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March 04, 2021 01:34 GMT
CHINA PRESS
China to Retaliate Should US Threatens Supply Chain: GT Editorial
Trending Top 5
March 04, 2021 03:28 GMT
MNI China Press Digest Mar 4: US Threat, 8.7% GDP, Prpty Curbs
March 04, 2021 02:45 GMT
MNI: PBOC Net Drains CNY10 Billion Via OMOs Thursday
March 04, 2021 01:28 GMT
MNI: PBOC Sets Yuan Parity Higher At 6.4758 Thurs; +7.29% Y/Y
March 03, 2021 21:33 GMT
Eurozone/UK Bond Supply Calendar: Spain / France to issue Thur
March 03, 2021 20:43 GMT
MNI INTERVIEW: ISM Prices Highest Since `08 on Oil, Re-Opening
May 31, 2018 18:57 GMT
US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR MAY 31
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USN USQ TYN TYQ FVN FVQ EDM EDN
3:00 7.66% 7.44% 4.34% 4.12% 3.01% 2.76% 15.52% 16.28%
11:00 7.39% 7.44% 4.19% 4.10% 2.95% 2.72% 16.97% 16.66%
THU OPEN 7.53% 7.40% 4.26% 4.07% 3.96% 2.70% 17.48% 15.69%
WED 3:00 7.74% 7.61% 4.35% 4.16% 3.07% 2.81% 17.22% 16.48%
WED 12:30 7.69% 7.57% 4.24% 4.09% 3.04% 2.75% 17.29% 16.07%
TUE 3:00 8.50% 7.98% 4.60% 4.34% 1.59% 3.01% 17.69% 18.86%
TUE 9:30 7.43% 7.25% 4.15% 3.92% 2.81% 2.57% 15.79% 15.48%
FRI 1:00 6.88% N/A 3.37% N/A 2.22% N/A 13.14% 14.08%
FRI OPEN 7.00% N/A 3.60% N/A 2.30% N/A 13.44% 13.53%
THU 3:00 6.77% N/A 3.48% N/A 2.23% N/A 13.52% 13.11%
THU OPEN 6.92% N/A 3.48% N/A 2.24% N/A 12.77% 12.03%
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
JUL18 10Y NOTE 120.00 C 104,289 +353 118.00 P 128,909 -13,373
SEP18 10Y NOTE 121.00 C 37,567 +342 117.00 P 46,343 +5,100
JUL18 5Y NOTE 114.25 C 56,740 +10,772 113.00 P 37,312 +2,933
SEP18 5Y NOTE 113.50 C 17,431 -311 106.25 P 90,263 +18,007
JUL18 2Y NOTE 106.37 C 121,332 +2,100 105.67 P 7,382 UNCH
SEP18 2Y NOTE 108.25 C 2,302 +2,300 106.00 P 11,153 +10,940
JUN18 EURODLR 98.00 C 375,361 -11,150 97.50 P 514,696 -42,554
JUL18 EURODLR 97.75 C 109,199 +2,650 97.37 P 111,898 UNCH
JUN19 1Y-MIDC 98.12 C 219,693 UNCH 97.12 P 426,805 -24,324
JUN20 2Y-MIDC 97.37 C 151,032 UNCH 97.37 P 164,552 -50
JUN21 3Y-MIDC 98.00 C 138,150 UNCH 97.25 P 145,831 UNCH
NEAREST ATM: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
JUL18 10Y NOTE 119.00 C 59,237 -5,394 119.00 P 85,642 -3,096
JUL18 10Y NOTE 119.50 C 72,743 -936 119.50 P 54,206 +14,315
SEP18 10Y NOTE 119.00 C 20,917 -1,323 119.00 P 27,358 +2,230
SEP18 10Y NOTE 119.50 C 16,314 -333 119.50 P 14,622 +15
JUL18 5Y NOTE 113.00 C 54,222 -65 113.00 P 37,312 +2,933
