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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)
            
            USQ    USU     TYQ    TYU     FVQ    FVU     EDN      EDU
12:45      6.35%  6.79%   3.39%  3.65%   2.26%  2.39%    N/A     9.44%
11:15      6.39%  6.83%   3.40%  3.63%   2.09%  2.38%    N/A     8.71%
WED OPEN   6.39%  6.83%   3.40%  3.63%   2.09%  2.38%    N/A     8.71%
TUE 3:00   6.39%  6.83%   3.40%  3.63%   2.09%  2.38%    N/A     8.71%
TUE OPEN   6.23%  6.71%   3.34%  3.59%   2.18%  2.34%    N/A     8.29%
MON 3:00   6.23%  6.71%   3.34%  3.59%   2.18%  2.34%    N/A     8.29%
MON OPEN   6.25%  6.67%   3.42%  3.61%   2.27%  2.38%   13.62%   9.75%
FRI 3:00   6.05%  6.69%   3.25%  3.59%   2.25%  2.34%    N/A     9.57%
FRI OPEN   6.01%  6.52%   3.36%  3.60%   2.20%  2.35%    N/A     9.99%
THU 3:00   6.25%  6.67%   3.46%  3.62%   2.35%  2.41%    N/A     8.70%
THU OPEN   6.35%  6.72%   3.61%  3.74%   2.38%  2.47%    N/A     9.99%
LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE
AUG18 10Y NOTE  121.00 C  111,763     +488   118.50 P   95,106    -138
SEP18 10Y NOTE  120.00 C  281,360 +141,511   118.00 P   77,260 +18,392
AUG18 5Y NOTE   114.00 C   72,518     UNCH   112.50 P   42,051    +744
SEP18 5Y NOTE   114.25 C   64,603      +33   106.25 P   91,819     -19
AUG18 2Y NOTE   106.12 C   43,984     UNCH   105.50 P   14,613    UNCH
SEP18 2Y NOTE   106.80 C    6,005     UNCH   105.75 P   12,427    +450
JUL18 EURODLR    97.75 C   92,584     UNCH    97.50 P  109,950    UNCH
SEP18 EURODLR    97.75 C  312,251     UNCH    97.37 P  512,574 -12,255
SEP19 1Y-MIDC    97.37 C  211,809   -1,500    97.12 P  428,144    UNCH
SEP20 2Y-MIDC    97.37 C  229,850  +15,500    97.00 P  344,247    -266
SEP21 3Y-MIDC    97.62 C   51,070     UNCH    96.75 P   38,604    UNCH
NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE
AUG18 10Y NOTE  120.00 C   79,386     -855   120.00 P   51,467  +1,372
AUG18 10Y NOTE  120.50 C   90,919     +645   120.50 P   10,463     +69
SEP18 10Y NOTE  120.00 C  281,360 +141,511   120.00 P   40,223  -4,077
SEP18 10Y NOTE  120.50 C   75,035     +777   120.50 P   15,787    +238
AUG18 5Y NOTE   113.50 C   31,761     +348   113.50 P   14,773    -348
AUG18 5Y NOTE   113.75 C   40,546     -352   113.75 P    4,823     +42
SEP18 5Y NOTE   113.50 C   32,951   +1,170   113.50 P   28,987      +2
SEP18 5Y NOTE   113.75 C   12,369      -50   113.75 P   20,619    UNCH
AUG18 2Y NOTE   106.00 C    9,450     UNCH   106.00 P    4,184    UNCH
AUG18 2Y NOTE   106.12 C   43,984     UNCH   106.12 P       15    UNCH
SEP18 2Y NOTE   106.00 C    3,000     UNCH   106.00 P    3,090    UNCH
SEP18 2Y NOTE   106.12 C    3,530     +800   106.12 P       16    UNCH
JUL18 EURODLR    97.50 C   39,246     UNCH    97.50 P  109,950    UNCH
JUL18 EURODLR    97.62 C   90,827     UNCH    97.62 P   42,836    UNCH
SEP18 EURODLR    97.75 C  312,251     UNCH    97.75 P  220,788    -200
SEP18 EURODLR    97.87 C  129,266     UNCH    97.87 P  145,646    UNCH
SEP19 1Y-MIDC    97.12 C  123,931     UNCH    97.12 P  428,144    UNCH
SEP19 1Y-MIDC    97.25 C  119,369     -293    97.25 P  104,515    UNCH
SEP20 2Y-MIDC    97.00 C   84,756  -16,804    97.00 P  344,247    -266
SEP20 2Y-MIDC    97.12 C   92,798   +2,467    97.12 P   71,605    UNCH
SEP21 3Y-MIDC    96.87 C    9,822     UNCH    96.87 P   22,295    UNCH
SEP21 3Y-MIDC    97.00 C   28,309   +1,501    97.00 P   35,762     +59
PUT/CALL RATIO FOR VOLUME CLEARED:
AUG18 10Y NOTE PUT/CALL RATIO  -- 0.67 (37,468 PUTS VS. 55,546 CALLS)
SEP18 10Y NOTE PUT/CALL RATIO  -- 0.24 (146,556 PUTS VS. 588,667 CALLS)
AUG18 5Y NOTE PUT/CALL RATIO   -- 0.76 (4,283 PUTS VS. 5,504 CALLS)
SEP18 5Y NOTE PUT/CALL RATIO   -- 2.11 (16,349 PUTS VS. 7,722 CALLS)
AUG18 2Y NOTE PUT/CALL RATIO   -- 0.55 (1,123 PUTS VS. 2,030 CALLS)
SEP18 2Y NOTE PUT/CALL RATIO   -- 0.88 (1,585 PUTS VS. 1,788 CALLS)
JUL18 EURODLRS PUT/CALL RATIO  -- 0.00 (733 PUTS VS. 0 CALLS)
SEP18 EURODLRS PUT/CALL RATIO  -- 35k (70,230 PUTS VS. 2,000 CALLS)
SEP19 1Y-MIDCRVE PUT/CALL RATIO-- 0.73 (3,850 PUTS VS. 5,250 CALLS)
SEP20 2Y-MIDCRVE PUT/CALL RATIO-- 0.84 (76,070 PUTS VS. 89,850 CALLS)
SEP21 3Y-MIDCRVE PUT/CALL RATIO-- 1.05 (1,901 PUTS VS. 1,801 CALLS)
(VOLUME, OPEN INTEREST, RATIOS 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
12:45        50.76    55.18    59.73    59.62    69.88    75.37
11:15        50.44    55.33    59.47    59.51    69.91    75.40
Wed Open     50.35    55.55    59.25    59.18    69.96    75.41
Tue 3:00     50.35    55.55    59.25    59.18    69.96    75.41
Tue Open     50.30    55.17    59.43    59.38    69.90    75.23
Mon 3:00     50.30    55.17    59.43    59.38    69.90    75.23
Mon Open     50.34    54.93    59.35    59.29    69.83    75.15
Fri 3:00     50.05    54.71    58.93    58.96    69.77    75.04
Fri Open     50.44    55.92    59.48    59.62    69.92    74.86
Thu 3:00     50.70    56.33    59.92    60.06    69.91    74.86
Thu Open     50.40    56.38    59.63    59.88    69.94    74.88
--MNI Chicago Bureau; tel: +1 312-431-0089; email: bill.sokolis@marketnews.com
[TOPICS: MTABLE,M$U$$$,M$$FI$,MN$FI$]