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Free AccessMNI BRIEF: China November PMI Rises Further Above 50
MNI US Macro Weekly: Politics To The Fore
US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR OCT 7
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USX USZ TYV TYZ FVV FVZ EDV EDZ
MON 1500 9.09% 9.28% 4.95% 5.13% 3.44% 3.43% N/A 31.50%
1145 9.01% 9.21% 4.98% 5.04% 3.39% 3.41% N/A 31.40%
0930 9.27% 9.35% 5.06% 5.14% 3.47% 3.46% N/A 31.97%
MON OPEN 9.35% 9.44% 5.12% 5.17% 3.48% 3.48% 37.50% 33.10%
FRI 1500 8.83% 9.23% 4.84% 5.05% 3.31% 3.42% 31.30% 33.90%
FRI OPEN 9.39% 9.37% 5.27% 5.22% 3.67% 3.54% 37.90% 36.05%
THU 1500 9.09% 9.16% 5.12% 5.11% 3.45% 3.41% 40.80% 35.95%
THU OPEN 10.01% 9.70% 5.20% 5.30% 3.58% 3.50% 39.10% 36.80%
WED 1500 10.08% 9.79% 5.33% 5.31% 3.65% 3.54% 39.36% 36.88%
WED OPEN 10.22% 9.88% 5.49% 5.33% 3.70% 3.52% 40.15% 34.80%
TUE 1500 10.10% 9.70% 5.31% 5.25% 3.47% 3.38% 31.50% 30.05%
TUE OPEN 9.68% 9.36% 5.12% 4.96% 3.35% 3.27% 27.70% 28.13%
MON 1500 9.68% 9.36% 5.12% 4.96% 3.35% 3.27% 27.70% 28.13%
MON OPEN 9.75% 9.40% 5.17% 4.97% 3.45% 3.30% 27.85% 28.45%
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
NOV19 10Y NOTE 132.00 C 96,977 -3,381 128.00 P 129,276 -3,777
DEC19 10Y NOTE 132.00 C 97,628 +947 127.00 P 54,220 -555
NOV19 5Y NOTE 120.50 C 88,850 +63,650 115.50 P 72,753 +62
DEC19 5Y NOTE 119.75 C 67,865 -50 118.25 P 50,697 UNCH
NOV19 2Y NOTE 108.00 C 15,426 -13 107.50 P 13,554 -1,667
DEC19 2Y NOTE 107.88 C 11,764 UNCH 107.75 P 7,356 -26
OCT19 EURODLR 98.25 C 459,219 UNCH 98.00 P 126,195 -40,041
DEC19 EURODLR 98.25 C 621,850 +9,643 97.25 P1,067,355 UNCH
DEC20 1Y-MIDC 98.87 C 192,589 +2,000 98.00 P 204,476 +1,000
DEC21 2Y-MIDC 98.50 C 87,196 UNCH 97.37 P 125,829 UNCH
DEC22 3Y-MIDC 97.37 C 52,101 -1,300 97.37 P 64,958 UNCH
NEAREST ATM: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
NOV19 10Y NOTE 131.00 C 63,102 -598 131.00 P 24,842 +4,238
NOV19 10Y NOTE 131.50 C 56,749 +724 131.50 P 22,555 +4,669
DEC19 10Y NOTE 131.00 C 67,446 -2,471 131.00 P 29,623 +1,435
DEC19 10Y NOTE 131.50 C 30,200 +657 131.50 P 16,846 +2,223
NOV19 5Y NOTE 120.00 C 51,884 +6,351 120.00 P 18,410 +7,893
NOV19 5Y NOTE 120.25 C 24,378 -117 120.25 P 4,430 -90
DEC19 5Y NOTE 120.00 C 44,425 -2,565 120.00 P 6,439 UNCH
DEC19 5Y NOTE 120.25 C 11,958 +17 120.25 P 4,467 -128