JUL18 5Y NOTE 113.50 C 33,143 -2,288 113.50 P 18,628 +3,869
SEP18 5Y NOTE 113.00 C 5,594 -97 113.00 P 7,073 +246
SEP18 5Y NOTE 113.50 C 17,431 -311 113.50 P 5,341 +3,618
JUL18 2Y NOTE 106.00 C 1,076 UNCH 106.00 P 2,644 UNCH
JUL18 2Y NOTE 106.12 C 30,657 -500 106.12 P 201 UNCH
SEP18 2Y NOTE 106.00 C 104 UNCH 106.00 P 11,153 +10,940
SEP18 2Y NOTE 106.12 C 0 UNCH 106.12 P 0 UNCH
JUN18 EURODLR 97.75 C 351,495 +1,780 97.75 P 374,929 -2
JUN18 EURODLR 97.87 C 361,647 +100 97.87 P 317,917 UNCH
JUL18 EURODLR 97.50 C 31,807 +2,950 97.50 P 86,734 +964
JUL18 EURODLR 97.62 C 55,346 -6,810 97.62 P 42,733 UNCH
JUN19 1Y-MIDC 97.37 C 153,225 -15,274 97.37 P 226,532 -6,131
JUN19 1Y-MIDC 97.50 C 188,892 +4,436 97.50 P 122,585 UNCH
JUN20 2Y-MIDC 97.00 C 47,161 -100 97.00 P 88,049 -3,414
JUN20 2Y-MIDC 97.12 C 78,301 +3,210 97.12 P 102,240 -1,774
JUN21 3Y-MIDC 96.87 C 19,811 UNCH 96.87 P 54,119 UNCH
JUN21 3Y-MIDC 97.00 C 63,061 -585 97.00 P 70,838 +1,971
PUT/CALL RATIO FOR VOLUME CLEARED:
JUL18 10Y NOTE PUT/CALL RATIO -- 0.72 (204,558 PUTS VS. 285,722 CALLS)
SEP18 10Y NOTE PUT/CALL RATIO -- 0.53 (87,184 PUTS VS. 163,641 CALLS)
JUL18 5Y NOTE PUT/CALL RATIO -- 0.42 (39,214 PUTS VS. 93,578 CALLS)
SEP18 5Y NOTE PUT/CALL RATIO -- 3.12 (99,041 PUTS VS. 31,859 CALLS)
JUL18 2Y NOTE PUT/CALL RATIO -- 0.01 (54 PUTS VS. 11,976 CALLS)
SEP18 2Y NOTE PUT/CALL RATIO -- 6.73 (22,343 PUTS VS. 3,322 CALLS)
JUN18 EURODLRS PUT/CALL RATIO -- 2.37 (108,305 PUTS VS. 45,724 CALLS)
JUL18 EURODLRS PUT/CALL RATIO -- 0.08 (4,170 PUTS VS. 50,880 CALLS)
JUN19 1Y-MIDCRVE PUT/CALL RATIO-- 1.00 (110,581 PUTS VS. 110,200 CALLS)
JUN20 2Y-MIDCRVE PUT/CALL RATIO-- 0.91 (15,800 PUTS VS. 17,300 CALLS)
JUN21 3Y-MIDCRVE PUT/CALL RATIO-- 2.14 (10,110 PUTS VS. 4,731 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
3:00 54.01 65.92 66.15 65.96 71.40 74.90
11:00 53.59 65.42 65.10 64.77 70.90 74.63
THU OPEN 53.92 66.02 65.69 65.17 71.06 74.69
WED 3:00 53.12 68.79 65.95 66.24 70.82 74.30
WED 12:30 52.91 68.40 65.71 66.03 70.80 74.19
TUE 3:00 53.51 69.41 64.58 65.45 70.26 73.66
TUE 9:30 45.85 64.81 59.00 61.80 69.59 73.54
FRI 1:00 43.90 58.70 56.17 59.49 69.06 73.26
FRI OPEN 43.95 58.69 55.96 59.33 68.97 73.13
THU 3:00 43.57 57.80 55.69 59.51 68.75 73.06
THU OPEN 43.71 58.71 56.03 59.82 69.03 73.20
--MNI Chicago Bureau; +1 630-698-0154; email: ryan.martin@marketnews.com
[TOPICS: MTABLE,M$U$$$,M$$FI$,MN$FI$]
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