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Free AccessMNI BRIEF: Canada Commits To Just One Of Three Fiscal Anchors
MNI POLITICAL RISK - Thune Eyes 'Deficit-Negative' Legislation
US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR Oct 2
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USX USZ TYX TYZ FVX TUZ EDV EDZ
MON 3:00 7.75% 7.66% 4.07% 4.04% 2.48% 2.45% 12.71% 16.60%
12:15 7.68% 7.60% 4.00% 3.98% 2.45% 2.43% 12.35% 16.43%
10:45 7.66% 7.60% 4.07% 3.97% 2.48% 2.43% 12.45% 16.45%
9:00 7.66% 7.59% 4.10% 3.97% 2.51% 2.43% 12.50% 16.45%
MON OPEN 7.62% 7.53% 3.99% 3.96% 2.47% 2.40% 12.10% 16.85%
FRI 3:00 7.31% 7.43% 3.92% 3.94% 2.41% 2.41% 11.30% 16.30%
FRI OPEN 7.17% 7.31% 3.76% 3.82% 2.28% 2.32% 12.20% 16.65%
THU 3:00 7.45% 7.49% 3.78% 3.84% 2.31% 2.32% 11.20% 16.35%
THU OPEN 7.44% 7.59% 3.81% 3.96% 2.39% 2.38% 12.10% 16.90%
WED 3:00 7.39% 7.51% 3.92% 3.92% 2.38% 2.41% 11.80% 16.90%
WED OPEN 7.10% 7.30% 3.80% 3.83% 2.31% 2.32% 11.89% 17.62%
TUE 3:00 7.19% 7.36% 3.84% 3.88% 2.31% 2.34% 12.40% 17.15%
TUE OPEN 7.26% 7.35% 3.83% 3.86% 2.29% 2.31% 13.40% 17.85%
MON 3:00 7.53% 7.50% 3.94% 3.95% 2.39% 2.37% 12.62% 17.80%
MON OPEN 7.24% 7.27% 3.76% 3.79% 2.21% 2.28% 13.34% 16.54%
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
NOV17 10Y NOTE 127.00 C 115,417 -256 124.50 P 164,960 +20,081
DEC17 10Y NOTE 129.00 C 89,924 -996 114.00 P 90,755 UNCH
NOV17 5Y NOTE 118.50 C 35,960 +13,780 116.75 P 41,816 +1,003
DEC17 5Y NOTE 119.00 C 15,262 -313 112.25 P 104,720 UNCH
OCT17 EURODLR 98.62 C 132,909 -336 98.50 P 224,684 +3,000
DEC17 EURODLR 98.75 C 615,858 -150 98.37 P1,155,291 +16,493
DEC18 1Y-MIDC 98.50 C 147,775 -2,354 98.12 P 483,259 -5,949
DEC19 2Y-MIDC 98.50 C 139,965 +1,188 97.75 P 280,752 -1,200
DEC20 3Y-MIDC 97.87 C 55,713 +1,650 96.75 P 101,487 +325
NEAREST ATM: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
NOV17 10Y NOTE 127.00 C 115,417 -256 127.00 P 23,841 +124
NOV17 10Y NOTE 127.50 C 82,110 +616 127.50 P 11,989 UNCH
DEC17 10Y NOTE 127.00 C 42,245 +3,962 127.00 P 21,056 -1,332
DEC17 10Y NOTE 127.50 C 29,609 -397 127.50 P 12,485 UNCH
NOV17 5Y NOTE 118.25 C 18,374 +129 118.25 P 15,012 UNCH
NOV17 5Y NOTE 118.50 C 35,960 +13,780 118.50 P 2,578 UNCH
DEC17 5Y NOTE 118.25 C 14,608 -40 118.25 P 15,978 UNCH
DEC17 5Y NOTE 118.50 C 11,787 +326 118.50 P 15,561 UNCH
OCT17 EURODLR 98.50 C 41,699 +1,600 98.50 P 224,684 +3,000
OCT17 EURODLR 98.62 C 132,909 -336 98.62 P 24,899 UNCH
DEC17 EURODLR 98.50 C 339,591 +7,832 98.50 P 591,211 -5,650
DEC17 EURODLR 98.62 C 526,763 +2,942 98.62 P 221,546 -100
DEC18 1Y-MIDC 98.25 C 90,458 -1,650 98.25 P 221,990 -10,515
DEC18 1Y-MIDC 98.37 C 141,361 -750 98.37 P 87,282 -8,302
DEC19 2Y-MIDC 98.00 C 70,980 +2,590 98.00 P 185,590 -3,400
DEC19 2Y-MIDC 98.12 C 50,888 +1,164 98.12 P 58,104 -300
DEC20 3Y-MIDC 97.87 C 55,713 +1,650 97.87 P 41,997 UNCH
DEC20 3Y-MIDC 98.00 C 43,970 UNCH 98.00 P 19,255 UNCH
PUT/CALL RATIO FOR VOLUME CLEARED:
NOV17 10Y NOTE PUT/CALL RATIO -- 2.18 (311,512 PUTS VS. 142,756 CALLS)
DEC17 10Y NOTE PUT/CALL RATIO -- 1.51 (85,829 PUTS VS. 56,603 CALLS)
NOV17 5Y NOTE PUT/CALL RATIO -- 1.33 (87,229 PUTS VS. 65,504 CALLS)
DEC17 5Y NOTE PUT/CALL RATIO -- 2.84 (33,842 PUTS VS. 11,923 CALLS)
OCT17 EURODLRS PUT/CALL RATIO -- 0.60 (3,150 PUTS VS. 5,100 CALLS)
DEC17 EURODLRS PUT/CALL RATIO -- 2.88 (107,506 PUTS VS. 37,214 CALLS)
DEC18 1Y-MIDCRVE PUT/CALL RATIO -- 5.43 (111,902 PUTS VS. 20,650 CALLS)
DEC19 2Y-MIDCRVE PUT/CALL RATIO -- 1.59 (14,700 PUTS VS. 9,300 CALLS)
DEC20 3Y-MIDCRVE PUT/CALL RATIO -- 1.00 (6,000 PUTS VS. 6,000 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
Mon 3:00 41.46 61.59 57.65 61.97 71.51 77.07
12:15 41.32 61.61 57.60 61.97 71.46 77.03
10:45 41.33 60.87 57.54 61.81 71.42 76.99
9:00 41.35 60.31 57.50 61.74 71.37 76.97
Mon Open 41.07 59.09 57.41 61.68 71.29 76.92
Fri 3:00 40.85 58.41 56.80 60.56 71.19 76.93
Fri Open 40.73 58.34 56.98 60.65 71.32 76.99
Thu 3:00 40.75 58.46 56.93 61.28 71.31 76.95
Thu Open 41.04 58.91 56.89 61.06 71.40 76.95
Wed 3:00 41.20 59.46 56.83 60.98 71.35 77.00
Wed Open 40.70 58.68 56.22 60.10 71.26 76.20
Tue 3:00 40.46 57.67 56.02 59.99 71.10 77.01
Tue Open 40.50 57.91 56.18 60.22 71.29 77.24
Mon 3:00 40.20 57.13 55.45 59.32 71.15 77.23
Mon Open 40.03 56.18 55.28 59.24 70.65 77.12
--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.