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Free AccessMNI Gilt Week Ahead: Triple issuance week?
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US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR MAY 13
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USM USN TYM TYN FVM FVN EDM EDN
FRI 3:00 5.98% 6.20% 3.51% 3.62% 2.35% 2.43% 8.32% N/A
FRI OPEN 6.69% 6.38% 4.07% 3.68% 2.76% 2.53% 7.38% N/A
THU 3:00 6.73% 6.40% 4.02% 3.79% 2.75% 2.54% 7.89% N/A
THU OPEN 6.80% 6.50% 4.22% 3.97% 2.82% 2.58% 7.90% N/A
WED 3:00 6.55% 6.17% 3.89% 3.77% 2.61% 2.44% 7.70% N/A
WED OPEN 6.67% 6.43% 3.98% 3.95% 2.69% 2.54% 8.25% N/A
TUE 3:00 6.41% 6.40% 3.85% 3.80% 2.54% 2.52% 8.40% N/A
TUE OPEN 6.28% 6.20% 3.75% 3.62% 2.44% 2.45% 8.81% N/A
MON 3:00 6.02% 5.88% 3.53% 3.56% 2.45% 2.36% 8.22% N/A
MON OPEN 5.98% 5.98% 3.55% 3.56% 2.37% 2.35% 7.66% N/A
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
JUN19 10Y NOTE 125.00 C 113,608 +597 122.50 P 190,433 +9,190
JUL19 10Y NOTE 124.50 C 90,077 +13,233 123.00 P 62,789 -80
JUN19 5Y NOTE 116.00 C 51,045 +1,823 108.25 P 151,203 UNCH
JUL19 5Y NOTE 116.50 C 31,531 +1,117 115.25 P 40,573 +2,634
JUN19 2Y NOTE 106.75 C 22,044 -46 106.25 P 47,316 UNCH
JUL19 2Y NOTE 107.38 C 5,400 +3,700 106.50 P 6,086 +300
JUN19 EURODLR 97.62 C 469,481 UNCH 96.75 P 728,209 UNCH
JUL19 EURODLR 97.62 C 247,073 -17,600 97.37 P 123,255 -175
JUN19 1Y-MIDC 97.87 C 192,353 +13,723 97.62 P 359,013 -5,450
JUN20 2Y-MIDC 97.75 C 101,364 +8,315 97.50 P 111,079 +1,000
JUN21 3Y-MIDC 97.75 C 92,808 -1,600 97.62 P 80,319 +300
NEAREST ATM: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
JUN19 10Y NOTE 124.00 C 90,074 -6,103 124.00 P 25,801 +1,259
JUN19 10Y NOTE 124.50 C 110,912 +263 124.50 P 20,196 +200
JUL19 10Y NOTE 124.00 C 20,735 +411 124.00 P 17,543 +658
JUL19 10Y NOTE 124.50 C 90,077 +13,233 124.50 P 7,582 +1,824
JUN19 5Y NOTE 115.75 C 30,147 -2,909 115.75 P 8,334 +211
JUN19 5Y NOTE 116.00 C 51,045 +1,823 116.00 P 14,675 -454
JUL19 5Y NOTE 115.75 C 14,375 +11 115.75 P 15,957 +500
JUL19 5Y NOTE 116.00 C 4,681 -21 116.00 P 3,516 -40
JUN19 2Y NOTE 106.50 C 14,466 +43 106.50 P 15,153 -24
JUN19 2Y NOTE 106.62 C 13,498 +1,625 106.62 P 2,815 +50
JUL19 2Y NOTE 106.50 C 2,150 UNCH 106.50 P 6,086 +300
JUL19 2Y NOTE 106.62 C 2,771 UNCH 106.62 P 2,341 -650
JUN19 EURODLR 97.25 C 257,214 UNCH 97.25 P 309,081 UNCH
JUN19 EURODLR 97.37 C 366,942 -281 97.37 P 250,275 UNCH
JUL19 EURODLR 97.25 C 53,755 UNCH 97.25 P 85,838 UNCH
JUL19 EURODLR 97.37 C 208,646 +1,500 97.37 P 123,255 -175
JUN20 1Y-MIDC 97.50 C 75,783 +610 97.50 P 211,806 -2,850
JUN20 1Y-MIDC 97.62 C 100,336 +99 97.62 P 359,013 -5,450
JUN21 2Y-MIDC 97.62 C 26,496 UNCH 97.62 P 57,244 -2,201
JUN21 2Y-MIDC 97.75 C 101,364 +8,315 97.75 P 88,501 +2,059
JUN22 3Y-MIDC 97.62 C 27,111 +1,543 97.62 P 80,319 +300
JUN22 3Y-MIDC 97.75 C 92,808 -1,600 97.75 P 46,350 -350
PUT/CALL RATIO FOR VOLUME CLEARED:
JUN19 10Y NOTE PUT/CALL RATIO -- 0.73 (107,317 PUTS VS. 145,959 CALLS)
JUL19 10Y NOTE PUT/CALL RATIO -- 0.66 (37,837 PUTS VS. 57,141 CALLS)
JUN19 5Y NOTE PUT/CALL RATIO -- 1.07 (64,394 PUTS VS. 60,098 CALLS)
JUL19 5Y NOTE PUT/CALL RATIO -- 0.87 (13,432 PUTS VS. 15,474 CALLS)
JUN19 2Y NOTE PUT/CALL RATIO -- 2.17 (6,384 PUTS VS. 2,901 CALLS)
JUL19 2Y NOTE PUT/CALL RATIO -- 1.40 (10,135 PUTS VS. 7,258 CALLS)
JUN19 EURODLRS PUT/CALL RATIO -- 0.00 (1 PUTS VS. 17,618 CALLS)
JUL19 EURODLRS PUT/CALL RATIO -- 0.02 (1,375 PUTS VS. 53,200 CALLS)
JUN20 1Y-MIDCRVE PUT/CALL RATIO -- 0.29 (33,325 PUTS VS. 113,279 CALLS)
JUN21 2Y-MIDCRVE PUT/CALL RATIO -- 0.17 (11,616 PUTS VS. 66,924 CALLS)
JUN22 3Y-MIDCRVE PUT/CALL RATIO -- 0.17 (1,464 PUTS VS. 8,050 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
Fri 3:00 55.63 54.06 56.58 54.14 59.11 64.21
Fri Open 56.45 55.84 57.50 55.13 59.43 64.31
Thu 3:00 56.48 56.61 58.40 55.44 59.33 64.20
Thu Open 53.25 54.29 57.39 54.24 59.39 64.20
Wed 3:00 52.29 53.39 57.04 54.19 59.43 64.30
Wed Open 54.59 54.51 58.57 55.41 59.78 64.41
Tue 3:00 55.22 53.73 56.73 54.64 59.07 64.18
Tue Open 51.07 51.94 55.00 52.02 58.17 63.34
Mon 3:00 51.15 51.59 55.17 52.01 58.43 63.27
Mon Open 48.65 49.41 53.25 50.18 57.45 62.64
--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.