NOV19 2Y NOTE 108.00 C 15,426 -13 108.00 P 2,511 +894
NOV19 2Y NOTE 108.12 C 6,080 -4,406 108.12 P 300 +163
DEC19 2Y NOTE 108.00 C 7,601 -55 108.00 P 3,389 -1
DEC19 2Y NOTE 108.12 C 8,188 -1,926 108.12 P 760 +74
OCT19 EURODLR 98.00 C 114,455 UNCH 98.00 P 126,195 -40,041
OCT19 EURODLR 98.12 C 120,993 -1,000 98.12 P 79,859 -26,710
DEC19 EURODLR 98.00 C 362,816 -166 98.00 P 338,951 -16,554
DEC19 EURODLR 98.12 C 488,541 +24,823 98.12 P 163,465 +3,101
DEC20 1Y-MIDC 98.50 C 91,727 UNCH 98.50 P 52,576 UNCH
DEC20 1Y-MIDC 98.62 C 97,369 UNCH 98.62 P 44,043 UNCH
DEC21 2Y-MIDC 98.50 C 87,196 UNCH 98.50 P 36,075 UNCH
DEC21 2Y-MIDC 98.62 C 60,761 UNCH 98.62 P 20,799 +821
DEC22 3Y-MIDC 98.50 C 34,602 UNCH 98.50 P 15,500 UNCH
DEC22 3Y-MIDC 98.62 C 24,673 UNCH 98.62 P 20,740 UNCH
PUT/CALL RATIO FOR VOLUME CLEARED:
NOV19 10Y NOTE PUT/CALL RATIO -- 0.46 (135,236 PUTS VS. 290,034 CALLS)
DEC19 10Y NOTE PUT/CALL RATIO -- 1.38 (118,043 PUTS VS. 85,373 CALLS)
NOV19 5Y NOTE PUT/CALL RATIO -- 0.35 (97,481 PUTS VS. 277,914 CALLS)
DEC19 5Y NOTE PUT/CALL RATIO -- 0.18 (9,782 PUTS VS. 53,718 CALLS)
NOV19 2Y NOTE PUT/CALL RATIO -- 2.38 (31,828 PUTS VS. 13,297 CALLS)
DEC19 2Y NOTE PUT/CALL RATIO -- 0.22 (1,828 PUTS VS. 8,030 CALLS)
OCT19 EURODLRS PUT/CALL RATIO -- 2.12 (123,655 PUTS VS. 58,216 CALLS)
DEC19 EURODLRS PUT/CALL RATIO -- 0.41 (249,966 PUTS VS. 601,777 CALLS)
DEC20 1Y-MIDCRVE PUT/CALL RATIO -- 0.77 (17,500 PUTS VS. 22,301 CALLS)
DEC21 2Y-MIDCRVE PUT/CALL RATIO -- 0.93 (10,351 PUTS VS. 11,094 CALLS)
DEC22 3Y-MIDCRVE PUT/CALL RATIO -- 0.21 (1,000 PUTS VS. 4,634 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
Mon 1500 81.97 82.18 79.30 75.57 69.12 68.34
1145 82.36 82.17 79.29 75.54 69.04 68.29
0930 82.70 81.43 79.10 75.48 69.10 68.23
Mon Open 82.69 81.40 79.16 75.57 69.07 68.18
Fri 1500 81.92 81.27 78.84 75.45 69.08 68.22
Fri Open 83.13 86.68 79.98 76.65 69.31 68.18
Thu 1500 82.71 87.33 80.54 77.61 69.28 68.36
Thu Open 81.50 89.70 82.34 80.30 69.60 68.21
Wed 1500 80.60 89.82 82.36 80.33 69.65 68.25
Wed Open 79.15 87.94 80.51 79.15 68.67 67.83
Tue 1500 79.07 81.24 79.62 79.18 68.63 67.78
Tue Open 74.33 80.43 75.97 76.28 68.26 67.44
Mon 1500 74.33 80.43 75.97 76.28 68.26 67.44
Mon Open 74.85 81.48 76.98 76.97 68.35 67.50
--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.