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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 OCT 31
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USZ USH TYZ TYH FVZ FVH EDX EDZ
WED 3:00 7.88% 7.65% 4.15% 4.04% 2.58% 2.56% 13.09% 14.12%
WED OPEN 8.07% 7.52% 4.20% 3.98% 2.68% 2.58% 12.96% 13.03%
TUE 3:00 8.26% 7.63% 4.37% 4.07% 2.79% 2.64% 14.10% 12.57%
TUE OPEN N/A N/A N/A N/A N/A N/A N/A N/A
MON 3:00 N/A N/A N/A N/A N/A N/A N/A N/A
MON OPEN N/A N/A N/A N/A N/A N/A N/A N/A
FRI 3:00 7.81% N/A N/A N/A 2.73% N/A 13.52% 13.25%
FRI OPEN 7.88% N/A N/A N/A 2.75% N/A 12.70% 12.07%
THU 3:00 7.38% N/A 3.70% N/A 2.40% N/A 12.10% 12.89%
THU OPEN 7.98% N/A 3.38% N/A 2.48% N/A 13.41% 12.58%
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
DEC18 10Y NOTE 120.00 C 250,250 +20,795 117.50 P 245,074 +9,339
MAR19 10Y NOTE 119.50 C 7,163 -1 116.00 P 18,592 +441
DEC18 5Y NOTE 112.75 C 72,929 -5,182 107.25 P 246,719 UNCH
MAR19 5Y NOTE 112.50 C 2,429 +424 113.00 C 2,158 UNCH
DEC18 2Y NOTE 105.50 C 22,144 UNCH 104.87 P 13,470 +20
MAR19 2Y NOTE 105.87 C 2,000 -1 105.75 P 14 UNCH
NOV18 EURODLR 97.37 C 138,646 +8,000 97.25 P 142,130 -1,000
DEC18 EURODLR 97.62 C 480,450 UNCH 97.25 P 580,936 -23,053
DEC19 1Y-MIDC 97.00 C 434,003 +843 96.75 P 617,627 -1,000
DEC20 2Y-MIDC 97.00 C 167,323 +650 96.87 P 300,167 +10,200
DEC21 3Y-MIDC 97.50 C 67,098 UNCH 96.62 P 142,469 +3,496
NEAREST ATM: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
DEC18 10Y NOTE 120.00 C 250,250 +20,795 120.00 P 33,669 -712
DEC18 10Y NOTE 120.50 C 105,253 +643 120.50 P 19,869 UNCH
MAR19 10Y NOTE 120.00 C 6,889 +35 120.00 P 9 -1
MAR19 10Y NOTE 120.50 C 5,409 -20 120.50 P 1 +1
DEC18 5Y NOTE 113.50 C 44,339 -1,600 113.50 P 6,819 +2
DEC18 5Y NOTE 113.75 C 20,904 -1,141 113.75 P 394 UNCH
MAR19 5Y NOTE 113.50 C 741 UNCH 113.50 P 0 UNCH
MAR19 5Y NOTE 113.75 C 860 UNCH 113.75 P 0 UNCH
DEC18 2Y NOTE 105.62 C 10,286 UNCH 105.62 P 322 UNCH
DEC18 2Y NOTE 105.75 C 15,966 -148 105.75 P 247 UNCH
MAR19 2Y NOTE 105.62 C 0 UNCH 105.62 P 0 UNCH
MAR19 2Y NOTE 105.75 C 47 UNCH 105.75 P 14 UNCH
NOV18 EURODLR 97.37 C 138,646 +8,000 97.37 P 84,672 UNCH
NOV18 EURODLR 97.50 C 89,169 UNCH 97.50 P 3,625 UNCH
DEC18 EURODLR 97.50 C 455,469 +4,279 97.50 P 334,977 UNCH
DEC18 EURODLR 97.62 C 480,450 UNCH 97.62 P 193,015 UNCH
DEC19 1Y-MIDC 97.12 C 176,874 +7,152 97.12 P 111,527 -165
DEC19 1Y-MIDC 97.25 C 192,305 -779 97.25 P 84,473 UNCH
DEC20 2Y-MIDC 97.00 C 167,323 +650 97.00 P 253,833 UNCH
DEC20 2Y-MIDC 97.12 C 107,988 +26 97.12 P 42,633 UNCH
DEC21 3Y-MIDC 96.87 C 50,626 +602 96.87 P 49,144 +600
DEC21 3Y-MIDC 97.00 C 54,192 UNCH 97.00 P 100,663 -2
PUT/CALL RATIO FOR VOLUME CLEARED:
DEC18 10Y NOTE PUT/CALL RATIO -- 1.31 (279,387 PUTS VS. 213,572 CALLS)
MAR19 10Y NOTE PUT/CALL RATIO -- 1.28 (11,559 PUTS VS. 9,045 CALLS)
DEC18 5Y NOTE PUT/CALL RATIO -- 0.50 (22,997 PUTS VS. 46,157 CALLS)
MAR19 5Y NOTE PUT/CALL RATIO -- 1.54 (806 PUTS VS. 522 CALLS)
DEC18 2Y NOTE PUT/CALL RATIO -- 0.42 (1,068 PUTS VS. 2,541 CALLS)
MAR19 2Y NOTE PUT/CALL RATIO -- 0.00 (0 PUTS VS. 1,368 CALLS)
NOV18 EURODLRS PUT/CALL RATIO -- 0.13 (1,200 PUTS VS. 9,500 CALLS)
DEC18 EURODLRS PUT/CALL RATIO -- 0.60 (37,473 PUTS VS. 62,667 CALLS)
DEC19 1Y-MIDCRVE PUT/CALL RATIO-- 7.60 (19,000 PUTS VS. 2,500 CALLS)
DEC20 2Y-MIDCRVE PUT/CALL RATIO-- 15.1 (124,750 PUTS VS. 8,250 CALLS)
DEC21 3Y-MIDCRVE PUT/CALL RATIO-- 1.00 (750 PUTS VS. 750 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 3:00 50.13 64.19 62.85 62.58 72.38 76.99
WED OPEN 52.22 65.44 63.98 63.80 72.49 77.01
TUE 3:00 51.80 64.92 63.82 63.81 72.32 76.79
TUE OPEN N/A N/A N/A N/A N/A N/A
MON 3:00 N/A N/A N/A N/A N/A N/A
MON OPEN N/A N/A N/A N/A N/A N/A
FRI 3:00 48.68 61.71 60.36 61.46 71.49 76.13
FRI OPEN 47.29 61.07 59.46 61.02 71.14 75.85
THU 3:00 46.77 58.86 57.78 60.29 70.94 75.80
THU OPEN 46.29 61.81 58.16 61.03 71.12 75.74
--MNI Chicago Bureau; +1 630-698-0154; email: ryan.martin@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.