-
Policy
Policy
Exclusive interviews with leading policymakers that convey the true policy message that impacts markets.
LATEST FROM POLICY: -
EM Policy
EM Policy
Exclusive interviews with leading policymakers that convey the true policy message that impacts markets.
LATEST FROM EM POLICY: -
G10 Markets
G10 Markets
Real-time insight on key fixed income and fx markets.
Launch MNI PodcastsFixed IncomeFI Markets AnalysisCentral Bank PreviewsFI PiFixed Income Technical AnalysisUS$ Credit Supply PipelineGilt Week AheadGlobal IssuanceEurozoneUKUSDeep DiveGlobal Issuance CalendarsEZ/UK Bond Auction CalendarEZ/UK T-bill Auction CalendarUS Treasury Auction CalendarPolitical RiskMNI Political Risk AnalysisMNI Political Risk - US Daily BriefMNI Political Risk - The week AheadElection Previews -
Emerging Markets
Emerging Markets
Real-time insight of emerging markets in CEMEA, Asia and LatAm region
-
Commodities
Commodities
Real-time insight of oil & gas markets
-
Credit
Credit
Real time insight of credit markets
-
Data
-
Global Macro
Global Macro
Actionable insight on monetary policy, balance sheet and inflation with focus on global issuance. Analysis on key political risk impacting the global markets.
Global MacroDM Central Bank PreviewsDM Central Bank ReviewsEM Central Bank PreviewsEM Central Bank ReviewsBalance Sheet AnalysisData AnalysisEurozone DataUK DataUS DataAPAC DataInflation InsightEmployment InsightGlobal IssuanceEurozoneUKUSDeep DiveGlobal Issuance Calendars EZ/UK Bond Auction Calendar EZ/UK T-bill Auction Calendar US Treasury Auction Calendar Chart Packs -
About Us
To read the full story
Sign up now for free trial access to this content.
Please enter your details below.
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.
Real-time Actionable Insight
Get the latest on Central Bank Policy and FX & FI Markets to help inform both your strategic and tactical decision-making.
Free AccessUS$ Credit Supply Pipeline
US Treasury Auction Calendar
US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR OCT 6
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USX USZ TYX TYZ FVX TUZ EDV EDZ
FRI 3:00 7.42% 7.65% 3.99% 4.03% 2.50% 2.46% 11.16% 16.35%
1:30 7.47% 7.61% 3.98% 3.98% 2.53% 2.48% 11.10% 16.30%
10:45 7.55% 7.67% 4.04% 4.02% 2.50% 2.46% 10.50% 15.75%
9:30 7.56% 7.70% 4.10% 4.03% 2.49% 2.41% 10.40% 15.30%
FRI OPEN 7.52% 7.61% 4.08% 3.98% 2.38% 2.43% 10.20% 15.90%
THU 3:00 7.52% 7.55% 4.01% 4.00% 2.50% 2.43% 11.30% 16.15%
THU OPEN 7.45% 7.53% 3.97% 3.91% 2.43% 2.43% 12.10% 16.50%
WED 3:00 7.59% 7.59% 3.97% 3.96% 2.43% 2.41% 12.90% 15.90%
WED OPEN 7.50% 7.52% 3.89% 3.96% 2.45% 2.41% 11.90% 16.30%
TUE 3:00 7.61% 7.63% 3.93% 3.96% 2.44% 2.43% 12.25% 16.08%
TUE OPEN 7.56% 7.55% 4.00% 3.92% 2.42% 2.40% 11.85% 16.30%
MON 3:00 7.75% 7.66% 4.07% 4.04% 2.48% 2.45% 12.71% 16.60%
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%
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
NOV17 10Y NOTE 127.00 C 117,075 +2,042 124.50 P 174,939 +8,414
DEC17 10Y NOTE 129.00 C 90,617 +515 114.00 P 90,755 UNCH
