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Free AccessMNI ASIA OPEN: Weak 30Y Reopen, ECB Forward Guidance Weighing
MNI ASIA MARKETS ANALYSIS: Tsys Reverse Early Data Driven Gain
MNI US Inflation Insight: Softer Housing Helps Ensure Dec Cut
US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR NOV 27
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USF USH TYJ TYH FVF FVH EDZ EDF
WED OPEN 7.35% 7.62% 4.02% 4.13% 2.52% 2.63% 13.16% 23.82%
TUE 1500 7.47% 7.65% 4.05% 4.10% 2.55% 2.64% 14.15% 23.66%
TUE OPEN 7.41% 7.61% 4.00% 4.12% 2.57% 2.65% 14.98% 23.99%
MON OPEN 7.42% 7.61% 4.04% 4.14% 2.62% 2.66% 15.95% 24.55%
FRI 1500 7.37% N/A 4.06% N/A 2.62% N/A 16.00% 25.05%
FRI OPEN 7.41% N/A 4.07% N/A 2.63% N/A 15.95% 24.95%
THU 1500 7.51% N/A 4.15% N/A 2.65% N/A 15.95% 24.95%
THU OPEN 7.51% N/A 4.20% N/A 2.70% N/A 16.33% 26.91%
WED 1500 7.60% N/A 4.29% N/A 2.71% N/A 16.20% 27.38%
WED OPEN 7.44% N/A 4.12% N/A 2.69% N/A 16.72% 25.95%
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
JAN20 10Y NOTE 131.50 C 100,912 +3,738 127.00 P 84,792 +3,917
MAR20 10Y NOTE 134.50 C 56,021 UNCH 117.50 P 63,246 +114
JAN20 5Y NOTE 120.50 C 71,634 +2 118.25 P 69,125 -398
MAR20 5Y NOTE 120.50 C 19,951 UNCH 111.00 P 250,582 UNCH
JAN20 2Y NOTE 108.00 C 9,878 +41 107.62 P 10,721 UNCH
MAR20 2Y NOTE 110.37 C 7,692 UNCH 105.75 P 55,000 UNCH
DEC19 EURODLR 98.25 C 629,397 +1,956 97.25 P1,065,805 -250
JAN20 EURODLR 99.00 C 97,724 UNCH 98.12 P 162,307 +3,251
DEC20 1Y-MIDC 98.75 C 192,944 -4,120 97.50 P 171,536 UNCH
DEC21 2Y-MIDC 98.00 C 84,249 UNCH 97.37 P 125,829 UNCH
DEC22 3Y-MIDC 98.75 C 65,614 +10,606 97.37 P 63,651 UNCH
NEAREST ATM: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
JAN20 10Y NOTE 129.50 C 50,836 -146 129.50 P 55,448 +2,129
JAN20 10Y NOTE 130.00 C 73,099 -319 130.00 P 26,876 +200
MAR20 10Y NOTE 129.50 C 13,172 +1,690 129.50 P 10,528 +4,130
MAR20 10Y NOTE 130.00 C 12,934 +3,382 130.00 P 4,758 +289
JAN20 5Y NOTE 119.00 C 16,966 -19 119.00 P 12,888 -261
JAN20 5Y NOTE 119.25 C 31,163 -161 119.25 P 6,019 +194
MAR20 5Y NOTE 119.00 C 15,330 UNCH 119.00 P 3,591 UNCH
MAR20 5Y NOTE 119.25 C 4,788 +478 119.25 P 4,505 +400
JAN20 2Y NOTE 107.75 C 843 UNCH 107.75 P 7,456 UNCH
JAN20 2Y NOTE 107.88 C 5,505 -377 107.88 P 6,674 UNCH
MAR20 2Y NOTE 107.75 C 500 UNCH 107.75 P 373 UNCH
MAR20 2Y NOTE 107.88 C 300 UNCH 107.88 P 330 +5
DEC19 EURODLR 98.00 C 324,701 -1,682 98.00 P 308,841 -250
DEC19 EURODLR 98.12 C 559,409 +10,000 98.12 P 230,136 +5,055
JAN20 EURODLR 98.25 C 31,140 UNCH 98.25 P 145,278 UNCH
JAN20 EURODLR 98.37 C 53,316 +823 98.37 P 29,473 +514
DEC20 1Y-MIDC 98.50 C 87,726 -1,201 98.50 P 106,107 -2,555
DEC20 1Y-MIDC 98.62 C 144,568 +3,750 98.62 P 49,071 UNCH
DEC21 2Y-MIDC 98.50 C 79,314 -100 98.50 P 58,836 +3,416
DEC21 2Y-MIDC 98.62 C 62,709 +3,704 98.62 P 22,017 +262
DEC22 3Y-MIDC 98.50 C 37,824 -650 98.50 P 19,553 -500
DEC22 3Y-MIDC 98.62 C 43,056 -1,740 98.62 P 18,440 UNCH
PUT/CALL RATIO FOR VOLUME CLEARED:
JAN20 10Y NOTE PUT/CALL RATIO -- 0.72 (63,971 PUTS VS. 88,033 CALLS)
MAR20 10Y NOTE PUT/CALL RATIO -- 2.18 (59,448 PUTS VS. 27,961 CALLS)
JAN20 5Y NOTE PUT/CALL RATIO -- 2.75 (33,626 PUTS VS. 12,239 CALLS)
MAR20 5Y NOTE PUT/CALL RATIO -- 12.3 (55,468 PUTS VS. 4,508 CALLS)
JAN20 2Y NOTE PUT/CALL RATIO -- 0.14 (345 PUTS VS. 2,374 CALLS)
MAR20 2Y NOTE PUT/CALL RATIO -- 2.66 (1,659 PUTS VS. 605 CALLS)
DEC19 EURODLRS PUT/CALL RATIO -- 0.17 (17,108 PUTS VS. 96,048 CALLS)
JAN20 EURODLRS PUT/CALL RATIO -- 2.88 (26,093 PUTS VS. 9,016 CALLS)
DEC20 1Y-MIDCRVE PUT/CALL RATIO -- 0.71 (52,035 PUTS VS. 73,185 CALLS)
DEC21 2Y-MIDCRVE PUT/CALL RATIO -- 0.63 (7,574 PUTS VS. 11,819 CALLS)
DEC22 3Y-MIDCRVE PUT/CALL RATIO -- 0.09 (2,583 PUTS VS. 25,675 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
Wed Open 57.51 64.32 65.64 65.27 67.37 67.05
Tue 1500 57.46 65.08 65.57 65.16 67.30 66.88
Tue Open 57.99 66.01 65.98 66.13 67.15 66.55
Mon Open 59.16 66.53 66.84 66.81 67.17 66.44
Fri 1500 58.95 66.30 66.15 66.43 66.54 65.98
Fri Open 59.57 66.00 66.27 66.37 66.28 65.66
Thu 1500 60.05 66.03 66.85 66.83 66.39 65.66
Thu Open 60.48 68.47 66.77 66.81 65.75 65.66
Wed 1500 60.42 69.35 66.28 66.48 65.99 65.27
Wed Open 58.84 66.78 64.78 65.03 65.51 64.99
--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.