MIDC 97.50 C 80,177 UNCH 97.50 P 68,133 UNCH
MAR21 2Y-MIDC 97.62 C 83,778 UNCH 97.62 P 28,589 UNCH
MAR22 3Y-MIDC 97.50 C 37,955 UNCH 97.50 P 22,221 +264
MAR22 3Y-MIDC 97.62 C 50,101 -2,255 97.62 P 6,845 UNCH
PUT/CALL RATIO FOR VOLUME CLEARED:
APR19 10Y NOTE PUT/CALL RATIO -- 2.78 (114,422 PUTS VS. 41,154 CALLS)
JUN19 10Y NOTE PUT/CALL RATIO -- 0.57 (4,797 PUTS VS. 8,423 CALLS)
APR19 5Y NOTE PUT/CALL RATIO -- 0.67 (5,300 PUTS VS. 7,842 CALLS)
JUN19 5Y NOTE PUT/CALL RATIO -- 0.88 (2,298 PUTS VS. 2,657 CALLS)
MAR19 2Y NOTE PUT/CALL RATIO -- 0.57 (4 PUTS VS. 7 CALLS)
APR19 2Y NOTE PUT/CALL RATIO -- 2.40 (12 PUTS VS. 5 CALLS)
MAR19 EURODLRS PUT/CALL RATIO -- 0.34 (3,860 PUTS VS. 10,960 CALLS)
APR19 EURODLRS PUT/CALL RATIO -- 0.52 (500 PUTS VS. 950 CALLS)
MAR20 1Y-MIDCRVE PUT/CALL RATIO -- 0.63 (14,200 PUTS VS. 22,425 CALLS)
MAR21 2Y-MIDCRVE PUT/CALL RATIO -- 0.02 (250 PUTS VS. 11,994 CALLS)
MAR22 3Y-MIDCRVE PUT/CALL RATIO -- 0.07 (500 PUTS VS. 6,712 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
10:30 42.76 49.00 51.24 51.07 61.46 67.60
Tue Open 43.37 49.35 51.89 51.67 61.85 68.33
Mon 3:00 43.52 49.50 52.23 52.06 62.24 68.67
Mon Open 44.23 49.47 52.72 52.57 62.71 69.19
Fri 3:00 44.11 48.90 52.38 52.23 62.79 69.11
Fri Open 44.25 49.65 52.66 52.81 62.99 69.11
Wed 3:00 43.92 49.57 52.65 52.77 63.07 69.25
Wed Open 44.10 50.33 52.90 53.03 63.20 69.30
Tue 3:00 44.29 51.74 53.36 53.56 63.42 69.58
Tue Open 44.62 52.26 53.66 53.87 63.62 69.70
--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.