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BTP TECHS

(M1) Downtrend Extends

GILT TECHS

(M1) Key Support Zone Exposed

SCHATZ TECHS

(M1) Clears Congestion Support

BOBL TECHS

(M1) Bearish Activity Resumed

BUND TECHS

(M1) Key Support Exposed

CHINA RATES

China Repo Rates Rise on Wednesday: Wind

     
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
            
            USX    USZ     TYX    TYZ     FVX    TUZ     EDX     EDZ
FRI OPEN    N/A   8.01%    N/A   4.22%    N/A   2.65%   10.53%  13.12%
THU 3:00    N/A   8.09%    N/A   4.18%    N/A   2.63%   11.25%  13.96%
THU OPEN    N/A   8.22%    N/A   4.22%    N/A   2.72%   10.15%  13.75%
WED 3:00    N/A   8.20%    N/A   4.29%    N/A   2.69%   10.75%  13.99%
WED OPEN    N/A   8.16%    N/A   4.32%    N/A   2.73%   11.30%  13.96%
TUE 3:00    N/A   7.78%    N/A   4.21%    N/A   2.69%   10.60%  14.10%
TUE OPEN    N/A   7.71%    N/A   4.28%    N/A   2.63%   11.25%  12.86%
MON 3:00    N/A   7.62%    N/A   4.08%    N/A   2.58%   11.22%  12.77%
MON OPEN   8.78%  7.63%   4.88%  4.10%   3.05%  2.60%   11.10%  13.90%
FRI 3:00   7.55%  7.30%   4.09%  3.98%   2.78%  2.53%   12.00%  13.90%
FRI OPEN   7.88%  7.24%   4.23%  3.94%   2.67%  2.50%   13.91%  15.47%
LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE
NOV17 10Y NOTE  128.50 C  115,414     UNCH   124.50 P   97,507 -22,129
DEC17 10Y NOTE  126.50 C  183,903   +4,297   124.50 P  184,670  +1,883
NOV17 5Y NOTE   118.50 C   45,185     UNCH   115.25 P   31,432    UNCH
DEC17 5Y NOTE   118.00 C   44,438  +12,246   112.25 P  104,983    UNCH
NOV17 EURODLR    98.62 C  125,854   +1,000    98.50 P  114,805  +1,859
DEC17 EURODLR    98.75 C  671,489     UNCH    98.37 P1,084,935  +5,000
DEC18 1Y-MIDC    98.50 C  271,586     UNCH    98.00 P  624,836 -37,478
DEC19 2Y-MIDC    98.25 C  120,702   -3,650    97.75 P  333,059  +6,574
DEC20 3Y-MIDC    97.87 C   74,677   -2,500    97.50 P  120,567  +3,300
NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE
NOV17 10Y NOTE  124.50 C    8,126     +618   124.50 P   97,507 -22,129
NOV17 10Y NOTE  125.00 C   41,179  +12,874   125.00 P   71,437  -2,962
DEC17 10Y NOTE  124.50 C   34,359   +5,682   124.50 P  184,670  +1,883
DEC17 10Y NOTE  125.00 C   44,368   +1,566   125.00 P   68,273  -3,063
NOV17 5Y NOTE   117.00 C    8,912   +2,178   117.00 P   29,620    -151
NOV17 5Y NOTE   117.25 C   16,228     +277   117.25 P   29,064     -29
DEC17 5Y NOTE   117.00 C   19,811   +3,337   117.00 P   43,129  -5,293
DEC17 5Y NOTE   117.25 C   17,028     +731   117.25 P   19,294  -1,850
NOV17 EURODLR    98.50 C   53,891   +4,520    98.50 P  114,805  +1,859
NOV17 EURODLR    98.62 C  125,854   +1,000    98.62 P   13,100    UNCH
DEC17 EURODLR    98.50 C  372,777  +18,699    98.50 P  545,642    -500
DEC17 EURODLR    98.62 C  618,243   +5,750    98.62 P  223,253    UNCH
DEC18 1Y-MIDC    98.12 C  109,696   +7,340    98.12 P  321,202 -29,531
DEC18 1Y-MIDC    98.25 C  219,382   -3,508    98.25 P  192,563  -3,000
DEC19 2Y-MIDC    97.87 C   52,335  +19,613    97.88 P  177,692  -1,749
DEC19 2Y-MIDC    98.00 C  110,684   +1,200    98.00 P  216,360  -4,133  
DEC20 3Y-MIDC    97.75 C   61,110     +255    97.75 P  110,851    UNCH
DEC20 3Y-MIDC    97.87 C   74,677   -2,500    97.87 P   85,615    UNCH
PUT/CALL RATIO FOR VOLUME CLEARED:
NOV17 10Y NOTE PUT/CALL RATIO -- 1.78 (128,152 PUTS VS. 71,765 CALLS)
DEC17 10Y NOTE PUT/CALL RATIO -- 1.14 (143,279 PUTS VS. 125,579 CALLS)
NOV17 5Y NOTE PUT/CALL RATIO  -- 2.97 (32,680 PUTS VS. 11,005 CALLS)
DEC17 5Y NOTE PUT/CALL RATIO  -- 0.57 (24,129 PUTS VS. 41,671 CALLS)
NOV17 EURODLRS PUT/CALL RATIO -- 0.29 (6,263 PUTS VS. 21,026 CALLS)
DEC17 EURODLRS PUT/CALL RATIO -- 0.38 (16,404 PUTS VS. 43,050 CALLS)
DEC18 1Y-MIDCRVE PUT/CALL RATIO -- 6.77 (199,976 PUTS VS. 29,500 CALLS)
DEC19 2Y-MIDCRVE PUT/CALL RATIO -- 1.84 (141,423 PUTS VS. 76,650 CALLS)
DEC20 3Y-MIDCRVE PUT/CALL RATIO -- 2.18 (15,324 PUTS VS. 7,000 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 Open     45.97    63.57    62.99    65.16    74.74    78.65
Thu 3:00     45.69    62.91    62.33    64.70    74.38    78.22
Thu Open     45.22    63.00    61.99    64.14    73.87    78.01
Wed 3:00     44.90    62.65    61.83    64.01    73.79    78.14
Wed Open     45.22    63.27    61.52    63.27    72.71    77.67
Tue 3:00     44.22    63.13    60.62    62.43    72.59    77.59
Tue Open     44.69    62.20    59.79    61.62    72.06    76.83
Mon 3:00     44.57    61.76    59.56    61.40    71.79    77.14
Mon Open     44.02    60.35    59.07    60.92    71.90    77.31
Fri 3:00     43.58    60.28    58.58    60.43    71.67    77.31
Fri Open     43.70    57.32    57.77    58.71    71.13    77.18
--MNI Chicago Bureau; tel: +1 312-431-0089; email: bill.sokolis@marketnews.com
[TOPICS: MTABLE,M$U$$$,M$$FI$,MN$FI$]