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Free AccessMNI China Daily Summary: Thursday, Aug 29
MNI: EU To Maintain Piecemeal De-Escalation On China Trade
US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR MAY 19
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USM USN TYM TYN FVM FVN EDM EDN
1100 11.70% 9.95% 4.59% 4.11% 2.40% 2.18% 87.40% 107.50%
0930 11.82% 9.93% 4.60% 4.10% 2.37% 2.18% 85.30% 110.70%
TUE OPEN 11.75% 9.58% 4.68% 3.97% 2.45% 2.11% 81.20% 105.30%
MON 1500 12.15% 9.99% 4.73% 4.13% 2.69% 2.25% 83.55% 98.64%
MON OPEN 10.85% 9.74% 4.12% 3.95% 2.19% 2.10% 99.89% 105.61%
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
JUN'20 10Y NOTE 141.00 C 81,282 -12 135.00 P 104,431 -630
JUL'20 10Y NOTE 139.50 C 46,658 +9,841 138.00 P 53,090 +9,621
JUN'20 5Y NOTE 126.50 C 75,713 -2,777 113.00 P 202,033 UNCH
JUL'20 5Y NOTE 126.25 C 41,919 +3,305 124.50 P 12,583 +4,374
JUN'20 2Y NOTE 110.25 C 65,649 +21 106.50 P 41,126 UNCH
JUL'20 2Y NOTE 110.38 C 582 +500 110.38 P 5,510 +500
JUN'20 EURODLR 99.50 C 413,539 -3 98.25 P 619,337 UNCH
JUL'20 EURODLR 99.62 C 163,698 UNCH 99.50 P 207,630 +73
JUN'21 1Y-MIDC 99.75 C 131,385 UNCH 98.50 P 201,925 UNCH
JUN'22 2Y-MIDC 99.62 C 85,873 UNCH 99.37 P 110,436 +200
JUN'23 3Y-MIDC 99.62 C 57,939 UNCH 98.75 P 25,810 UNCH
NEAREST ATM: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
JUN'20 10Y NOTE 139.00 C 56,817 -2,994 139.00 P 41,563 -1,191
JUN'20 10Y NOTE 139.50 C 51,163 -6,717 139.50 P 11,930 -781
JUL'20 10Y NOTE 138.50 C 18,426 +723 138.50 P 26,066 +143
JUL'20 10Y NOTE 139.00 C 27,104 +3,880 139.00 P 14,609 +1,832
JUN'20 5Y NOTE 125.50 C 34,608 -3,924 125.50 P 17,495 -1,162
JUN'20 5Y NOTE 125.75 C 23,123 -2,963 125.75 P 3,976 -2
JUL'20 5Y NOTE 125.50 C 9,818 -48 125.50 P 5,856 UNCH
JUL'20 5Y NOTE 125.75 C 12,516 +95 125.75 P 4,593 UNCH
JUN'20 2Y NOTE 110.12 C 39,621 UNCH 110.12 P 27,874 UNCH
JUN'20 2Y NOTE 110.25 C 65,649 +21 110.25 P 6,542 -660
JUL'20 2Y NOTE 110.25 C 6 UNCH 110.25 P 5,085 UNCH
JUL'20 2Y NOTE 110.38 C 582 +500 110.38 P 5,510 +500
JUN'20 EURODLR 99.62 C 286,811 +9,654 99.62 P 214,695 +3,650
JUN'20 EURODLR 99.75 C 342,154 +97 99.75 P 3,032 +280
JUL'20 EURODLR 99.62 C 163,698 UNCH 99.62 P 122,131 +3,260
JUL'20 EURODLR 99.75 C 152,124 +506 99.75 P 70,886 +1,808
JUN'21 1Y-MIDC 99.75 C 131,385 UNCH 99.75 P 30,826 +30
JUN'21 1Y-MIDC 99.88 C 36,315 +440 99.88 P 4,325 UNCH
JUN'22 2Y-MIDC 99.75 C 73,505 UNCH 99.75 P 49,126 -575
JUN'22 2Y-MIDC 99.88 C 16,773 +830 99.88 P 0 UNCH
JUN'23 3Y-MIDC 99.38 C 34,624 -3,362 99.38 P 19,617 +200
JUN'23 3Y-MIDC 99.50 C 16,948 -5,902 99.50 P 10,894 UNCH
PUT/CALL RATIO FOR VOLUME CLEARED:
JUN'20 10Y NOTE PUT/CALL RATIO -- 1.05 (108,960 PUTS VS. 102,264 CALLS)
JUL'20 10Y NOTE PUT/CALL RATIO -- 1.17 (80,568 PUTS VS. 68,077 CALLS)
JUN'20 5Y NOTE PUT/CALL RATIO -- 0.70 (24,495 PUTS VS. 34,142 CALLS)
JUL'20 5Y NOTE PUT/CALL RATIO -- 0.65 (10,287 PUTS VS. 15,557 CALLS)
JUN'20 2Y NOTE PUT/CALL RATIO -- 2.80 (5,667 PUTS VS. 2,032 CALLS)
JUL'20 2Y NOTE PUT/CALL RATIO -- 1.00 (500 PUTS VS. 500 CALLS)
JUN'20 EURODLRS PUT/CALL RATIO -- 1.10 (22,058 PUTS VS. 20,845 CALLS)
JUL'20 EURODLRS PUT/CALL RATIO -- 8.01 (8,883 PUTS VS. 1,161 CALLS)
JUN'21 1Y-MIDCRVE PUT/CALL RATIO -- 7.18 (7,186 PUTS VS. 1,070 CALLS)
JUN'22 2Y-MIDCRVE PUT/CALL RATIO -- 5.60 (18,492 PUTS VS. 3,350 CALLS)
JUN'23 3Y-MIDCRVE PUT/CALL RATIO -- 0.00 (600 PUTS VS. 25,380 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
1100 36.08 65.30 51.36 67.17 64.16 61.81
0930 36.26 65.81 51.40 67.42 64.42 62.06
Tue Open 36.12 65.46 51.16 67.10 64.28 61.91
Mon 1500 36.86 64.93 51.02 66.99 64.26 61.80
Mon Open 36.00 64.26 50.86 66.72 64.06 61.78
--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.