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Free AccessMNI EUROPEAN MARKETS ANALYSIS: China Equities Lower Post CEWC
MNI EUROPEAN OPEN: Sharp Fall In China Bond Yields Continues
US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR OCT 28
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USZ USF TYZ TYF FVZ FVF EDX EDZ
1345 8.22% 8.07% 4.57% 4.46% 2.94% 2.91% 22.00% 23.73%
1215 8.27% 8.07% 4.56% 4.50% 2.97% 2.95% 21.15% 25.15%
0945 8.14% 7.93% 4.51% 4.45% 2.96% 2.99% 22.35% 23.95%
MON OPEN 8.05% 7.88% 4.47% 4.41% 2.95% 2.98% 22.00% 24.15%
FRI 1500 7.86% N/A 4.40% N/A 2.86% N/A 21.40% 24.65%
FRI OPEN 7.97% N/A 4.49% N/A 2.93% N/A 21.25% 24.75%
THU 1500 8.12% N/A 4.54% N/A 3.05% N/A 21.95% 25.00%
THU OPEN 8.10% N/A 4.69% N/A 3.12% N/A 23.05% 26.90%
WED 1500 8.43% N/A 4.80% N/A 3.18% N/A 22.75% 25.77%
WED OPEN 8.58% N/A 4.94% N/A 3.25% N/A 24.30% 26.10%
TUE 1500 8.83% N/A 4.92% N/A 3.27% N/A 24.65% 26.85%
TUE OPEN 8.94% N/A 5.04% N/A 3.33% N/A 24.22% 26.43%
MON 1500 9.18% N/A 5.15% N/A 3.41% N/A 24.05% 25.74%
MON OPEN 9.27% N/A 5.12% N/A 3.45% N/A 25.90% 26.60%
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
DEC19 10Y NOTE 132.00 C 154,545 +9,149 128.00 P 142,453 +10,978
JAN20 10Y NOTE 132.00 C 23,052 +960 126.50 P 14,417 -165
DEC19 5Y NOTE 119.50 C 63,054 +17,300 118.00 P 54,377 +31,443
JAN20 5Y NOTE 119.75 C 7,575 +372 111.50 P 5,786 UNCH
DEC19 2Y NOTE 108.00 C 29,078 +11,020 107.75 P 22,694 +2,700
JAN20 2Y NOTE 108.12 C 200 UNCH 105.62 P 3,692 +1,155
NOV19 EURODLR 98.12 C 183,946 -4,130 97.87 P 153,436 UNCH
DEC19 EURODLR 98.37 C 689,534 +15,766 97.25 P1,066,055 UNCH
DEC20 1Y-MIDC 98.87 C 192,861 +435 98.12 P 196,274 -704
DEC21 2Y-MIDC 98.50 C 91,885 -150 97.37 P 125,829 UNCH
DEC22 3Y-MIDC 97.37 C 52,101 UNCH 97.37 P 63,651 UNCH
NEAREST ATM: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
DEC19 10Y NOTE 129.00 C 12,415 +159 129.00 P 80,610 +4,386
DEC19 10Y NOTE 129.50 C 24,655 +4,288 129.50 P 67,912 +2,401
JAN20 10Y NOTE 129.00 C 163 UNCH 129.00 P 4,277 +1,346
JAN20 10Y NOTE 129.50 C 4,612 +2,447 129.50 P 8,560 +2,578
DEC19 5Y NOTE 118.50 C 1,504 UNCH 118.50 P 21,368 +2,562
DEC19 5Y NOTE 118.75 C 11,393 +5,274 118.75 P 41,529 -502
JAN20 5Y NOTE 119.00 C 266 +198 119.00 P 248 +175
JAN20 5Y NOTE 119.25 C 5,145 -6 119.25 P 5,290 -6
