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Free AccessMNI: Japan Govt Keeps Economic Assessment, Ups Imports
MNI EUROPEAN OPEN: CAD, MXN Weaken On Tariff Threat, JPY Firms
US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR MAR 15
OPEN INTEREST NOT UPDATED
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USJ USM TYH TYJ FVH TUJ EDH EDJ
THU 3:00 7.65% 7.38% 4.18% 4.00% 2.92% 2.61% N/A 18.43%
1:45 7.62% 7.41% 4.28% 4.00% 2.85% 2.63% N/A 18.96%
12:15 7.40% 7.31% 4.15% 3.96% 2.83% 2.60% N/A 17.87%
9:45 7.59% 7.37% 4.22% 3.99% 2.86% 2.61% N/A 17.97%
THU OPEN 7.68% 7.28% 4.25% 3.96% 2.85% 2.56% N/A 16.91%
WED 3:00 7.68% 7.28% 4.25% 3.96% 2.85% 2.56% N/A 16.91%
WED OPEN 6.98% 7.09% 3.75% 3.85% 2.50% 2.46% N/A 16.67%
TUE 3:00 7.23% 7.13% 3.82% 3.90% 2.65% 2.50% N/A 15.83%
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%
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
APR18 10Y NOTE 122.50 C 96,715 -455 120.00 P 145,012 +4,536
JUN18 10Y NOTE 122.00 C 62,673 +2,233 108.50 P 113,574 UNCH
APR18 5Y NOTE 114.50 C 85,362 -1,519 113.50 P 48,072 -1,019
JUN18 5Y NOTE 116.00 C 11,909 +2,600 105.50 P 156,003 UNCH
APR18 2Y NOTE 106.62 C 19,198 +308 105.75 P 7,489 -1,135
JUN18 2Y NOTE 106.75 C 13,281 UNCH 106.12 P 31,000 UNCH
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 245,910 -12,421
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 57,997 -2,369 120.00 P 145,012 +4,536
APR18 10Y NOTE 120.50 C 92,897 -2,640 120.50 P 44,051 +414
JUN18 10Y NOTE 120.00 C 35,035 +292 120.00 P 46,941 +1,084
JUN18 10Y NOTE 120.50 C 14,659 +438 120.50 P 19,914 +1,212
APR18 5Y NOTE 114.25 C 25,502 -160 114.25 P 12,881 -188
APR18 5Y NOTE 114.50 C 85,362 -1,519 114.50 P 15,126 +2
JUN18 5Y NOTE 114.25 C 10,251 +437 114.25 P 10,940 -28
JUN18 5Y NOTE 114.50 C 6,619 +66 114.50 P 18,380 UNCH
APR18 2Y NOTE 106.38 C 1,368 -250 106.38 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 37,450 +1,856 97.87 P 144,566 -3,628
MAR18 EURODLR 98.00 C 91,157 UNCH 98.00 P 188,634 UNCH
APR18 EURODLR 97.75 C 41,907 +639 97.75 P 131,781 -5,816
APR18 EURODLR 97.87 C 124,252 UNCH 97.87 P 245,279 UNCH
MAR19 1Y-MIDC 97.37 C 34,394 +2,900 97.37 P 173,625 -10,021
MAR19 1Y-MIDC 97.50 C 98,201 -5,000 97.50 P 245,910 -12,421
MAR20 2Y-MIDC 97.00 C 7,446 UNCH 97.00 P 70,350 -36,699
MAR20 2Y-MIDC 97.12 C 66,445 +8,373 97.12 P 96,117 +1,149
MAR21 3Y-MIDC 96.87 C 1,750 UNCH 96.87 P 43,663 UNCH
MAR21 3Y-MIDC 97.00 C 19,268 UNCH 97.00 P 63,965 +250
PUT/CALL RATIO FOR VOLUME CLEARED:
APR18 10Y NOTE PUT/CALL RATIO -- 1.17 (132,389 PUTS VS. 113,119 CALLS)
JUN18 10Y NOTE PUT/CALL RATIO -- 2.83 (73,197 PUTS VS. 25,857 CALLS)
APR18 5Y NOTE PUT/CALL RATIO -- 1.18 (20,489 PUTS VS. 17,359 CALLS)
JUN18 5Y NOTE PUT/CALL RATIO -- 1.20 (9,073 PUTS VS. 7,510 CALLS)
APR18 2Y NOTE PUT/CALL RATIO -- 3.05 (5,865 PUTS VS. 1,969 CALLS)
JUN18 2Y NOTE PUT/CALL RATIO -- 0.00 (314 PUTS VS. 0 CALLS)
MAR18 EURODLRS PUT/CALL RATIO -- 3.52 (15,510 PUTS VS. 4,410 CALLS)
APR18 EURODLRS PUT/CALL RATIO -- 13.3 (30,872 PUTS VS. 2,378 CALLS)
MAR19 1Y-MIDCRVE PUT/CALL RATIO -- 5.62 (79,929 PUTS VS. 14,250 CALLS)
MAR20 2Y-MIDCRVE PUT/CALL RATIO -- 2.98 (97,272 PUTS VS. 32,600 CALLS)
MAR21 3Y-MIDCRVE PUT/CALL RATIO -- 0.05 (1,250 PUTS VS. 21,300 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
Thu 3:00 51.07 61.48 63.46 63.83 70.94 73.74
1:45 51.12 61.61 63.46 63.81 70.92 73.71
12:15 51.05 61.50 63.26 63.64 70.78 73.64
9:45 51.00 61.51 63.40 63.38 70.65 73.50
Thu Open 50.74 60.54 62.61 62.66 70.31 73.15
Wed 3:00 50.74 60.54 62.61 62.66 70.31 73.15
Wed Open 50.59 60.16 62.03 62.44 70.47 73.25
Tue 3:00 50.68 61.13 62.28 62.64 70.85 73.54
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
--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.