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CROSS ASSET

USD Hits New Daily Lows vs. EUR, GBP, AUD

US TSY FUTURES

BLOCK, 5Y

US TSYS

Tsys Pare Gains on Equity Upswing

PLATINUM

Death Cross Approaches in Platinum

EQUITY TECHS

E-MINI S&P (U1): Heading North

CORN TECHS

(Z1) Attention Is On Support

     
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
            
            USU    USV     TYU    TYV     FVU    FVV     EDU     EDV
10:30      8.60%  7.44%   4.74%  3.94%   2.74%  2.24%   11.17%  15.55%
9:00       8.61%  7.56%   4.71%  4.00%   2.72%  2.32%   12.80%  16.32%
TUE OPEN   8.64%  7.55%   4.53%  3.95%   2.54%  2.32%   12.69%  16.32%
FRI 3:00   6.97%  7.62%   3.44%  3.94%   2.01%  2.27%   10.70%  15.74%
FRI OPEN   7.30%  7.79%   3.60%  3.79%   2.00%  2.27%   11.83%  15.30%
THU 3:00   7.09%  7.69%   3.62%  3.84%   2.03%  2.27%   11.70%  14.20%
THU OPEN   7.24%  7.49%   3.53%  3.80%   1.99%  2.24%   11.60%  13.80%
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%
LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE
SEP17 10Y NOTE  127.00 C  127,279  -16,527   111.00 P  165,472    UNCH
OCT17 10Y NOTE  127.00 C   58,162   +5,662   125.00 P   50,412  -1,329
SEP17 5Y NOTE   118.25 C   36,845      -49   109.25 P  252,442    UNCH
OCT17 5Y NOTE   118.75 C   15,531     UNCH   117.00 P   21,801      +1
SEP17 EURODLR    98.75 C  336,238      -32    98.37 P  746,921    UNCH
OCT17 EURODLR    98.62 C  128,600     +500    98.50 P  153,280    UNCH
SEP18 1Y-MIDC    98.37 C  121,506     -957    98.12 P  225,971    UNCH
SEP19 2Y-MIDC    98.75 C  133,187     UNCH    97.12 P  192,279    UNCH
SEP20 3Y-MIDC    98.00 C   44,962     -250    97.62 P   52,181    UNCH
NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE
SEP17 10Y NOTE  126.00 C   65,071     -136   126.00 P   55,187  -3,266
SEP17 10Y NOTE  126.50 C   73,897     -368   126.50 P   39,131    -441
OCT17 10Y NOTE  126.00 C   19,665     -110   126.00 P   20,373    +244
OCT17 10Y NOTE  126.50 C   33,958   +1,058   126.50 P   20,482  +2,096
SEP17 5Y NOTE   118.25 C   36,845      -49   118.25 P   21,729    +968
SEP17 5Y NOTE   118.50 C   25,727     -477   118.50 P    9,200    +867
OCT17 5Y NOTE   118.25 C    6,837   +3,449   118.25 P    5,572  +3,037
OCT17 5Y NOTE   118.50 C   14,256      -50   118.50 P    3,432    UNCH
SEP17 EURODLR    98.62 C  256,245     -450    98.62 P  231,091    +735
SEP17 EURODLR    98.75 C  336,238      -32    98.75 P  107,187    UNCH
OCT17 EURODLR    98.50 C   36,745     UNCH    98.50 P  153,280    UNCH
OCT17 EURODLR    98.62 C  128,600     +500    98.62 P   30,274    UNCH
SEP18 1Y-MIDC    98.37 C  121,506     -957    98.37 P   71,582  -2,776
SEP18 1Y-MIDC    98.50 C  115,024     +417    98.50 P   12,132    UNCH
SEP19 2Y-MIDC    98.00 C   64,998     UNCH    98.00 P   94,481    UNCH
SEP19 2Y-MIDC    98.12 C  131,024       +1    98.12 P   76,831  +2,889
SEP20 3Y-MIDC    97.75 C   27,133     UNCH    97.75 P   35,096  -1,500
SEP20 3Y-MIDC    97.87 C   22,685     UNCH    97.87 P   25,496  +1,200
PUT/CALL RATIO FOR VOLUME CLEARED:
SEP17 10Y NOTE PUT/CALL RATIO -- 0.34 (60,305 PUTS VS. 176,767 CALLS)
OCT17 10Y NOTE PUT/CALL RATIO -- 0.83 (37,199 PUTS VS. 44,562 CALLS)
SEP17 5Y NOTE PUT/CALL RATIO  -- 0.63 (15,692 PUTS VS. 24,569 CALLS)
OCT17 5Y NOTE PUT/CALL RATIO  -- 3.63 (16,019 PUTS VS. 4,463 CALLS)
SEP17 EURODLRS PUT/CALL RATIO -- 0.40 (1,015 PUTS VS. 2,500 CALLS)
OCT17 EURODLRS PUT/CALL RATIO -- 0.04 (500 PUTS VS. 10,116 CALLS)
SEP18 1Y-MIDCRVE PUT/CALL RATIO -- 0.34 (2,450 PUTS VS. 7,000 CALLS)
SEP19 2Y-MIDCRVE PUT/CALL RATIO -- 12.8 (38,600 PUTS VS. 3,000 CALLS)
SEP20 3Y-MIDCRVE PUT/CALL RATIO -- 1.81 (6,750 PUTS VS. 3,750 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
10:30        39.06    61.49    55.90    62.16    73.84    79.22
9:00         39.06    61.52    55.72    62.00    73.84    79.22
Tue Open     39.06    61.52    55.72    62.00    73.90    79.22
Fri 3:00     38.53    57.55    54.92    61.24    73.83    79.18
Fri Open     38.85    56.17    55.22    61.42    73.95    79.18
Thu 3:00     38.73    55.17    55.08    61.31    73.83    79.09
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
--MNI Chicago Bureau; tel: +1 312-431-0089; email: bill.sokolis@marketnews.com
[TOPICS: MTABLE,M$U$$$,M$$FI$,MN$FI$]