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Free AccessMNI ASIA OPEN: Nov Job Gains, Fed Blackout, CPI/PPI Ahead
MNI 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 13
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USJ USM TYJ TYM FVJ FVM EDH EDJ
WED OPEN 5.98% 6.00% 3.26% 3.32% 2.14% 2.22% N/A 5.95%
TUE 3:00 5.97% 5.99% 3.33% 3.31% 2.15% 2.18% N/A 6.05%
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%
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
APR19 10Y NOTE 123.00 C 81,444 +2,421 121.50 P 135,005 -3,463
JUN19 10Y NOTE 124.50 C 27,837 +5,830 121.50 P 50,612 +5
APR19 5Y NOTE 115.50 C 43,471 -525 114.00 P 47,167 -2,291
JUN19 5Y NOTE 116.25 C 16,494 UNCH 108.25 P 151,557 UNCH
APR19 2Y NOTE 106.25 C 5,878 UNCH 105.88 P 6,608 UNCH
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 142,239 +2,750 97.25 P 70,336 -425
MAR19 1Y-MIDC 97.37 C 142,733 UNCH 96.62 P 789,236 UNCH
MAR20 2Y-MIDC 97.50 C 80,177 UNCH 96.62 P 220,789 UNCH
MAR21 3Y-MIDC 97.75 C 52,535 +50 97.00 P 64,925 UNCH
NEAREST ATM: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
APR19 10Y NOTE 122.00 C 29,777 -60 122.00 P 88,377 -831
APR19 10Y NOTE 122.50 C 81,036 +381 122.50 P 42,071 -37
JUN19 10Y NOTE 122.00 C 22,388 -190 122.00 P 30,134 +477
JUN19 10Y NOTE 122.50 C 18,912 +704 122.50 P 22,289 +1,286
APR19 5Y NOTE 114.50 C 13,973 +1 114.50 P 40,031 +237
APR19 5Y NOTE 114.75 C 27,076 -319 114.75 P 21,260 +809
JUN19 5Y NOTE 114.50 C 11,229 UNCH 114.50 P 15,797 +4,004
JUN19 5Y NOTE 114.75 C 11,013 UNCH 114.75 P 36,317 -50
APR19 2Y NOTE 106.00 C 1,625 UNCH 106.00 P 4,696 -21
APR19 2Y NOTE 106.12 C 5,386 UNCH 106.12 P 3,483 -57
JUN19 2Y NOTE 106.00 C 4,246 UNCH 106.00 P 32,447 +3,941
JUN19 2Y NOTE 106.12 C 2,113 UNCH 106.12 P 12,153 +50
MAR19 EURODLR 97.25 C 322,453 UNCH 97.25 P 318,001 UNCH
MAR19 EURODLR 97.37 C 289,705 -3,800 97.37 P 166,529 UNCH
APR19 EURODLR 97.25 C 75,473 UNCH 97.25 P 70,336 -425
APR19 EURODLR 97.37 C 142,239 +2,750 97.37 P 38,555 +2,466
MAR20 1Y-MIDC 97.37 C 142,733 UNCH 97.37 P 158,325 +22,723
MAR20 1Y-MIDC 97.50 C 113,862 -510 97.50 P 39,058 -950
MAR21 2Y-MIDC 97.50 C 80,177 UNCH 97.50 P 72,496 +4,363
MAR21 2Y-MIDC 97.62 C 75,928 -7,850 97.62 P 28,814 +225
MAR22 3Y-MIDC 97.50 C 37,955 UNCH 97.50 P 22,071 -150
MAR22 3Y-MIDC 97.62 C 40,061 -8,740 97.62 P 7,670 +825
PUT/CALL RATIO FOR VOLUME CLEARED:
APR19 10Y NOTE PUT/CALL RATIO -- 0.82 (95,600 PUTS VS. 116,008 CALLS)
JUN19 10Y NOTE PUT/CALL RATIO -- 1.44 (48,210 PUTS VS. 33,339 CALLS)
APR19 5Y NOTE PUT/CALL RATIO -- 1.37 (20,200 PUTS VS. 14,751 CALLS)
JUN19 5Y NOTE PUT/CALL RATIO -- 2.25 (28,962 PUTS VS. 12,819 CALLS)
MAR19 2Y NOTE PUT/CALL RATIO -- 4.23 (220 PUTS VS. 52 CALLS)
APR19 2Y NOTE PUT/CALL RATIO -- 1.39 (15,199 PUTS VS. 10,960 CALLS)
MAR19 EURODLRS PUT/CALL RATIO -- 0.01 (250 PUTS VS. 17,459 CALLS)
APR19 EURODLRS PUT/CALL RATIO -- 1.30 (4,300 PUTS VS. 3,350 CALLS)
MAR20 1Y-MIDCRVE PUT/CALL RATIO -- 1.20 (45,537 PUTS VS. 37,938 CALLS)
MAR21 2Y-MIDCRVE PUT/CALL RATIO -- 0.53 (12,651 PUTS VS. 23,450 CALLS)
MAR22 3Y-MIDCRVE PUT/CALL RATIO -- 0.08 (1,100 PUTS VS. 12,520 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
Wed Open 43.33 48.79 51.41 51.15 61.08 67.32
Tue 3:00 43.02 49.20 51.17 50.69 61.03 67.33
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
--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.