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Free AccessMNI: China CFETS Yuan Index Down 0.36% In Week of Dec 6
MNI: PBOC Net Injects CNY13.8 Bln via OMO Monday
MNI BRIEF: PBOC Increases Gold Reserves
US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR MAR 5
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USJ USM TYH TYJ FVH TUJ EDH EDJ
MON 3:00 8.76% 8:56% 4.81% 4.56% 3.14% 2.86% 16.60% 15.08%
1:30 9.03% 8:55% 4.99% 4.61% 3.26% 2.89% 16.88% 15.25%
12:00 8.89% 8:52% 4.95% 4.55% 3.08% 2.86% 17.00% 15.94%
10:45 8.82% 8:46% 4.83% 4.49% 3.13% 2.84% 17.40% 15.00%
9:15 8.86% 8:47% 4.84% 4.50% 3.15% 2.83% 16.57% 15.13%
MON OPEN 8.85% 8:49% 4.87% 4.49% 3.18% 2.84% 16.53% 15.37%
FRI 3:00 8.54% 8:42% 4.81% 4.54% 3.13% 2.87% 16.27% 14.75%
FRI OPEN 8.54% 8:31% 4.76% 4.45% 3.13% 2.83% 16.15% 15.12%
THU 3:00 8.36% 8:23% 4.78% 4.49% 3.01% 2.79% 16.70% 14.69%
THU OPEN 8.38% 8:31% 4.59% 4.39% 3.03% 2.81% 14.74% 14.58%
WED 3:00 8.31% 8:26% 4.57% 4.36% 2.97% 2.80% 15.43% 14.47%
WED OPEN 8.25% 8:09% 4.64% 4.28% 3.08% 2.79% 15.83% 13.45%
TUE 3:00 8.41% 8:21% 4.66% 4.35% 3.13% 2.79% 17.28% 16.25%
TUE OPEN 8.51% 8:16% 4.61% 4.32% 3.01% 2.75% 16.45% 16.10%
MON 3:00 8.54% 8:26% 4.62% 4.37% 3.02% 2.75% 16.70% 14.95%
MON OPEN 8.72% 8:26% 4.65% 4.33% 3.16% 2.79% 16.75% 15.60%
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
APR18 10Y NOTE 122.50 C 99,786 +460 119.50 P 182,216 -16,011
JUN18 10Y NOTE 122.00 C 60,365 +648 108.50 P 112,042 +2,235
APR18 5Y NOTE 114.50 C 93,934 +11,563 113.50 P 52,069 +18,445
JUN18 5Y NOTE 116.00 C 8,709 -173 105.50 P 155,112 +11,312
APR18 2Y NOTE 106.62 C 18,890 -366 105.75 P 7,774 UNCH
JUN18 2Y NOTE 106.75 C 13,281 UNCH 106.12 P 31,000 UNCH
MAR18 EURODLR 98.50 C 479,662 UNCH 98.25 P 260,283 -7,837
APR18 EURODLR 98.37 C 235,881 UNCH 98.00 P 268,886 UNCH
MAR19 1Y-MIDC 98.25 C 217,995 UNCH 97.50 P 261,431 +1,500
MAR20 2Y-MIDC 97.37 C 155,089 -718 97.37 P 199,319 UNCH
MAR21 3Y-MIDC 97.50 C 97,311 -2 97.37 P 91,790 UNCH
NEAREST ATM: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
APR18 10Y NOTE 120.00 C 41,605 +3,705 120.00 P 127,749 +50,053
APR18 10Y NOTE 120.50 C 94,264 -533 120.50 P 45,380 +1,905
JUN18 10Y NOTE 120.00 C 29,556 +2,085 120.00 P 39,421 +1,613
JUN18 10Y NOTE 120.50 C 13,250 +736 120.50 P 20,051 +740
APR18 5Y NOTE 114.25 C 25,072 +812 114.25 P 12,834 -1,050
APR18 5Y NOTE 114.50 C 93,934 +11,563 114.50 P 15,206 -7,915
