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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 27
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USX USZ TYV TYZ FVV FVZ EDV EDZ
FRI OPEN 9.68% 9.41% 9.99% 4.94% 3.35% 3.27% 25.99% 27.70%
TUE 1500 9.93% 9.55% 5.15% 5.00% 3.37% 3.26% 27.02% 27.70%
TUE OPEN 9.72% 9.45% 5.02% 4.91% 3.27% 3.18% 30.90% 28.85%
MON 1500 9.80% 9.51% 5.10% 4.92% 3.28% 3.21% 31.00% 29.00%
MON OPEN 9.94% 9.58% 5.11% 4.97% 3.28% 3.21% 29.84% 28.66%
THU 1500 N/A 9.27% N/A 4.89% N/A 3.11% 27.44% 27.54%
THU OPEN N/A 9.35% N/A 4.92% N/A 3.17% 29.25% 28.25%
WED 1500 N/A 9.54% N/A 5.00% N/A 3.25% 29.20% 28.10%
WED OPEN N/A 9.62% N/A 4.99% N/A 3.29% 35.00% 31.09%
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
NOV19 10Y NOTE 132.00 C 103,904 -776 129.00 P 125,177 +35,893
DEC19 10Y NOTE 132.00 C 89,514 -6,969 128.00 P 55,444 +4,656
NOV19 5Y NOTE 119.75 C 37,718 +17,863 115.50 P 74,173 UNCH
DEC19 5Y NOTE 119.75 C 77,435 +8,500 109.00 P 48,347 UNCH
NOV19 2Y NOTE 108.50 C 13,267 UNCH 107.50 P 17,670 UNCH
DEC19 2Y NOTE 108.12 C 10,276 UNCH 105.75 P 5,400 UNCH
OCT19 EURODLR 98.25 C 481,509 -4,923 98.00 P 195,333 UNCH
DEC19 EURODLR 98.25 C 573,424 +13,593 97.25 P1,054,600 UNCH
DEC20 1Y-MIDC 98.87 C 176,946 -189 98.00 P 201,589 UNCH
DEC21 2Y-MIDC 98.50 C 86,973 UNCH 97.37 P 125,829 UNCH
DEC22 3Y-MIDC 97.37 C 56,018 UNCH 97.37 P 64,958 UNCH
NEAREST ATM: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
NOV19 10Y NOTE 129.00 C 17,630 -17 129.00 P 125,177 +35,893
NOV19 10Y NOTE 129.50 C 21,618 -794 129.50 P 53,171 +1,763
DEC19 10Y NOTE 129.00 C 11,026 +15 129.00 P 48,200 +335
DEC19 10Y NOTE 129.50 C 19,874 +444 129.50 P 42,099 +1,537
NOV19 5Y NOTE 118.25 C 1,757 UNCH 118.25 P 71,925 +16,380
NOV19 5Y NOTE 118.50 C 12,245 -170 118.50 P 39,769 +102
DEC19 5Y NOTE 118.25 C 212 +6 118.25 P 18,935 UNCH
DEC19 5Y NOTE 118.50 C 1,650 -1 118.50 P 11,275 +147
NOV19 2Y NOTE 107.50 C 1,881 UNCH 107.50 P 17,670 UNCH
NOV19 2Y NOTE 107.62 C 2,305 UNCH 107.62 P 3,521 +150
DEC19 2Y NOTE 107.50 C 1,044 UNCH 107.50 P 1,990 +172
DEC19 2Y NOTE 107.62 C 312 UNCH 107.62 P 2,054 +100
OCT19 EURODLR 98.00 C 118,760 +256 98.00 P 195,333 UNCH
OCT19 EURODLR 98.12 C 112,321 -1,012 98.12 P 105,074 UNCH
DEC19 EURODLR 97.87 C 378,200 -40 97.87 P 294,124 +2,224
DEC19 EURODLR 98.00 C 368,689 +141 98.00 P 322,870 +87
DEC20 1Y-MIDC 98.37 C 107,417 UNCH 98.37 P 146,798 -223
DEC20 1Y-MIDC 98.50 C 92,169 +222 98.50 P 53,431 -3,540
DEC21 2Y-MIDC 98.37 C 51,398 -250 98.37 P 19,558 -250
DEC21 2Y-MIDC 98.50 C 86,973 UNCH 98.50 P 32,621 UNCH
DEC22 3Y-MIDC 98.37 C 14,222 UNCH 98.37 P 3,908 UNCH
DEC22 3Y-MIDC 98.50 C 34,425 UNCH 98.50 P 17,000 UNCH
PUT/CALL RATIO FOR VOLUME CLEARED:
NOV19 10Y NOTE PUT/CALL RATIO -- 1.01 (172,448 PUTS VS. 170,220 CALLS)
DEC19 10Y NOTE PUT/CALL RATIO -- 1.64 (42,810 PUTS VS. 26,067 CALLS)
NOV19 5Y NOTE PUT/CALL RATIO -- 0.94 (50,632 PUTS VS. 53,099 CALLS)
DEC19 5Y NOTE PUT/CALL RATIO -- 0.68 (13,888 PUTS VS. 19,799 CALLS)
NOV19 2Y NOTE PUT/CALL RATIO -- 1.88 (5,175 PUTS VS. 2,772 CALLS)
DEC19 2Y NOTE PUT/CALL RATIO -- 1.11 (1,014 PUTS VS. 926 CALLS)
OCT19 EURODLRS PUT/CALL RATIO -- 0.12 (5,001 PUTS VS. 39,234 CALLS)
DEC19 EURODLRS PUT/CALL RATIO -- 0.22 (28,904 PUTS VS. 127,186 CALLS)
DEC20 1Y-MIDCRVE PUT/CALL RATIO -- 0.92 (11,696 PUTS VS. 12,663 CALLS)
DEC21 2Y-MIDCRVE PUT/CALL RATIO -- 1.23 (1,611 PUTS VS. 1,350 CALLS)
DEC22 3Y-MIDCRVE PUT/CALL RATIO -- 1.39 (6,400 PUTS VS. 4,619 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
Fri Open 75.01 81.44 77.20 77.01 68.13 67.19
Tue 1500 75.24 84.83 77.70 77.45 68.47 66.94
Tue Open 74.52 84.06 76.39 76.27 67.41 66.32
Mon 1500 74.09 81.82 76.70 76.66 67.11 65.90
Mon Open 75.05 82.41 76.77 77.19 66.79 65.80
Thu 1500 73.44 79.22 74.59 75.05 65.34 64.47
Thu Open 76.25 80.25 75.70 75.78 65.40 64.27
Wed 1500 78.92 82.56 76.73 76.28 65.75 64.54
Wed Open 79.13 86.81 79.89 79.23 66.29 64.80
--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.