-
Policy
Policy
Exclusive interviews with leading policymakers that convey the true policy message that impacts markets.
LATEST FROM POLICY: -
EM Policy
EM Policy
Exclusive interviews with leading policymakers that convey the true policy message that impacts markets.
LATEST FROM EM POLICY: -
G10 Markets
G10 Markets
Real-time insight on key fixed income and fx markets.
Launch MNI Podcasts -
Emerging Markets
Emerging Markets
Real-time insight of emerging markets in CEMEA, Asia and LatAm region
-
Commodities
Commodities
Real-time insight of oil & gas markets
-
Credit
Credit
Real time insight of credit markets
-
Data
-
MNI Research
Actionable insight on monetary policy, balance sheet and inflation with focus on global issuance. Analysis on key political risk impacting the global markets.
-
About Us
To read the full story
Sign up now for free trial access to this content.
Please enter your details below.
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.
Real-time Actionable Insight
Get the latest on Central Bank Policy and FX & FI Markets to help inform both your strategic and tactical decision-making.
Free AccessUS 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$]
To read the full story
Sign up now for free trial access to this content.
Please enter your details below.
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.