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RATINGS

4 Sovereign Rating Reviews Slated On Friday

FED

NY Fed Operational Purchase

GILT SUMMARY

Curve Flattening

EGB SUMMARY

BTP underperformance, the story of the day

US 10YR FUTURE TECHS

(U1)‌‌ Holding Above Thursday Low

     
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
            
            USU    USV     TYU    TYV     FVU    FVV     EDU     EDV
THU OPEN   7.24%  7.49%   3.53%  3.80%   1.99%  2.24%   11.60%  14.80%
WED 3:00   7.18%  7.62%   3.61%  3.81%   2.14%  2.27%   11.70%  13.30%
WED OPEN   7.35%  7.30%   3.61%  3.82%   2.00%  2.12%   12.97%  14.37%
TUE 3:00   7.51%  7.61%   3.74%  3.80%   2.11%  2.26%   12.80%  14.85%
TUE OPEN   7.55%  7.60%   3.80%  3.75%   2.12%  2.21%   13.26%  16.00%
MON 3:00   7.46%  7.76%   3.84%  3.91%   2.15%  2.42%   13.05%  16.55%
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
LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE
SEP17 10Y NOTE  127.00 C  149,520   -2,566   111.00 P  165,472    UNCH
OCT17 10Y NOTE  127.00 C   47,412   +1,440   125.00 P   44,566  +2,415
SEP17 5Y NOTE   118.25 C   37,973   -1,042   109.25 P  252,442    UNCH
OCT17 5Y NOTE   118.75 C   15,639   -2,261   117.00 P   21,800  +2,000
SEP17 EURODLR    98.75 C  335,744     UNCH    98.37 P  751,921  +1,176
OCT17 EURODLR    98.62 C  127,100     UNCH    98.50 P  159,280  +1,221
SEP18 1Y-MIDC    98.37 C  124,159   -2,700    98.12 P  266,327    +900
SEP19 2Y-MIDC    98.75 C  133,187     UNCH    97.12 P  192,279    UNCH
SEP20 3Y-MIDC    98.00 C   44,298     +200    97.50 P   48,307    UNCH
NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE
SEP17 10Y NOTE  126.00 C   66,796   +3,426   126.00 P   56,995  +2,991
SEP17 10Y NOTE  126.50 C   80,916     -136   126.50 P   31,888  -1,041
OCT17 10Y NOTE  126.00 C   20,236   +2,761   126.00 P   17,229  +2,345
OCT17 10Y NOTE  126.50 C   32,967   +3,084   126.50 P   10,294    -570
SEP17 5Y NOTE   118.25 C   37,973   -1,042   118.25 P   21,344  +1,219
SEP17 5Y NOTE   118.50 C   26,023     +881   118.50 P    8,097     +70
OCT17 5Y NOTE   118.25 C    2,166     UNCH   118.25 P    1,141     +41
OCT17 5Y NOTE   118.50 C   13,220     -132   118.50 P    3,432    UNCH
SEP17 EURODLR    98.62 C  257,195     -500    98.62 P  230,554    -250
SEP17 EURODLR    98.75 C  335,744     UNCH    98.75 P  107,287    UNCH
OCT17 EURODLR    98.50 C   36,376     UNCH    98.50 P  159,280  +1,221
OCT17 EURODLR    98.62 C  127,100     UNCH    98.62 P   31,274    +500
SEP18 1Y-MIDC    98.37 C  124,159   -2,700    98.37 P   74,833  -1,914
SEP18 1Y-MIDC    98.50 C  116,985   -6,400    98.50 P   11,732    -700
SEP19 2Y-MIDC    98.00 C   64,998     UNCH    98.00 P   94,481    UNCH
SEP19 2Y-MIDC    98.12 C  131,323   +3,650    98.12 P   71,503  -1,930
SEP20 3Y-MIDC    97.75 C   27,133     UNCH    97.75 P   29,389    UNCH
SEP20 3Y-MIDC    97.87 C   24,185   -1,200    97.87 P   29,575  -1,001
PUT/CALL RATIO FOR VOLUME CLEARED:
SEP17 10Y NOTE PUT/CALL RATIO -- 0.98 (90,575 PUTS VS. 92,079 CALLS)
OCT17 10Y NOTE PUT/CALL RATIO -- 0.94 (46,458 PUTS VS. 49,023 CALLS)
SEP17 5Y NOTE PUT/CALL RATIO  -- 0.87 (13,483 PUTS VS. 15,380 CALLS)
OCT17 5Y NOTE PUT/CALL RATIO  -- 1.19 (6,874 PUTS VS. 5,718 CALLS)
SEP17 EURODLRS PUT/CALL RATIO -- 6.27 (6,900 PUTS VS. 1,150 CALLS)
OCT17 EURODLRS PUT/CALL RATIO -- 0.41 (12,000 PUTS VS. 29,190 CALLS)
SEP18 1Y-MIDCRVE PUT/CALL RATIO -- 1.86 (37,600 PUTS VS. 20,200 CALLS)
SEP19 2Y-MIDCRVE PUT/CALL RATIO -- 1.11 (4,000 PUTS VS. 3,650 CALLS)
SEP20 3Y-MIDCRVE PUT/CALL RATIO -- 1.00 (3,050 PUTS VS. 3,050 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 Open     38.64    55.11    55.45    61.46    74.07    79.06
Wed 3:00     38.76    55.23    55.25    61.34    74.16    79.17
Wed Open     40.07    56.23    55.96    61.73    74.13    79.25
Tue 3:00     40.12    58.67    56.35    62.10    74.53    79.30
Tue Open     40.45    59.22    56.72    62.25    74.78    79.51
Mon 3:00     40.65    59.26    57.08    62.43    74.92    79.33
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
--MNI Chicago Bureau; tel: +1 312-431-0089; email: bill.sokolis@marketnews.com
[TOPICS: MTABLE,M$U$$$,M$$FI$,MN$FI$]