DEC19 2Y NOTE 107.50 C 1,136 UNCH 107.50 P 22,694 +2,700
DEC19 2Y NOTE 107.62 C 605 +176 107.62 P 3,121 UNCH
JAN20 2Y NOTE 107.75 C 0 UNCH 107.75 P 3 UNCH
JAN20 2Y NOTE 107.88 C 76 +75 107.88 P 78 +75
NOV19 EURODLR 98.00 C 87,143 -1,490 98.00 P 121,440 +2
NOV19 EURODLR 98.12 C 183,946 -4,130 98.12 P 41,910 +150
DEC19 EURODLR 98.00 C 333,434 +1,501 98.00 P 399,141 UNCH
DEC19 EURODLR 98.12 C 467,951 -76 98.12 P 192,421 -110
DEC20 1Y-MIDC 98.50 C 91,238 -3,647 98.50 P 97,312 +3,886
DEC20 1Y-MIDC 98.62 C 127,749 +6,755 98.62 P 51,718 +5
DEC21 2Y-MIDC 98.50 C 91,885 -150 98.50 P 49,424 +1,615
DEC21 2Y-MIDC 98.62 C 58,957 -2,000 98.62 P 21,340 UNCH
DEC22 3Y-MIDC 98.50 C 33,851 -600 98.50 P 13,512 UNCH
DEC22 3Y-MIDC 98.62 C 31,927 UNCH 98.62 P 18,440 UNCH
PUT/CALL RATIO FOR VOLUME CLEARED:
DEC19 10Y NOTE PUT/CALL RATIO -- 0.90 (168,827 PUTS VS. 187,166 CALLS)
JAN20 10Y NOTE PUT/CALL RATIO -- 1.72 (31,125 PUTS VS. 18,444 CALLS)
DEC19 5Y NOTE PUT/CALL RATIO -- 1.43 (208,278 PUTS VS. 145,954 CALLS)
JAN20 5Y NOTE PUT/CALL RATIO -- 6.16 (11,134 PUTS VS. 1,798 CALLS)
DEC19 2Y NOTE PUT/CALL RATIO -- 0.62 (13,727 PUTS VS. 22,244 CALLS)
JAN20 2Y NOTE PUT/CALL RATIO -- 6.29 (1,234 PUTS VS. 196 CALLS)
NOV19 EURODLRS PUT/CALL RATIO -- 0.34 (16,187 PUTS VS. 46,730 CALLS)
DEC19 EURODLRS PUT/CALL RATIO -- 0.08 (12,483 PUTS VS. 151,048 CALLS)
DEC20 1Y-MIDCRVE PUT/CALL RATIO -- 0.49 (73,411 PUTS VS. 147,729 CALLS)
DEC21 2Y-MIDCRVE PUT/CALL RATIO -- 2.29 (14,248 PUTS VS. 6,200 CALLS)
DEC22 3Y-MIDCRVE PUT/CALL RATIO -- 14.9 (17,950 PUTS VS. 1,200 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
1345 67.16 70.76 68.94 68.16 65.54 65.00
1215 67.76 70.81 69.43 67.97 65.56 65.03
0945 67.72 69.76 68.89 67.68 65.66 64.98
Mon Open 67.85 69.45 68.55 67.55 65.90 64.94
Fri 1500 68.33 68.28 68.05 67.23 66.06 64.92
Fri Open 72.17 70.73 72.32 68.84 66.36 65.30
Thu 1500 72.94 70.68 72.09 69.38 66.72 65.51
Thu Open 73.20 74.92 74.25 71.52 67.06 65.93
Wed 1500 73.46 75.59 74.71 72.23 67.04 65.88
Wed Open 74.61 78.82 75.86 73.63 67.14 65.89
Tue 1500 74.94 80.75 76.48 73.96 67.10 65.86
Tue Open 75.78 81.40 77.17 74.55 67.03 65.89
Mon 1500 76.03 82.25 78.09 75.39 67.52 66.29
Mon Open 76.61 80.18 78.02 75.25 67.86 66.57
--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.