Free Trial
ASIA

Coming up in the Asia-Pac session on Tuesday:

USDCAD TECHS

Bullish Extension

FOREX

Risk Recovery Sees Greenback Pare Earlier Gains

AUDUSD TECHS

Key Support Pierced

Real-time Actionable Insight

Get the latest on Central Bank Policy and FX & FI Markets to help inform both your strategic and tactical decision-making.

Free Access
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
            USX    USZ     TYX    TYZ     FVX    TUZ     EDX     EDZ
FRI 3:00   7.55%  7.30%   4.09%  3.98%   2.78%  2.53%   12.00%  13.90%
12:00      7.92%  7.44%   4.28%  4.07%   2.68%  2.53%   12.80%  14.25%
10:45      7.71%  7.46%   4.19%  3.98%   2.77%  2.51%   13.10%  14.25%
FRI OPEN   7.88%  7.24%   4.23%  3.94%   2.67%  2.50%   13.91%  15.47%
THU 3:00   7.60%  7.25%   4.02%  3.83%   2.50%  2.40%   13.90%  16.25%
THU OPEN   7.60%  7.25%   3.95%  3.86%   2.41%  2.44%   14.20%  17.20%
WED 3:00   7.38%  7.25%   3.74%  3.72%   2.31%  2.36%   13.70%  16.50%
WED OPEN   7.28%  7.13%   3.60%  3.76%   2.32%  2.38%   14.45%  16.95%
TUE 3:00   7.07%  7.03%   3.48%  3.63%   2.15%  2.32%   14.55%  16.85%
TUE OPEN   7.37%  7.07%   3.50%  3.66%   2.05%  2.26%   14.30%  16.60%
MON 3:00   7.48%  7.15%   3.62%  3.67%   2.32%  2.31%   14.40%  16.25%
MON OPEN   7.50%  7.22%   3.65%  3.71%   2.10%  2.27%   14.14%  16.85%
LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE
NOV17 10Y NOTE  128.50 C  115,331     +667   124.50 P  129,933  -6,150
DEC17 10Y NOTE  129.00 C   93,765   -1,654   124.50 P  150,865  -3,201
NOV17 5Y NOTE   118.50 C   45,185     UNCH   116.75 P   44,144  +1,656
DEC17 5Y NOTE   118.25 C   43,907  +17,850   112.25 P  104,871    UNCH
NOV17 EURODLR    98.62 C  104,279   +3,394    98.50 P  118,064    UNCH
DEC17 EURODLR    98.75 C  669,289     UNCH    98.37 P1,094,280    UNCH
DEC18 1Y-MIDC    98.50 C  273,080     UNCH    98.00 P  830,133 +12,390
DEC19 2Y-MIDC    98.25 C  112,629  +24,816    97.75 P  280,897 -21,907
DEC20 3Y-MIDC    97.87 C   67,174     UNCH    97.75 P  115,620    +500
NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE
NOV17 10Y NOTE  125.50 C   42,701     +992   125.50 P   86,629  -1,261
NOV17 10Y NOTE  126.00 C   60,959     +100   126.00 P   47,475     -50
DEC17 10Y NOTE  125.50 C   28,743   +5,208   125.50 P   412531  +2,982
DEC17 10Y NOTE  126.00 C   48,556   +6,660   126.00 P   42,165    -265
NOV17 5Y NOTE   117.50 C   19,282   +2,258   117.50 P   23,119    -100
NOV17 5Y NOTE   117.75 C   23,737   +3,322   117.75 P   20,195      +1
DEC17 5Y NOTE   117.50 C   22,093  +12,729   117.50 P   35,313    -259
DEC17 5Y NOTE   117.75 C   26,377   +5,343   117.75 P    8,025      -1
NOV17 EURODLR    98.50 C   45,822     UNCH    98.50 P  118,064    UNCH
NOV17 EURODLR    98.62 C  104,279   +3,394    98.62 P   13,100    UNCH
DEC17 EURODLR    98.50 C  308,825     +681    98.50 P  578,707    -430
DEC17 EURODLR    98.62 C  558,785     +899    98.62 P  227,453     -10
