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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 7
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USV USZ TYV TYZ FVV TUZ EDU EDV
1:15 8.25% 8.05% 4.22% 4.16% 2.46% 2.43% 20.06% 17.35%
11:45 8.37% 8.14% 4.20% 4.18% 2.46% 2.44% 17.95% 17.19%
10:30 8.46% 8.13% 4.45% 4.19% 2.53% 2.44% 16.73% 17.50%
9:15 8.08% 7.99% 4.15% 4.11% 2.33% 2.43% 15.80% 16.91%
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%
FRI 3:00 6.49% 7.51% 3.42% 3.91% 1.95% 2.29% 13.40% 14.85%
FRI OPEN 7.06% 7.78% 3.63% 4.02% 2.19% 2.36% 13.20% 17.40%
THU 3:00 6.99% 7.83% 3.73% 4.05% 2.23% 2.39% 13.10% 16.25%
THU OPEN 6.92% 7.82% 3.62% 4.07% 2.14% 2.42% 12.80% 15.44%
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
OCT17 10Y NOTE 127.50 C 104,263 -5,240 125.00 P 66,649 -475
DEC17 10Y NOTE 129.00 C 90,858 +98 114.00 P 95,075 UNCH
OCT17 5Y NOTE 119.00 C 29,496 +27 116.00 P 26,518 UNCH
DEC17 5Y NOTE 118.25 C 9,073 UNCH 112.25 P 101,550 UNCH
SEP17 EURODLR 98.75 C 336,175 UNCH 98.37 P 746,921 UNCH
OCT17 EURODLR 98.62 C 128,504 -650 98.50 P 161,317 -500
SEP18 1Y-MIDC 98.37 C 107,213 -5,365 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 126.50 C 39,977 -42 126.50 P 52,333 +12,506
OCT17 10Y NOTE 127.00 C 89,679 -6,160 127.00 P 25,222 +1,350
DEC17 10Y NOTE 126.50 C 12,829 +288 126.50 P 22,827 +5,493
DEC17 10Y NOTE 127.00 C 21,752 +69 127.00 P 17,528 +1,654
OCT17 5Y NOTE 118.25 C 10,435 +1 118.25 P 14,186 +1,662
OCT17 5Y NOTE 118.50 C 16,343 -49 118.50 P 8,142 +425
DEC17 5Y NOTE 118.25 C 9,073 UNCH 118.25 P 15,365 UNCH
DEC17 5Y NOTE 118.50 C 5,412 UNCH 118.50 P 11,880 UNCH
SEP17 EURODLR 98.62 C 253,322 UNCH 98.62 P 267,370 UNCH
SEP17 EURODLR 98.75 C 336,175 UNCH 98.75 P 107,287 UNCH
OCT17 EURODLR 98.50 C 36,742 UNCH 98.50 P 161,317 -500
OCT17 EURODLR 98.62 C 128,504 -650 98.62 P 30,713 +400
SEP18 1Y-MIDC 98.37 C 107,213 -5,365 98.37 P 77,567 +1,924
SEP18 1Y-MIDC 98.50 C 82,567 -7,340 98.50 P 15,759 +143
SEP19 2Y-MIDC 98.00 C 62,838 UNCH 98.00 P 110,840 +500
SEP19 2Y-MIDC 98.12 C 116,023 -4,986 98.12 P 79,746 -5,515
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 31,651 +100
PUT/CALL RATIO FOR VOLUME CLEARED:
OCT17 10Y NOTE PUT/CALL RATIO -- 0.83 (138,590 PUTS VS. 166,484 CALLS)
DEC17 10Y NOTE PUT/CALL RATIO -- 1.62 (60,636 PUTS VS. 37,227 CALLS)
OCT17 5Y NOTE PUT/CALL RATIO -- 1.66 (14,081 PUTS VS. 8,484 CALLS)
DEC17 5Y NOTE PUT/CALL RATIO -- 1.01 (11,292 PUTS VS. 11,327 CALLS)
SEP17 EURODLRS PUT/CALL RATIO -- 0.00 (0 PUTS VS. 0 CALLS)
OCT17 EURODLRS PUT/CALL RATIO -- 1.00 (1,050 PUTS VS. 1,050 CALLS)
SEP18 1Y-MIDCRVE PUT/CALL RATIO -- 0.31 (6,250 PUTS VS. 19,850 CALLS)
SEP19 2Y-MIDCRVE PUT/CALL RATIO -- 0.75 (21,200 PUTS VS. 28,200 CALLS)
SEP20 3Y-MIDCRVE PUT/CALL RATIO -- 0.28 (2,206 PUTS VS. 7,620 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
1:15 39.92 61.59 57.73 63.96 74.61 79.16
11:45 39.96 61.35 57.73 63.94 74.60 79.16
10:30 40.05 60.59 57.68 63.85 74.60 79.17
9:15 40.05 60.47 57.48 63.83 74.60 79.18
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
Fri 3:00 38.43 55.64 55.40 61.60 74.16 79.17
Fri Open 39.14 59.07 56.71 62.59 74.53 79.37
Thu 3:00 39.11 59.10 56.56 62.96 74.54 79.30
Thu Open 38.99 59.96 56.81 63.37 74.49 79.05
--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.