Trial now
COMMODITIES

LEVELS UPDATE: Precious metals up, natgas down

EQUITIES

Asian and European equities in the red

BOND SUMMARY

Pricing out optimism

BOE

BofA Change Their Bank of England Call

BUNDS

Block trade

     
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
            
            USQ    USU     TYQ    TYU     FVQ    FVU     EDN      EDU
Wed 3:00   6.44%  6.87%   3.43%  3.61%   2.22%  2.41%    N/A     9.27%
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
Wed 3:00     50.72    54.99    59.60    59.48    69.78    75.30
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$]