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BRIEF: ECB's Panetta-Time To Start Thinking Of NGEU Successor
US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR MAR 22
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USJ USM TYJ TYM FVJ FVM EDJ EDM
12:30 N/A 6.30% N/A 3.47% N/A 2.31% 11.15% 6.75%
FRI OPEN N/A 6.17% N/A 3.43% N/A 2.27% 8.20% 6.59%
THU 3:00 N/A 5.80% N/A 3.23% N/A 2.17% 6.25% 5.88%
THU OPEN N/A 5.74% N/A 3.20% N/A 2.14% 6.77% 5.69%
WED 3:00 N/A 5.74% N/A 3.17% N/A 2.13% 6.09% 5.69%
WED OPEN N/A 5.79% N/A 3.29% N/A 2.18% 7.03% 6.31%
TUE 3:00 N/A 5.80% N/A 3.29% N/A 2.18% 6.99% 6.39%
TUE OPEN 6.91% 5.97% 4.09% 3.37% 2.85% 2.24% 6.93% 6.30%
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
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
APR19 10Y NOTE 123.00 C 91,012 -2,705 121.00 P 131,291 +395
JUN19 10Y NOTE 124.50 C 41,585 +4,361 121.00 P 58,542 -17
APR19 5Y NOTE 115.25 C 46,852 -866 114.75 P 53,887 -416
JUN19 5Y NOTE 116.00 C 44,514 +15,867 108.25 P 151,557 UNCH
APR19 2Y NOTE 106.12 C 4,358 UNCH 105.88 P 6,609 UNCH
JUN19 2Y NOTE 106.50 C 16,229 -500 106.00 P 47,682 UNCH
APR19 EURODLR 97.37 C 152,046 +200 97.37 P 78,541 +13,317
JUN19 EURODLR 97.37 C 423,150 -2,768 96.75 P 728,209 UNCH
JUN19 1Y-MIDC 98.00 C 160,585 +1,461 97.00 P 139,532 UNCH
JUN20 2Y-MIDC 97.75 C 90,511 +172 97.25 P 102,094 -16
JUN21 3Y-MIDC 97.75 C 98,666 +1,750 97.62 P 53,047 +21,413
NEAREST ATM: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
APR19 10Y NOTE 122.00 C 28,452 +8 122.00 P 85,866 -1,164
APR19 10Y NOTE 122.50 C 76,449 -1,483 122.50 P 69,639 +1,056
JUN19 10Y NOTE 122.00 C 21,600 -807 122.00 P 37,219 +1,060
JUN19 10Y NOTE 122.50 C 23,860 -480 122.50 P 33,733 +5,126
APR19 5Y NOTE 114.50 C 13,500 -32 114.50 P 43,095 -29
APR19 5Y NOTE 114.75 C 26,878 +32 114.75 P 53,887 -416
JUN19 5Y NOTE 114.50 C 11,231 +1 114.50 P 19,964 +2,076
JUN19 5Y NOTE 114.75 C 10,264 UNCH 114.75 P 41,392 +5,789
APR19 2Y NOTE 106.00 C 1,660 UNCH 106.00 P 4,233 UNCH
APR19 2Y NOTE 106.12 C 4,358 UNCH 106.12 P 7,641 UNCH
JUN19 2Y NOTE 106.00 C 4,246 UNCH 106.00 P 47,682 UNCH
JUN19 2Y NOTE 106.12 C 2,283 -115 106.12 P 12,819 -1,211
APR19 EURODLR 97.25 C 75,473 UNCH 97.25 P 68,786 UNCH
APR19 EURODLR 97.37 C 152,046 +200 97.37 P 78,541 +13,317
JUN19 EURODLR 97.25 C 261,160 +2,900 97.25 P 295,518 UNCH
JUN19 EURODLR 97.37 C 423,150 -2,768 97.37 P 236,613 +4,311
JUN20 1Y-MIDC 97.50 C 81,258 +1,469 97.50 P 90,030 -8,692
JUN20 1Y-MIDC 97.62 C 63,564 -4,907 97.62 P 22,644 +10,894
JUN21 2Y-MIDC 97.62 C 23,903 UNCH 97.62 P 19,164 +2,622
JUN21 2Y-MIDC 97.75 C 90,511 +172 97.75 P 13,267 +7,027
JUN22 3Y-MIDC 97.62 C 12,899 UNCH 97.62 P 53,047 +21,413
JUN22 3Y-MIDC 97.75 C 98,666 +1,750 97.75 P 38,481 +19,395
PUT/CALL RATIO FOR VOLUME CLEARED:
APR19 10Y NOTE PUT/CALL RATIO -- 0.40 (60,620 PUTS VS. 148,734 CALLS)
JUN19 10Y NOTE PUT/CALL RATIO -- 0.85 (77,681 PUTS VS. 90,657 CALLS)
APR19 5Y NOTE PUT/CALL RATIO -- 0.30 (12,788 PUTS VS. 41,615 CALLS)
JUN19 5Y NOTE PUT/CALL RATIO -- 0.61 (35,609 PUTS VS. 58,069 CALLS)
MAR19 2Y NOTE PUT/CALL RATIO -- 0.09 (50 PUTS VS. 508 CALLS)
APR19 2Y NOTE PUT/CALL RATIO -- 4.34 (10,069 PUTS VS. 2,345 CALLS)
APR19 EURODLRS PUT/CALL RATIO -- 23.1 (18,525 PUTS VS. 800 CALLS)
JUN19 EURODLRS PUT/CALL RATIO -- 0.05 (6,300 PUTS VS. 110,406 CALLS)
JUN20 1Y-MIDCRVE PUT/CALL RATIO -- 1.07 (48,312 PUTS VS. 44,828 CALLS)
JUN21 2Y-MIDCRVE PUT/CALL RATIO -- 2.01 (70,330 PUTS VS. 35,132 CALLS)
JUN22 3Y-MIDCRVE PUT/CALL RATIO -- 10.9 (77,978 PUTS VS. 7,106 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
12:30 47.05 56.44 56.81 56.29 59.58 64.67
Fri Open 43.66 49.29 50.73 49.68 57.48 63.58
Thu 3:00 43.08 46.53 49.45 48.91 57.46 63.70
Thu Open 42.98 45.84 49.18 48.64 57.38 63.98
Wed 3:00 44.01 46.94 50.68 49.62 58.13 64.53
Wed Open 43.98 48.13 50.65 49.59 58.33 64.89
Tue 3:00 43.97 48.67 50.70 49.77 58.78 65.33
Tue Open 44.09 49.86 51.40 51.13 59.72 65.70
Mon 3:00 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
--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.