NOV17 5Y NOTE 118.50 C 39,971 +1,911 116.75 P 46,002 +702
DEC17 5Y NOTE 119.00 C 16,931 UNCH 112.25 P 104,845 +125
OCT17 EURODLR 98.62 C 132,446 -500 98.50 P 214,973 -4,750
DEC17 EURODLR 98.75 C 627,858 UNCH 98.37 P1,149,776 -6,215
DEC18 1Y-MIDC 98.50 C 173,636 +450 98.00 P 584,442 +11,190
DEC19 2Y-MIDC 98.50 C 142,422 UNCH 97.75 P 288,572 -446
DEC20 3Y-MIDC 98.25 C 58,186 UNCH 96.75 P 101,687 UNCH
NEAREST ATM: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
NOV17 10Y NOTE 127.00 C 117,075 +2,042 127.00 P 23,754 -12
NOV17 10Y NOTE 127.50 C 81,812 -1,693 127.50 P 11,989 UNCH
DEC17 10Y NOTE 127.00 C 47,685 +2,623 127.00 P 21,121 UNCH
DEC17 10Y NOTE 127.50 C 30,403 -1,429 127.50 P 12,487 UNCH
NOV17 5Y NOTE 118.25 C 18,044 +461 118.25 P 15,012 UNCH
NOV17 5Y NOTE 118.50 C 39,971 +1,911 118.50 P 2,578 UNCH
DEC17 5Y NOTE 118.25 C 16,460 +500 118.25 P 12,171 +195
DEC17 5Y NOTE 118.50 C 12,867 UNCH 118.50 P 15,561 UNCH
OCT17 EURODLR 98.50 C 43,260 +250 98.50 P 214,973 -4,750
OCT17 EURODLR 98.62 C 132,446 -500 98.62 P 24,899 UNCH
DEC17 EURODLR 98.50 C 330,541 -100 98.50 P 580,949 -1,098
DEC17 EURODLR 98.62 C 535,256 +3,073 98.62 P 220,422 +620
DEC18 1Y-MIDC 98.25 C 99,655 +11,750 98.25 P 208,193 -3,600
DEC18 1Y-MIDC 98.37 C 146,851 +1,500 98.37 P 86,920 UNCH
DEC19 2Y-MIDC 98.00 C 78,091 +2,257 98.00 P 184,738 -2,125
DEC19 2Y-MIDC 98.12 C 80,304 +24,017 98.12 P 57,833 UNCH
DEC20 3Y-MIDC 97.87 C 55,237 +50 97.87 P 42,258 UNCH
DEC20 3Y-MIDC 98.00 C 45,390 +350 98.00 P 19,255 UNCH
PUT/CALL RATIO FOR VOLUME CLEARED:
NOV17 10Y NOTE PUT/CALL RATIO -- 1.49 (144,567 PUTS VS. 96,589 CALLS)
DEC17 10Y NOTE PUT/CALL RATIO -- 0.91 (40,334 PUTS VS. 44,351 CALLS)
NOV17 5Y NOTE PUT/CALL RATIO -- 0.66 (8,024 PUTS VS. 12,103 CALLS)
DEC17 5Y NOTE PUT/CALL RATIO -- 1.04 (4,909 PUTS VS. 4,698 CALLS)
OCT17 EURODLRS PUT/CALL RATIO -- 7.81 (5,860 PUTS VS. 750 CALLS)
DEC17 EURODLRS PUT/CALL RATIO -- 4.67 (27,117 PUTS VS. 5,800 CALLS)
DEC18 1Y-MIDCRVE PUT/CALL RATIO -- 2.84 (64,850 PUTS VS. 22,800 CALLS)
DEC19 2Y-MIDCRVE PUT/CALL RATIO -- 0.85 (68,400 PUTS VS. 80,100 CALLS)
DEC20 3Y-MIDCRVE PUT/CALL RATIO -- 0.65 (2,400 PUTS VS. 3,697 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
Fri 3:00 42.56 59.88 58.32 61.66 71.70 76.99
1:30 42.64 59.88 58.30 61.66 71.53 77.00
10:45 43.00 60.62 58.13 62.06 71.61 77.09
9:30 42.98 60.31 58.01 61.95 71.72 77.39
Fri Open 43.00 60.83 58.14 62.09 71.78 77.09
Thu 3:00 42.92 61.20 58.76 62.56 71.79 77.40
Thu Open 42.24 60.92 57.95 62.03 71.71 77.37
Wed 3:00 42.03 60.56 57.80 61.88 71.65 77.33
Wed Open 41.99 62.01 57.80 61.92 71.76 77.32
Tue 3:00 42.02 62.71 57.97 62.10 71.85 77.08
Tue Open 41.68 63.28 57.91 62.08 71.59 77.16
Mon 3:00 41.46 61.59 57.65 61.97 71.51 77.07
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
--MNI Chicago Bureau; tel: +1 312-431-0089; email: bill.sokolis@marketnews.com
[TOPICS: MTABLE,M$U$$$,M$$FI$,MN$FI$]
To read the full story
Sign up now for free trial access to this content.
Please enter your details below.
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.