JUN18 5Y NOTE 114.25 C 6,689 -264 114.25 P 6,725 -97
JUN18 5Y NOTE 114.50 C 6,243 -50 114.50 P 18,380 UNCH
APR18 2Y NOTE 106.38 C 1,627 -100 106.38 P 1,149 +300
APR18 2Y NOTE 106.50 C 9,057 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 +500 106.50 P 1,800 UNCH
MAR18 EURODLR 97.87 C 19,006 -20 97.87 P 209,496 -7,032
MAR18 EURODLR 98.00 C 87,494 -293 98.00 P 188,529 -46,590
APR18 EURODLR 97.75 C 24,954 UNCH 97.75 P 136,242 +452
APR18 EURODLR 97.87 C 120,761 +1,098 97.87 P 244,782 UNCH
MAR19 1Y-MIDC 97.37 C 23,763 UNCH 97.37 P 202,980 -342
MAR19 1Y-MIDC 97.50 C 144,506 +2,901 97.50 P 261,431 +1,500
MAR20 2Y-MIDC 97.00 C 7,321 UNCH 97.00 P 162,815 -890
MAR20 2Y-MIDC 97.12 C 41,228 +200 97.12 P 113,325 -426
MAR21 3Y-MIDC 96.87 C 1,750 UNCH 96.87 P 43,840 -26
MAR21 3Y-MIDC 97.00 C 18,925 UNCH 97.00 P 66,974 -322
PUT/CALL RATIO FOR VOLUME CLEARED:
APR18 10Y NOTE PUT/CALL RATIO -- 3.61 (432,110 PUTS VS. 120,642 CALLS)
JUN18 10Y NOTE PUT/CALL RATIO -- 1.89 (82,281 PUTS VS. 43,554 CALLS)
APR18 5Y NOTE PUT/CALL RATIO -- 1.04 (79,643 PUTS VS. 76,369 CALLS)
JUN18 5Y NOTE PUT/CALL RATIO -- 7.48 (56,117 PUTS VS. 7,575 CALLS)
APR18 2Y NOTE PUT/CALL RATIO -- 0.24 (491 PUTS VS. 2,016 CALLS)
JUN18 2Y NOTE PUT/CALL RATIO -- 0.20 (205 PUTS VS. 1,004 CALLS)
MAR18 EURODLRS PUT/CALL RATIO -- 14.2 (136,475 PUTS VS. 9,610 CALLS)
APR18 EURODLRS PUT/CALL RATIO -- 0.67 (17,163 PUTS VS. 25,494 CALLS)
MAR19 1Y-MIDCRVE PUT/CALL RATIO -- 1.24 (17,836 PUTS VS. 14,300 CALLS)
MAR20 2Y-MIDCRVE PUT/CALL RATIO -- 1.36 (44,898 PUTS VS. 32,950 CALLS)
MAR21 3Y-MIDCRVE PUT/CALL RATIO -- 0.54 (7,042 PUTS VS. 12,950 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
Mon 3:00 53.15 69.89 68.99 69.52 72.74 74.27
1:30 53.13 69.80 68.59 69.45 72.69 74.25
12:00 53.06 69.66 68.39 69.21 72.50 74.15
10:45 52.96 69.97 68.42 69.17 72.41 74.06
9:15 52.90 69.93 68.34 69.10 72.32 73.86
Mon Open 52.55 69.55 68.16 68.81 72.34 73.89
Fri 3:00 51.46 69.38 66.74 68.51 72.45 73.83
Fri Open 51.12 69.17 65.94 67.58 71.82 73.46
Thu 3:00 51.01 67.27 65.81 67.60 71.82 73.37
Thu Open 50.66 66.96 64.95 67.11 71.66 73.33
Wed 3:00 50.80 68.76 65.51 67.54 71.80 73.34
Wed Open 50.83 68.74 65.24 67.47 71.77 73.29
Tue 3:00 51.01 70.20 65.32 67.74 71.76 73.43
Tue Open 50.25 69.93 64.38 67.15 71.34 73.20
Mon 3:00 50.23 69.73 64.02 66.94 71.18 73.10
Mon Open 50.20 69.98 64.33 66.98 71.00 73.19
--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.