-
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 Podcasts -
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
-
MNI Research
Actionable insight on monetary policy, balance sheet and inflation with focus on global issuance. Analysis on key political risk impacting the global markets.
-
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 TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR SEP 12
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USV USZ TYV TYZ FVV TUZ EDU EDV
11:15 7.36% 7.49% 4.05% 3.94% 2.44% 2.31% N/A 17.29%
9:30 7.38% 7.44% 4.06% 3.93% 2.45% 2.32% N/A 16.30%
TUE OPEN 7.47% 7.49% 4.05% 3.94% 2.41% 2.35% N/A 16.50%
MON 3:00 7.74% 7.70% 4.18% 4.02% 2.52% 2.35% N/A 17.45%
MON OPEN 7.88% 7.87% 4.19% 4.03% 2.34% 2.38% N/A 16.02%
FRI 3:00 8.46% 8.04% 4.40% 4.16% 2.59% 2.48% 21.33% 16.21%
FRI OPEN 8.41% 8.16% 4.35% 4.12% 2.40% 2.44% 23.45% 17.62%
THU 3:00 8.26% 8.12% 4.36% 4.12% 2.44% 2.41% 20.13% 17.50%
THU OPEN 8.11% 7.94% 4.20% 4.15% 2.36% 2.39% 16.00% 15.97%
WED 3:00 8.35% 8.03% 4.30% 4.18% 2.35% 2.42% 17.92% 17.34%
WED OPEN 8.22% 8.11% 4.21% 4.23% 2.46% 2.43% 19.05% 18.05%
TUE 3:00 7.58% 7.86% 4.18% 4.12% 2.32% 2.40% 18.51% 17.88%
TUE OPEN 7.31% 7.72% 3.88% 4.05% 2.24% 2.37% 13.79% 16.49%
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
OCT17 10Y NOTE 127.00 C 89,420 -107 126.00 P 68,263 +4,275
DEC17 10Y NOTE 129.00 C 92,458 -117 114.00 P 95,075 UNCH
OCT17 5Y NOTE 119.00 C 33,108 +6,149 117.75 P 27,315 +1,800
DEC17 5Y NOTE 118.25 C 9,073 UNCH 112.25 P 101,550 UNCH
SEP17 EURODLR 98.75 C 335,345 -200 98.37 P 746,921 UNCH
OCT17 EURODLR 98.62 C 118,755 -249 98.50 P 153,489 -8,950
SEP18 1Y-MIDC 98.37 C 102,538 UNCH 98.12 P 211,382 UNCH
SEP19 2Y-MIDC 98.75 C 136,631 UNCH 97.12 P 192,279 UNCH
SEP20 3Y-MIDC 98.00 C 43,481 UNCH 97.62 P 56,664 UNCH
NEAREST ATM: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
OCT17 10Y NOTE 127.00 C 89,420 -107 127.00 P 37,378 -822
OCT17 10Y NOTE 127.50 C 80,329 -8,966 127.50 P 14,816 +708
DEC17 10Y NOTE 127.00 C 24,344 +2,690 127.00 P 21,953 -1,198
DEC17 10Y NOTE 127.50 C 24,542 +13 127.50 P 11,840 +215
OCT17 5Y NOTE 118.25 C 10,193 -144 118.25 P 25,570 +8,568
OCT17 5Y NOTE 118.50 C 16,510 +167 118.50 P 13,440 +1,248
DEC17 5Y NOTE 118.25 C 9,073 UNCH 118.25 P 15,469 +100
DEC17 5Y NOTE 118.50 C 5,396 -16 118.50 P 12,304 -24
SEP17 EURODLR 98.62 C 252,473 UNCH 98.62 P 264,870 UNCH
SEP17 EURODLR 98.75 C 335,345 -200 98.75 P 107,287 UNCH
OCT17 EURODLR 98.50 C 37,993 +1 98.50 P 153,489 -8,950
OCT17 EURODLR 98.62 C 118,755 -249 98.62 P 28,913 -6,250
SEP18 1Y-MIDC 98.37 C 102,538 UNCH 98.37 P 75,762 +216
SEP18 1Y-MIDC 98.50 C 70,296 -3,250 98.50 P 14,855 UNCH
SEP19 2Y-MIDC 98.00 C 62,838 UNCH 98.00 P 110,286 -554
SEP19 2Y-MIDC 98.12 C 116,573 UNCH 98.12 P 91,415 +10,494
SEP20 3Y-MIDC 97.75 C 27,133 UNCH 97.75 P 34,884 UNCH
SEP20 3Y-MIDC 97.87 C 22,685 UNCH 97.87 P 31,372 -379
PUT/CALL RATIO FOR VOLUME CLEARED:
OCT17 10Y NOTE PUT/CALL RATIO -- 1.08 (94,456 PUTS VS. 87,943 CALLS)
DEC17 10Y NOTE PUT/CALL RATIO -- 1.50 (37,692 PUTS VS. 25,039 CALLS)
OCT17 5Y NOTE PUT/CALL RATIO -- 0.97 (34,173 PUTS VS. 14,674 CALLS)
DEC17 5Y NOTE PUT/CALL RATIO -- 2.32 (6,609 PUTS VS. 1,431 CALLS)
SEP17 EURODLRS PUT/CALL RATIO -- 0.00 (0 PUTS VS. 200 CALLS)
OCT17 EURODLRS PUT/CALL RATIO -- 37.9 (36,250 PUTS VS. 955 CALLS)
SEP18 1Y-MIDCRVE PUT/CALL RATIO -- 0.96 (5,550 PUTS VS. 5,750 CALLS)
SEP19 2Y-MIDCRVE PUT/CALL RATIO -- 1.02 (7,920 PUTS VS. 7,700 CALLS)
SEP20 3Y-MIDCRVE PUT/CALL RATIO -- 1.17 (2,000 PUTS VS. 1,750 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
11:15 38.87 59.72 55.95 61.90 73.26 78.64
9:30 38.86 59.63 56.19 62.21 73.52 78.76
Tue Open 38.86 59.63 56.19 62.21 73.52 78.76
Mon 3:00 39.26 59.89 56.59 63.01 73.67 78.90
Mon Open 39.70 61.39 57.66 64.00 74.32 79.18
Fri 3:00 39.86 61.73 57.95 64.37 74.34 79.16
Fri Open 40.12 62.27 58.29 64.48 74.68 79.20
Thu 3:00 39.92 61.11 57.62 63.82 74.62 79.17
Thu Open 40.03 60.37 57.44 63.79 74.54 79.16
Wed 3:00 40.07 62.77 57.44 63.94 74.69 79.22
Wed Open 40.25 64.26 58.12 64.48 74.60 79.26
Tue 3:00 39.72 63.35 57.78 64.13 74.62 79.22
Tue Open 38.71 57.16 55.85 62.05 74.19 79.15
--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.