DEC18 1Y-MIDC    98.12 C  109,548   +8,745    98.12 P  526,651 -12,034
DEC18 1Y-MIDC    98.25 C  232,314   +4,591    98.25 P  193,811    -550
DEC19 2Y-MIDC    97.87 C   29,672     +793    97.88 P  181,313    +781
DEC19 2Y-MIDC    98.00 C  111,522  +13,334    98.00 P  203,582    UNCH  
DEC20 3Y-MIDC    97.75 C   54,341   +1,900    97.75 P  115,620    +500
DEC20 3Y-MIDC    97.87 C   67,174     UNCH    97.87 P   71,415    UNCH
PUT/CALL RATIO FOR VOLUME CLEARED:
NOV17 10Y NOTE PUT/CALL RATIO -- 1.12 (168,098 PUTS VS. 149,964 CALLS)
DEC17 10Y NOTE PUT/CALL RATIO -- 0.83 (71,000 PUTS VS. 85,440 CALLS)
NOV17 5Y NOTE PUT/CALL RATIO  -- 1.33 (42,046 PUTS VS. 31,403 CALLS)
DEC17 5Y NOTE PUT/CALL RATIO  -- 0.35 (29,471 PUTS VS. 84,239 CALLS)
NOV17 EURODLRS PUT/CALL RATIO -- 0.00 (0 PUTS VS. 16,500 CALLS)
DEC17 EURODLRS PUT/CALL RATIO -- 0.09 (3,400 PUTS VS. 34,396 CALLS)
DEC18 1Y-MIDCRVE PUT/CALL RATIO -- 1.11 (30,260 PUTS VS. 27,250 CALLS)
DEC19 2Y-MIDCRVE PUT/CALL RATIO -- 2.39 (126,054 PUTS VS. 52,750 CALLS)
DEC20 3Y-MIDCRVE PUT/CALL RATIO -- 0.48 (5,900 PUTS VS. 12,100 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
Fri 3:00     43.58    60.28    58.58    60.43    71.67    77.31
12:00        43.58    58.98    58.37    59.97    71.31    77.33
10:45        43.58    58.98    58.33    59.91    71.30    76.94
Fri Open     43.70    57.32    57.77    58.71    71.13    77.18
Thu 3:00     43.64    56.95    57.32    58.82    71.05    77.14
Thu Open     43.53    56.31    56.88    58.34    70.91    77.05
Wed 3:00     42.43    56.44    56.85    58.38    70.91    77.11
Wed Open     42.85    55.90    56.30    58.07    70.83    77.01
Tue 3:00     42.33    56.29    56.27    58.01    70.81    77.04
Tue Open     41.65    56.88    55.88    58.62    70.89    77.09
Mon 3:00     41.14    56.34    55.57    58.75    70.96    77.07
Mon Open     41.44    57.19    56.04    59.28    71.08    77.18
--MNI Chicago Bureau; tel: +1 312-431-0089; email: bill.sokolis@marketnews.com
[TOPICS: MTABLE,M$U$$$,M$$FI$,MN$FI$]

To read the full story

Why Subscribe to

MarketNews.com

MNI is the leading provider

of news and intelligence specifically for the Global Foreign Exchange and Fixed Income Markets, providing timely, relevant, and critical insight for market professionals and those who want to make informed investment decisions. We offer not simply news, but news analysis, linking breaking news to the effects on capital markets. Our exclusive information and intelligence moves markets.

Our credibility

for delivering mission-critical information has been built over three decades. The quality and experience of MNI's team of analysts and reporters across America, Asia and Europe truly sets us apart. Our Markets team includes former fixed-income specialists, currency traders, economists and strategists, who are able to combine expertise on macro economics, financial markets, and political risk to give a comprehensive and holistic insight on global markets.