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Free AccessMNI UST Issuance Deep Dive: Dec 2024
MNI US Employment Insight: Soft Enough To Keep Fed Cutting
MNI ASIA MARKETS ANALYSIS: Jobs Data Green Lights Rate Cuts
US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR NOV 28
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USF USH TYF TYH FVF TUH EDZ EDF
1:00 7.00% 7.24% 3.33% 3.51% 2.03% 2.11% 15.76% 12.79%
10:45 7.00% 7.21% 3.31% 3.51% 2.03% 2.11% 15.71% 12.40%
9:30 6.94% 7.19% 3.33% 3.50% 2.04% 2.11% 15.71% 13.25%
TUE OPEN 7.09% 7.27% 3.26% 3.53% 2.00% 2.09% 16.70% 11.86%
MON 3:00 7.21% 7.34% 3.34% 3.55% 2.02% 2.11% 14.67% 12.71%
MON OPEN 7.19% 7.35% 3.47% 3.42% 2.09% 2.15% 16.70% 12.77%
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
JAN18 10Y NOTE 125.50 C 93,986 +4,628 124.00 P 135,560 +759
MAR18 10Y NOTE 127.00 C 20,747 -92 114.00 P 108,127 UNCH
JAN18 5Y NOTE 118.00 C 24,208 -513 116.00 P 25,501 +121
MAR18 5Y NOTE 117.25 C 11,392 UNCH 108.50 P 140,106 UNCH
JAN18 2Y NOTE 107.50 C 8,830 +230 107.00 P 2,290 +1,620
MAR18 2Y NOTE 107.88 C 3,470 UNCH 107.12 P 21,653 UNCH
DEC17 EURODLR 98.62 C 746,560 -1,100 98.37 P1,074,269 -375
JAN18 EURODLR 98.62 C 245,189 UNCH 98.25 P 385,427 +2,500
DEC18 1Y-MIDC 98.50 C 276,378 UNCH 98.00 P 620,940 -11,431
DEC19 2Y-MIDC 97.87 C 152,797 +4,350 97.75 P 280,391 +2,368
DEC20 3Y-MIDC 97.75 C 92,578 +40 97.75 P 137,869 UNCH
NEAREST ATM: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
JAN18 10Y NOTE 124.50 C 28,828 +88 124.50 P 56,703 +1,856
JAN18 10Y NOTE 125.00 C 53,126 +2,615 125.00 P 26,350 +26
MAR18 10Y NOTE 124.50 C 13,341 +241 124.50 P 15,831 -85
MAR18 10Y NOTE 125.00 C 12,153 +720 125.00 P 11,264 -81
JAN18 5Y NOTE 116.75 C 14,466 +4,148 116.75 P 7,435 -45
JAN18 5Y NOTE 117.00 C 19,737 +4,178 117.00 P 8,299 UNCH
MAR18 5Y NOTE 116.75 C 2,325 +712 116.75 P 3,731 +1,865
MAR18 5Y NOTE 117.00 C 3,594 +22 117.00 P 3,256 UNCH
JAN18 2Y NOTE 107.00 C 0 UNCH 107.00 P 2,290 +1,620
JAN18 2Y NOTE 107.12 C 225 +2 107.12 P 1,263 +517
MAR18 2Y NOTE 107.00 C 0 UNCH 107.00 P 434 UNCH
MAR18 2Y NOTE 107.12 C 1 UNCH 107.12 P 21,653 UNCH
DEC17 EURODLR 98.50 C 453,472 -2,748 98.50 P 510,315 -500
DEC17 EURODLR 98.62 C 746,560 -1,100 98.62 P 210,686 UNCH
JAN18 EURODLR 98.50 C 141,445 UNCH 98.50 P 18,353 UNCH
JAN18 EURODLR 98.62 C 245,189 UNCH 98.62 P 0 UNCH
DEC18 1Y-MIDC 98.12 C 242,276 +14,394 98.12 P 282,637 +1,000
DEC18 1Y-MIDC 98.25 C 261,331 -500 98.25 P 169,730 UNCH
DEC19 2Y-MIDC 97.87 C 152,797 +4,350 97.88 P 167,836 UNCH
DEC19 2Y-MIDC 98.00 C 127,037 UNCH 98.00 P 191,929 UNCH
DEC20 3Y-MIDC 97.75 C 92,578 +40 97.75 P 137,869 UNCH
DEC20 3Y-MIDC 97.87 C 74,998 +280 97.87 P 85,190 UNCH
PUT/CALL RATIO FOR VOLUME CLEARED:
JAN18 10Y NOTE PUT/CALL RATIO -- 0.74 (91,898 PUTS VS. 122,942 CALLS)
MAR18 10Y NOTE PUT/CALL RATIO -- 1.62 (41,025 PUTS VS. 25,299 CALLS)
JAN18 5Y NOTE PUT/CALL RATIO -- 0.59 (11,290 PUTS VS. 19,130 CALLS)
MAR18 5Y NOTE PUT/CALL RATIO -- 4.53 (43,149 PUTS VS. 9,515 CALLS)
JAN18 2Y NOTE PUT/CALL RATIO -- 9.86 (4,230 PUTS VS. 429 CALLS)
MAR18 2Y NOTE PUT/CALL RATIO -- 1.02 (100 PUTS VS. 98 CALLS)
DEC17 EURODLRS PUT/CALL RATIO -- 0.08 (3,851 PUTS VS. 42,998 CALLS)
JAN18 EURODLRS PUT/CALL RATIO -- 0.31 (4,750 PUTS VS. 15,200 CALLS)
DEC18 1Y-MIDCRVE PUT/CALL RATIO -- 0.81 (28,350 PUTS VS. 34,750 CALLS)
DEC19 2Y-MIDCRVE PUT/CALL RATIO -- 2.38 (11,970 PUTS VS. 5,000 CALLS)
DEC20 3Y-MIDCRVE PUT/CALL RATIO -- 2.85 (5,750 PUTS VS. 2,000 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
1:00 37.52 50.36 49.35 53.28 67.63 74.01
10:45 37.79 50.74 49.49 53.35 67.76 74.15
9:15 37.78 50.74 49.65 53.46 68.01 74.13
Tue Open 37.82 50.79 49.56 53.50 68.03 74.28
Mon 3:00 37.95 51.04 50.19 54.08 68.22 74.35
Mon Open 38.24 51.50 50.41 54.21 68.35 74.42
--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.