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AUSSIE BONDS

AUCTION PREVIEW: Nov-27 I/L Supply Due

AUSTRALIA DATA

ANZ Consumer Confidence Rises Slightly Despite Rate Hike

CNH

Some Resistance Ahead Of 7.00

AUSSIE BONDS

Under Light Pressure, Local Confidence Surveys Slated

AUSSIE 3-YEAR TECHS

(Z2) Holding Recent Gains

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EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
            USU    USV     TYU    TYV     FVU    FVV     EDU     EDV
10:15       N/A   7.32%    N/A   3.68%    N/A   2.21%   9.85%   16.07%
FRI OPEN    N/A   7.54%    N/A   3.88%    N/A   2.34%   10.91%  16.70%
THU 3:00    N/A   7.63%    N/A   3.85%    N/A   2.38%   11.22%  16.66%
THU OPEN    N/A   7.69%    N/A   3.99%    N/A   2.37%   10.25%  16.64%
WED 3:00   9.76%  7.63%   5.48%  3.88%   3.15%  2.33%   11.79%  16.48%
WED OPEN   9.07%  7.38%   4.76%  3.87%   2.84%  2.30%   11.38%  16.47%
TUE 3:00   8.94%  7.44%   4.39%  3.89%   2.72%  2.26%   11.16%  16.10%
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%
LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE
SEP17 10Y NOTE  128.00 C  126,923       -1   111.00 P  165,472    UNCH
OCT17 10Y NOTE  127.50 C   61,011   +5,146   125.00 P   55,818  +2,012
SEP17 5Y NOTE   118.25 C   35,104     -858   109.25 P  252,442    UNCH
OCT17 5Y NOTE   119.00 C   25,337  +10,275   115.25 P   26,311 +23,155
SEP17 EURODLR    98.75 C  334,800   -3,139    98.37 P  746,921    UNCH
OCT17 EURODLR    98.62 C  128,650     UNCH    98.50 P  154,087    +600
SEP18 1Y-MIDC    98.37 C  119,585   -3,475    98.12 P  214,383    +375
SEP19 2Y-MIDC    98.75 C  133,187     UNCH    97.12 P  192,279    UNCH
SEP20 3Y-MIDC    98.00 C   43,162   -1,000    97.62 P   55,197    +800
NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE
SEP17 10Y NOTE  126.00 C   63,540      -12   126.00 P   51,406  -3,541
SEP17 10Y NOTE  126.50 C   65,865   -1,296   126.50 P   48,819  +3,734
OCT17 10Y NOTE  126.00 C   19,102      +63   126.00 P   29,622  +7,298
OCT17 10Y NOTE  126.50 C   39,928   +2,456   126.50 P   27,099  +2,508
SEP17 5Y NOTE   118.25 C   35,104     -858   118.25 P   19,121  -1,055
SEP17 5Y NOTE   118.50 C   20,235   -2,030   118.50 P   25,995  +4,143
OCT17 5Y NOTE   118.25 C    8,721   -1,180   118.25 P    9,194    -842
OCT17 5Y NOTE   118.50 C   12,940      +13   118.50 P    3,438    UNCH
SEP17 EURODLR    98.62 C  255,245   -2,000    98.62 P  231,656  +1,691
SEP17 EURODLR    98.75 C  334,800   -3,139    98.75 P  107,187    UNCH
OCT17 EURODLR    98.50 C   36,742       -3    98.50 P  154,087    +600
OCT17 EURODLR    98.62 C  128,650     UNCH    98.62 P   30,274    UNCH
SEP18 1Y-MIDC    98.37 C  119,585   -3,475    98.37 P   63,731  -6,164
SEP18 1Y-MIDC    98.50 C  110,896   -2,450    98.50 P   11,802    UNCH
SEP19 2Y-MIDC    98.00 C   64,998     UNCH    98.00 P  100,839  +2,708
SEP19 2Y-MIDC    98.12 C  125,473     UNCH    98.12 P   80,411  +4,630
SEP20 3Y-MIDC    97.75 C   27,133     UNCH    97.75 P   45,657  +7,700
SEP20 3Y-MIDC    97.87 C   22,685     UNCH    97.87 P   25,496    UNCH
PUT/CALL RATIO FOR VOLUME CLEARED:
SEP17 10Y NOTE PUT/CALL RATIO -- 0.93 (95,509 PUTS VS. 101,824 CALLS)
OCT17 10Y NOTE PUT/CALL RATIO -- 0.85 (86,504 PUTS VS. 100,809 CALLS)
SEP17 5Y NOTE PUT/CALL RATIO  -- 1.51 (26,978 PUTS VS. 17,697 CALLS)
OCT17 5Y NOTE PUT/CALL RATIO  -- 0.83 (31,034 PUTS VS. 37,033 CALLS)
SEP17 EURODLRS PUT/CALL RATIO -- 0.59 (26,400 PUTS VS. 44,678 CALLS)
OCT17 EURODLRS PUT/CALL RATIO -- 0.08 (1,003 PUTS VS. 11,331 CALLS)
SEP18 1Y-MIDCRVE PUT/CALL RATIO -- 1.03 (12,500 PUTS VS. 12,150 CALLS)
SEP19 2Y-MIDCRVE PUT/CALL RATIO -- 1.23 (6,800 PUTS VS. 5,500 CALLS)
SEP20 3Y-MIDCRVE PUT/CALL RATIO -- 2.21 (23,300 PUTS VS. 10,550 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
10:15        39.83    59.31    57.41    63.73    73.92    79.37
Fri Open     39.88    59.51    57.57    63.97    74.63    79.37
Thu 3:00     39.87    60.08    57.90    64.36    74.63    79.32
Thu Open     39.79    59.46    57.26    63.65    74.44    79.23
Wed 3:00     39.39    58.03    56.01    62.49    74.27    79.22
Wed Open     39.03    57.93    55.76    62.08    73.93    78.77
Tue 3:00     39.11    60.45    55.86    62.23    73.93    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
--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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