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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 SEP 26
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USX USZ TYX TYZ FVX TUZ EDV EDZ
12:00 7.23% 7.35% 3.79% 3.83% 2.33% 2.34% 12.15% 17.20%
10:45 7.18% 7.33% 3.78% 3.83% 2.28% 2.30% 13.18% 17.35%
9:15 7.24% 7.35% 3.83% 3.87% 2.28% 2.30% 13.30% 17.50%
TUE OPEN 7.26% 7.35% 3.83% 3.86% 2.29% 2.31% 13.40% 17.85%
MON 3:00 7.53% 7.50% 3.94% 3.95% 2.39% 2.37% 12.62% 17.80%
MON OPEN 7.24% 7.27% 3.76% 3.79% 2.21% 2.28% 13.34% 16.54%
FRI 3:00 N/A 7.38% N/A 3.84% N/A 2.31% 13.55% 17.16%
FRI OPEN N/A 7.20% N/A 3.81% N/A 2.24% 13.81% 18.00%
THU 3:00 N/A 7.19% N/A 3.72% N/A 2.22% 13.54% 17.86%
THU OPEN N/A 7.14% N/A 3.75% N/A 2.24% 14.90% 18.13%
WED 3:00 N/A 7.22% N/A 3.82% N/A 2.28% 15.81% 17.83%
WED OPEN N/A 7.37% N/A 3.90% N/A 2.30% 17.86% 19.16%
TUE OPEN N/A 7.24% N/A 3.86% N/A 2.28% 16.51% 17.98%
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
NOV17 10Y NOTE 127.00 C 115,729 +9,047 124.50 P 110,619 -2,136
DEC17 10Y NOTE 129.00 C 90,859 -725 114.00 P 90,755 UNCH
NOV17 5Y NOTE 119.00 C 23,751 -147 115.25 P 25,109 UNCH
DEC17 5Y NOTE 119.00 C 15,000 +43 112.25 P 103,190 +4,636
OCT17 EURODLR 98.62 C 119,306 UNCH 98.50 P 198,339 +5,250
DEC17 EURODLR 98.75 C 613,885 -1,934 98.37 P1,138,382 +7,144
DEC18 1Y-MIDC 98.50 C 161,722 +675 98.12 P 506,964 +1,461
DEC19 2Y-MIDC 98.50 C 137,751 -255 97.75 P 252,234 +1,318
DEC20 3Y-MIDC 98.25 C 55,157 +500 96.75 P 101,162 +100
NEAREST ATM: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
NOV17 10Y NOTE 127.00 C 115,729 +9,047 127.00 P 23,900 -126
NOV17 10Y NOTE 127.50 C 82,534 -840 127.50 P 11,694 UNCH
DEC17 10Y NOTE 127.00 C 27,262 +1,385 127.00 P 21,662 UNCH
DEC17 10Y NOTE 127.50 C 28,297 +2,940 127.50 P 12,546 UNCH
NOV17 5Y NOTE 118.25 C 19,224 +948 118.25 P 15,013 UNCH
NOV17 5Y NOTE 118.50 C 9,335 -528 118.50 P 2,578 UNCH
DEC17 5Y NOTE 118.25 C 13,942 -46 118.25 P 15,979 -331
DEC17 5Y NOTE 118.50 C 7,590 -9 118.50 P 15,561 -25
OCT17 EURODLR 98.50 C 40,738 +50 98.50 P 198,339 +5,250
OCT17 EURODLR 98.62 C 119,306 UNCH 98.62 P 24,899 -1,389
DEC17 EURODLR 98.50 C 333,676 +3,210 98.50 P 585,061 -2,893
DEC17 EURODLR 98.62 C 515,633 +20,412 98.62 P 216,128 +1,322
DEC18 1Y-MIDC 98.25 C 89,094 +300 98.25 P 251,596 -2,250
DEC18 1Y-MIDC 98.37 C 147,841 +4,689 98.37 P 92,224 UNCH
DEC19 2Y-MIDC 98.00 C 66,706 +1,103 98.00 P 171,811 +519
DEC19 2Y-MIDC 98.12 C 48,401 -350 98.12 P 63,404 -671
DEC20 3Y-MIDC 97.87 C 51,619 UNCH 97.87 P 39,547 +128
DEC20 3Y-MIDC 98.00 C 43,570 +880 98.00 P 19,255 UNCH
PUT/CALL RATIO FOR VOLUME CLEARED:
NOV17 10Y NOTE PUT/CALL RATIO -- 0.46 (72,475 PUTS VS. 154,235 CALLS)
DEC17 10Y NOTE PUT/CALL RATIO -- 0.91 (48,878 PUTS VS. 53,777 CALLS)
NOV17 5Y NOTE PUT/CALL RATIO -- 4.54 (24,076 PUTS VS. 5,331 CALLS)
DEC17 5Y NOTE PUT/CALL RATIO -- 10.4 (39,557 PUTS VS. 3,862 CALLS)
OCT17 EURODLRS PUT/CALL RATIO -- 305.0 (15,251 PUTS VS. 50 CALLS)
DEC17 EURODLRS PUT/CALL RATIO -- 0.32 (45,354 PUTS VS. 138,451 CALLS)
DEC18 1Y-MIDCRVE PUT/CALL RATIO -- 0.72 (13,550 PUTS VS. 18,700 CALLS)
DEC19 2Y-MIDCRVE PUT/CALL RATIO -- 0.74 (11,744 PUTS VS. 15,850 CALLS)
DEC20 3Y-MIDCRVE PUT/CALL RATIO -- 0.05 (381 PUTS VS. 7,000 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
12:00 40.56 58.06 56.30 60.29 71.21 77.12
10:45 40.58 58.17 56.27 60.29 71.27 77.24
9:15 40.56 57.95 56.24 60.28 71.34 77.29
Tue Open 40.50 57.91 56.18 60.22 71.29 77.24
Mon 3:00 40.20 57.13 55.45 59.32 71.15 77.23
Mon Open 40.03 56.18 55.28 59.24 70.65 77.12
Fri 3:00 40.20 55.06 55.36 59.39 71.19 77.61
Fri Open 40.05 53.48 54.94 58.92 71.19 77.64
Thu 3:00 39.78 52.97 54.54 58.68 71.20 77.65
Thu Open 40.13 56.01 55.33 59.52 71.43 77.65
Wed 3:00 39.98 56.67 55.08 59.42 71.74 77.40
Wed Open 40.61 57.34 55.87 60.33 72.21 77.51
Tue Open 40.38 57.53 56.24 60.68 72.56 77.36
--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.