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Free AccessMNI Eurozone Inflation Insight – September 2024
MNI POLICY: EU Likely To Ease Debt Reduction Rules
US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR MAR 19
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USJ USM TYJ TYM FVJ FVM EDJ EDM
MON 3:00 6.91% 5.97% 4.09% 3.37% 2.85% 2.24% 6.93% 6.30%
MON OPEN 6.81% 6.19% 3.03% 3.45% 2.71% 2.27% 6.25% 6.31%
FRI 3:00 5.68% 6.08% 3.22% 3.40% 2.09% 2.24% 6.00% N/A
FRI OPEN 5.85% 6.11% 3.23% 3.38% 2.12% 2.24% 6.05% N/A
THU 3:00 5.68% 6.11% 3.13% 3.38% 2.10% 2.24% 6.05% N/A
THU OPEN 5.85% 6.07% 3.26% 3.36% 2.10% 2.23% 6.20% N/A
WED 3:00 5.85% 6.07% 3.26% 3.36% 2.10% 2.23% 6.20% N/A
WED OPEN 5.98% 6.00% 3.26% 3.32% 2.14% 2.22% 5.95% N/A
TUE 3:00 5.97% 5.99% 3.33% 3.31% 2.15% 2.18% 6.05% N/A
TUE OPEN 6.08% 6.01% 3.33% 3.35% 2.23% 2.23% 6.37% N/A
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
APR19 10Y NOTE 123.00 C 86,677 +7,522 121.50 P 133,172 UNCH
JUN19 10Y NOTE 124.50 C 32,520 +61 121.00 P 51,535 -1,700
APR19 5Y NOTE 115.50 C 45,662 +829 114.00 P 46,239 -133
JUN19 5Y NOTE 116.25 C 20,225 UNCH 108.25 P 151,557 UNCH
APR19 2Y NOTE 106.12 C 5,384 -1 105.88 P 6,608 UNCH
JUN19 2Y NOTE 106.50 C 17,231 UNCH 106.00 P 44,083 UNCH
APR19 EURODLR 97.37 C 151,846 +4,718 97.25 P 70,486 +450
JUN19 EURODLR 97.37 C 426,620 -1,442 96.75 P 728,209 UNCH
JUN19 1Y-MIDC 98.00 C 152,822 UNCH 97.37 P 141,155 +986
JUN20 2Y-MIDC 97.50 C 84,001 UNCH 97.25 P 101,610 +300
JUN21 3Y-MIDC 97.75 C 96,916 UNCH 97.25 P 48,136 UNCH
NEAREST ATM: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
APR19 10Y NOTE 122.00 C 29,248 -102 122.00 P 81,689 -10,720
APR19 10Y NOTE 122.50 C 80,254 +236 122.50 P 50,865 +590
JUN19 10Y NOTE 122.00 C 22,407 +49 122.00 P 33,668 +811
JUN19 10Y NOTE 122.50 C 20,688 UNCH 122.50 P 23,666 -580
APR19 5Y NOTE 114.50 C 13,940 -1 114.50 P 39,523 -950
APR19 5Y NOTE 114.75 C 26,899 -174 114.75 P 57,093 +36,980
JUN19 5Y NOTE 114.50 C 11,231 UNCH 114.50 P 19,002 UNCH
JUN19 5Y NOTE 114.75 C 11,214 UNCH 114.75 P 36,727 +10
APR19 2Y NOTE 106.00 C 1,660 +95 106.00 P 4,496 -200
APR19 2Y NOTE 106.12 C 5,384 -1 106.12 P 3,420 -34
JUN19 2Y NOTE 106.00 C 4,246 UNCH 106.00 P 44,083 UNCH
JUN19 2Y NOTE 106.12 C 2,548 +1 106.12 P 16,645 UNCH
APR19 EURODLR 97.25 C 75,473 UNCH 97.25 P 70,486 +450
APR19 EURODLR 97.37 C 151,846 +4,718 97.37 P 55,174 +4,400
JUN19 EURODLR 97.25 C 257,660 +180 97.25 P 297,518 -500
JUN19 EURODLR 97.37 C 426,620 -1,442 97.37 P 225,300 +1,800
JUN20 1Y-MIDC 97.50 C 73,881 UNCH 97.50 P 110,926 +100
JUN20 1Y-MIDC 97.62 C 61,707 UNCH 97.62 P 8,625 UNCH
JUN21 2Y-MIDC 97.62 C 23,753 -200 97.62 P 9,185 UNCH
JUN21 2Y-MIDC 97.75 C 82,676 UNCH 97.75 P 6,340 UNCH
JUN22 3Y-MIDC 97.62 C 9,809 +250 97.62 P 24,086 +13,086
JUN22 3Y-MIDC 97.75 C 96,916 UNCH 97.75 P 13,086 +13,086
PUT/CALL RATIO FOR VOLUME CLEARED:
APR19 10Y NOTE PUT/CALL RATIO -- 0.52 (86,188 PUTS VS. 164,936 CALLS)
JUN19 10Y NOTE PUT/CALL RATIO -- 0.67 (40,855 PUTS VS. 60,225 CALLS)
APR19 5Y NOTE PUT/CALL RATIO -- 1.41 (72,831 PUTS VS. 51,654 CALLS)
JUN19 5Y NOTE PUT/CALL RATIO -- 0.64 (12,492 PUTS VS. 19,567 CALLS)
MAR19 2Y NOTE PUT/CALL RATIO -- 1.92 (1,451 PUTS VS. 755 CALLS)
APR19 2Y NOTE PUT/CALL RATIO -- 14.5 (4,448 PUTS VS. 305 CALLS)
APR19 EURODLRS PUT/CALL RATIO -- 0.13 (5,750 PUTS VS. 41,106 CALLS)
JUN19 EURODLRS PUT/CALL RATIO -- 0.04 (6,600 PUTS VS. 146,646 CALLS)
JUN20 1Y-MIDCRVE PUT/CALL RATIO -- 2.49 (21,200 PUTS VS. 8,500 CALLS)
JUN21 2Y-MIDCRVE PUT/CALL RATIO -- 1.06 (800 PUTS VS. 750 CALLS)
JUN22 3Y-MIDCRVE PUT/CALL RATIO -- 83.4 (41,703 PUTS VS. 500 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
Mon Open 44.09 49.86 51.40 51.13 59.72 65.70
Mon Open 44.04 49.44 51.48 51.24 59.89 65.80
Fri 3:00 43.57 48.92 51.21 51.03 60.17 66.00
Fri Open 43.29 48.37 50.88 50.03 60.01 65.98
Thu 3:00 43.92 48.61 51.51 51.33 60.85 66.58
Thu Open 43.75 48.72 51.62 51.33 60.97 67.20
Wed 3:00 43.75 48.72 51.62 51.33 60.97 67.20
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
--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.