Trial now
USDCAD TECHS

Stronger In a Range

AUDUSD TECHS

Weaker In A Range

US TSYS SUMMARY

Ending The Week On A Soft Note

EURJPY TECHS

Bearish Risk Growing

USDJPY TECHS

Stronger, But Still Vulnerable

US

SP500 PE Ratio vs. CPI Inflation

     
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
            
            USU    USV     TYU    TYV     FVU    FVV     EDU     EDV
10:45      7.41%  7.62%   3.78%  3.88%   2.12%  2.25%   13.70%  18.20%
9:00       7.64%  7.75%   3.97%  4.05%   2.22%  2.40%   13.50%  18.10%
MON OPEN   7.62%  7.90%   3.96%  3.94%   2.21%  2.37%   14.70%  17.60%
FRI 3:00   7.73%  8.06%   3.87%  4.11%   2.33%  2.44%   13.30%   N/A
FRI OPEN   8.16%  8.08%   4.22%  4.14%   2.37%  2.44%   14.75%   N/A
THU 3:00   7.79%  7.85%   3.97%  4.24%   2.22%  2.51%   13.80%   N/A
THU OPEN   7.91%  8.19%   3.91%  4.16%   2.29%  2.49%   14.15%   N/A
WED 3:00   7.60%  7.85%   3.80%  4.20%   2.22%  2.37%   13.00%   N/A
WED OPEN   7.75%  7.92%   3.89%  4.00%   2.25%  2.79%   13.95%   N/A
TUE 3:00   7.41%  7.59%   3.57%  3.83%   1.95%  2.24%   14.02%   N/A
TUE OPEN   7.34%  7.46%   3.48%  3.73%   1.97%  2.28%   14.27%   N/A
MON 3:00   7.39%  7.44%   3.51%  3.70%   1.89%  2.18%   13.90%   N/A
MON OPEN   7.51%  7.41%   3.68%  3.71%   1.99%  2.22%   12.28%   N/A
LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE
SEP17 10Y NOTE  127.00 C  160,879   -6,206   111.00 P  165,472    UNCH
OCT17 10Y NOTE  127.00 C   39,065   +1,115   124.00 P   37,996     -72
SEP17 5Y NOTE   118.25 C   38,406      -24   109.25 P  252,442    UNCH
OCT17 5Y NOTE   118.75 C   18,248   +7,370   117.00 P   19,751  +3,073
SEP17 EURODLR    98.75 C  336,544     UNCH    98.37 P  750,745    UNCH
OCT17 EURODLR    98.62 C  121,965     +690    98.50 P  157,709  +3,886
SEP18 1Y-MIDC    98.50 C  123,250     -114    98.12 P  260,183 -26,648
SEP19 2Y-MIDC    98.75 C  133,187     UNCH    97.12 P  192,279    UNCH
SEP20 3Y-MIDC    98.00 C   44,748     -550    97.50 P   48,307    UNCH
NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE
SEP17 10Y NOTE  126.00 C   68,040      +76   126.00 P   53,931    +810
SEP17 10Y NOTE  126.50 C   82,962     -603   126.50 P   29,549  +1,070
OCT17 10Y NOTE  126.00 C   15,231     +894   126.00 P   11,137    +948
OCT17 10Y NOTE  126.50 C   28,533   +2,381   126.50 P   10,716  +4,516
SEP17 5Y NOTE   118.25 C   38,406      -24   118.25 P   20,976    -128
SEP17 5Y NOTE   118.50 C   27,618   -2,003   118.50 P    7,684    +567
OCT17 5Y NOTE   118.25 C    2,496     +679   118.25 P    1,176    +976
OCT17 5Y NOTE   118.50 C   11,992   +1,395   118.50 P    2,161    +261
SEP17 EURODLR    98.62 C  257,700     -600    98.62 P  233,844  -1,583
SEP17 EURODLR    98.75 C  336,544     UNCH    98.75 P  107,287    UNCH
OCT17 EURODLR    98.50 C   36,349     UNCH    98.50 P  157,709  +3,886
OCT17 EURODLR    98.62 C  121,965     +690    98.62 P   30,945    UNCH
SEP18 1Y-MIDC    98.37 C  122,359  -17,164    98.37 P   72,459  -4,604
SEP18 1Y-MIDC    98.50 C  123,250     -114    98.50 P   12,632  -2,718
SEP19 2Y-MIDC    98.00 C   64,971     -950    98.00 P   89,876 -29,125
SEP19 2Y-MIDC    98.12 C  123,763   -1,617    98.12 P   72,897      +7
SEP20 3Y-MIDC    97.75 C   27,133     UNCH    97.75 P   40,440  +5,565
SEP20 3Y-MIDC    97.87 C   26,519     +500    97.87 P   32,053    UNCH
PUT/CALL RATIO FOR VOLUME CLEARED:
SEP17 10Y NOTE PUT/CALL RATIO -- 0.90 (124,756 PUTS VS. 137,457 CALLS)
OCT17 10Y NOTE PUT/CALL RATIO -- 0.96 (42,534 PUTS VS. 44,275 CALLS)
SEP17 5Y NOTE PUT/CALL RATIO  -- 1.01 (30,127 PUTS VS. 29,852 CALLS)
OCT17 5Y NOTE PUT/CALL RATIO  -- 0.08 (2,216 PUTS VS. 28,529 CALLS)
SEP17 EURODLRS PUT/CALL RATIO -- 8.46 (11,048 PUTS VS. 1,300 CALLS)
OCT17 EURODLRS PUT/CALL RATIO -- 1.30 (6,804 PUTS VS. 5,270 CALLS)
SEP18 1Y-MIDCRVE PUT/CALL RATIO -- 1.53 (87,780 PUTS VS. 57,250 CALLS)
SEP19 2Y-MIDCRVE PUT/CALL RATIO -- 1.11 (60,150 PUTS VS. 53,900 CALLS)
SEP20 3Y-MIDCRVE PUT/CALL RATIO -- 4.63 (10,200 PUTS VS. 2,200 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
10:45        40.85    59.73    57.56    63.12    75.12    79.37
9:00         40.97    59.34    57.93    63.47    75.03    79.59
Mon Open     41.06    59.35    58.06    63.80    74.26    79.59
Fri 3:00     40.66    59.29    58.06    63.86    74.24    79.55
Fri Open     40.93    59.27    58.15    63.90    74.77    79.24
Thu 3:00     40.88    58.92    58.05    63.53    74.64    79.21
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
--MNI Chicago Bureau; tel: +1 312-431-0089; email: bill.sokolis@marketnews.com
[TOPICS: MTABLE,M$U$$$,M$$FI$,MN$FI$]
MNI Chicago Bureau | +1 312-431-0089 | bill.sokolis@marketnews.com