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BoE & IFO Focus

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Small bid in Estoxx emerging

SOUTH AFRICA

SA PPI Data Due 1030BST

     
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
            
            USU    USV     TYU    TYV     FVU    FVV     EDQ     EDU
THU 3:00   7.79%  7.85%   3.97%  4.24%   2.22%  2.51%    N/A    13.80%
1:30       7.91%  8.01%   4.04%  4.20%   2.33%  2.36%    N/A    13.65%
12:45      7.96%  8.04%   3.96%  4.15%   2.31%  2.46%    N/A    14.38%
11:30      7.87%  7.90%   4.03%  4.08%   2.30%  2.42%    N/A    13.64%
9:15       7.76%  7.85%   3.95%  4.10%   2.27%  2.41%    N/A    14.10%
THU OPEN   7.91%  8.19%   3.91%  4.16%   2.29%  2.49%    N/A    14.15%
WED 3:00   7.60%  7.85%   3.80%  4.20%   2.22%  2.37%    N/A    13.00%
WED OPEN   7.75%  7.92%   3.89%  4.00%   2.25%  2.79%    N/A    13.95%
TUE 3:00   7.41%  7.59%   3.57%  3.83%   1.95%  2.24%    N/A    14.02%
TUE OPEN   7.34%  7.46%   3.48%  3.73%   1.97%  2.28%    N/A    14.27%
MON 3:00   7.39%  7.44%   3.51%  3.70%   1.89%  2.18%    N/A    13.90%
MON OPEN   7.51%  7.41%   3.68%  3.71%   1.99%  2.22%    N/A    12.28%
FRI 3:00   7.15%  7.30%   3.32%  3.66%   1.93%  2.08%    N/A    14.25%
FRI OPEN   7.18%  7.74%   3.46%  3.69%   2.01%  2.24%    N/A    15.72%
THU 3:00   7.47%  7.66%   3.47%  3.75%   2.11%  2.31%    N/A    15.60%
THU OPEN   7.56%  7.53%   3.58%  3.77%   2.08%  2.10%   14.71%  15.59%
LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE
SEP17 10Y NOTE  127.00 C  172,070   +1,067   111.00 P  165,472    UNCH
OCT17 10Y NOTE  127.50 C   33,520   +1,759   124.00 P   37,460  +7,048
SEP17 5Y NOTE   118.25 C   37,941      +82   109.25 P  252,442    UNCH
OCT17 5Y NOTE   118.75 C   10,930   +4,160   117.00 P   16,660    UNCH
AUG17 EURODLR    98.62 C   99,858     UNCH    98.50 P  144,360    UNCH
SEP17 EURODLR    98.75 C  338,119   -8,125    98.37 P  750,745    UNCH
SEP18 1Y-MIDC    98.37 C  138,016   -4,675    98.12 P  274,831    +902
SEP19 2Y-MIDC    98.75 C  133,187     UNCH    97.12 P  192,279    UNCH
SEP20 3Y-MIDC    97.62 C   43,731     UNCH    97.50 P   48,307    UNCH
NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE
SEP17 10Y NOTE  125.50 C   53,727      -36   125.50 P   71,097  -2,483
SEP17 10Y NOTE  126.00 C   68,180   -2,386   126.00 P   49,890    -517
OCT17 10Y NOTE  125.50 C   14,796     -114   125.50 P   24,543  +9,549
OCT17 10Y NOTE  126.00 C   14,345     -627   126.00 P    9,187     +93
SEP17 5Y NOTE   117.75 C    5,970     UNCH   117.75 P   18,994     -20
SEP17 5Y NOTE   118.00 C   20,466     UNCH   118.00 P   28,248  +1,250
OCT17 5Y NOTE   117.75 C    3,813     UNCH   117.75 P    7,373    +301
OCT17 5Y NOTE   118.00 C    2,902     +735   118.00 P    1,511     -55
AUG17 EURODLR    98.62 C   99,858     UNCH    98.62 P   95,865    UNCH
AUG17 EURODLR    98.75 C   58,105     UNCH    98.75 P    3,484    UNCH
SEP17 EURODLR    98.62 C  258,300     UNCH    98.62 P  235,442  -1,495
SEP17 EURODLR    98.75 C  338,119   -8,125    98.75 P  107,287    UNCH
SEP18 1Y-MIDC    98.37 C  138,016   -4,675    98.37 P   74,363  -3,252
SEP18 1Y-MIDC    98.50 C  123,529   -7,356    98.50 P   15,350    UNCH
SEP19 2Y-MIDC    98.00 C   65,921     UNCH    98.00 P  118,527     -74
SEP19 2Y-MIDC    98.12 C  127,394   +1,824    98.12 P   72,989  +3,749
SEP20 3Y-MIDC    97.75 C   27,133     UNCH    97.75 P   33,635    UNCH
SEP20 3Y-MIDC    97.87 C   25,669     UNCH    97.87 P   33,703  +7,098
PUT/CALL RATIO FOR VOLUME CLEARED:
SEP17 10Y NOTE PUT/CALL RATIO -- 0.59 (158,568 PUTS VS. 265,300 CALLS)
OCT17 10Y NOTE PUT/CALL RATIO -- 0.96 (57,647 PUTS VS. 59,539 CALLS)
SEP17 5Y NOTE PUT/CALL RATIO  -- 0.82 (21,241 PUTS VS. 25,636 CALLS)
OCT17 5Y NOTE PUT/CALL RATIO  -- 1.16 (10,150 PUTS VS. 8,747 CALLS)
AUG17 EURODLRS PUT/CALL RATIO -- 0.00 (0 PUTS VS. 0 CALLS)
SEP17 EURODLRS PUT/CALL RATIO -- 0.69 (9,450 PUTS VS. 13,555 CALLS)
SEP18 1Y-MIDCRVE PUT/CALL RATIO -- 1.54 (28,550 PUTS VS. 18,400 CALLS)
SEP19 2Y-MIDCRVE PUT/CALL RATIO -- 0.38 (10,600 PUTS VS. 27,525 CALLS)
SEP20 3Y-MIDCRVE PUT/CALL RATIO -- 0.31 (6,000 PUTS VS. 19,000 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
Thu 3:00     40.88    58.92    58.05    63.53    74.64    79.21
1:30         40.88    58.86    58.13    63.49    74.62    79.19
12:45        40.85    58.58    57.98    63.30    74.31    79.19
11:30        40.15    58.21    57.71    62.81    74.18    79.34
9:15         40.01    58.03    57.51    62.59    74.16    79.34
Thu Open     40.01    58.03    57.51    62.59    74.16    79.34
Wed 3:00     39.89    58.07    57.57    62.61    74.14    79.21
Wed Open     39.46    56.67    56.22    60.29    73.59    78.99
Tue 3:00     39.22    55.91    55.45    60.51    73.54    78.67
Tue Open     39.12    55.79    55.18    60.12    73.38    78.95
Mon 3:00     39.00    54.85    54.87    59.96    73.38    78.91
Mon Open     39.00    54.24    54.85    59.91    73.41    78.92
Fri 3:00     38.90    54.13    54.76    59.94    73.36    78.86
Fri Open     38.52    54.41    54.53    59.72    73.41    78.90
Thu 3:00     38.67    54.77    54.75    59.98    73.48    79.08
Thu Open     39.00    57.04    55.53    60.65    73.89    79.19
--MNI Chicago Bureau; tel: +1 312-431-0089; email: bill.sokolis@marketnews.com
[TOPICS: MTABLE,M$U$$$,M$$FI$,MN$FI$]