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AUSSIE 3-YEAR TECHS

(M1) Directional Triggers Intact

JGB TECHS

(M1) Bullish Focus

AUSSIE 10-YEAR TECHS

(M1) New Multi-Month Highs

USDCAD TECHS

Clearing Major Support

AUDUSD TECHS

Sizeable Resistance Building

     
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
            
            USX    USZ     TYX    TYZ     FVX    TUZ     EDX     EDZ
12:45       N/A   7.58%    N/A   3.90%    N/A   2.41%   10.44%  13.52%
11:15       N/A   7.56%    N/A   3.95%    N/A   2.44%   10.89%  13.52%
9:15        N/A   7.75%    N/A   4.06%    N/A   2.56%   11.56%  14.07%
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
12:45        44.23    58.39    59.36    61.40    73.96    78.35
11:15        44.69    59.26    60.21    62.36    74.19    78.46
9:15         45.94    63.94    63.09    65.32    75.01    78.70
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$]