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Free AccessMNI BRIEF: China November PMI Rises Further Above 50
MNI US Macro Weekly: Politics To The Fore
US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR MAR 13
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USJ USM TYH TYJ FVH TUJ EDH EDJ
10:45 7.46% 7.17% 3.94% 3.85% 2.53% 2.48% N/A 15.16%
9:30 7.15% 7.09% 3.92% 3.85% 2.58% 2.44% N/A 15.54%
TUE OPEN 7.77% 7.55% 4.10% 4.07% 2.78% 2.55% N/A 16.15%
MON 3:00 7.83% 7.60% 4.12% 4.06% 2.82% 2.58% N/A 16.19%
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%
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
APR18 10Y NOTE 122.50 C 97,170 +75 119.50 P 146,112 +9,822
JUN18 10Y NOTE 122.00 C 60,440 +46 108.50 P 113,574 UNCH
APR18 5Y NOTE 114.50 C 86,881 -503 113.50 P 49,091 -2,538
JUN18 5Y NOTE 114.00 C 11,209 +781 105.50 P 156,003 UNCH
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 31,000 -3
MAR18 EURODLR 98.50 C 479,662 UNCH 97.75 P 262,031 UNCH
APR18 EURODLR 98.37 C 235,781 UNCH 98.00 P 268,886 UNCH
MAR19 1Y-MIDC 98.25 C 217,995 UNCH 97.50 P 258,331 -343
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 60,366 -399 120.00 P 140,656 -7,663
APR18 10Y NOTE 120.50 C 95,537 +2,196 120.50 P 43,637 +1
JUN18 10Y NOTE 120.00 C 34,743 +1,221 120.00 P 45,857 +1,439
JUN18 10Y NOTE 120.50 C 14,221 +174 120.50 P 18,702 +108
APR18 5Y NOTE 114.25 C 25,662 +341 114.25 P 13,069 -9
APR18 5Y NOTE 114.50 C 86,881 -503 114.50 P 15,124 UNCH
JUN18 5Y NOTE 114.25 C 9,814 +660 114.25 P 10,968 +13
JUN18 5Y NOTE 114.50 C 6,553 +156 114.50 P 18,380 UNCH
APR18 2Y NOTE 106.38 C 1,618 +1 106.38 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 35,594 +1 97.87 P 148,194 -568
MAR18 EURODLR 98.00 C 91,157 UNCH 98.00 P 188,634 -99
APR18 EURODLR 97.75 C 41,268 +1,595 97.75 P 137,597 -5,000
APR18 EURODLR 97.87 C 124,252 UNCH 97.87 P 245,279 UNCH
MAR19 1Y-MIDC 97.37 C 31,494 +1,750 97.37 P 183,646 -2,516
MAR19 1Y-MIDC 97.50 C 103,201 -55,240 97.50 P 258,331 -343
MAR20 2Y-MIDC 97.00 C 7,446 UNCH 97.00 P 107,049 -41,785
MAR20 2Y-MIDC 97.12 C 58,072 +10,542 97.12 P 94,968 -1,857
MAR21 3Y-MIDC 96.87 C 1,750 UNCH 96.87 P 43,663 +666
MAR21 3Y-MIDC 97.00 C 19,268 UNCH 97.00 P 63,715 +1,203
PUT/CALL RATIO FOR VOLUME CLEARED:
APR18 10Y NOTE PUT/CALL RATIO -- 1.25 (115,097 PUTS VS. 91,859 CALLS)
JUN18 10Y NOTE PUT/CALL RATIO -- 1.24 (42,424 PUTS VS. 34,110 CALLS)
APR18 5Y NOTE PUT/CALL RATIO -- 0.53 (14,509 PUTS VS. 27,304 CALLS)
JUN18 5Y NOTE PUT/CALL RATIO -- 1.17 (6,989 PUTS VS. 5,972 CALLS)
APR18 2Y NOTE PUT/CALL RATIO -- 2.36 (714 PUTS VS. 301 CALLS)
JUN18 2Y NOTE PUT/CALL RATIO -- 45.1 (6,582 PUTS VS. 146 CALLS)
MAR18 EURODLRS PUT/CALL RATIO -- 3978.8 (35,810 PUTS VS. 9 CALLS)
APR18 EURODLRS PUT/CALL RATIO -- 16.3 (49,299 PUTS VS. 3,260 CALLS)
MAR19 1Y-MIDCRVE PUT/CALL RATIO -- 0.35 (18,929 PUTS VS. 53,750 CALLS)
MAR20 2Y-MIDCRVE PUT/CALL RATIO -- 9.72 (107,179 PUTS VS. 11,550 CALLS)
MAR21 3Y-MIDCRVE PUT/CALL RATIO -- 0.00 (0 PUTS VS. 19,000 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
10:45 51.12 60.90 62.35 62.87 71.30 74.15
9:30 51.59 62.18 63.27 63.97 71.60 74.20
Tue Open 52.11 63.03 64.38 65.70 72.29 74.37
Mon 3:00 52.27 63.19 64.39 65.72 72.33 74.43
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
--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.