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USDCAD TECHS

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US TSYS SUMMARY

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AUDUSD TECHS

Trend Indicators Remain Bearish

     
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
            
            USV    USZ     TYV    TYZ     FVV    TUZ     EDU     EDV
MON 3:00   7.74%  7.70%   4.18%  4.02%   2.52%  2.35%    N/A    17.45%
2:15       7.82%  7.69%   4.18%  4.02%   2.52%  2.36%    N/A    18.50%
12:30      7.55%  7.61%   4.16%  3.98%   2.49%  2.36%    N/A    17.05%
9:30       7.56%  7.72%   3.87%  3.94%   2.40%  2.31%    N/A    16.39%
MON OPEN   7.88%  7.87%   4.19%  4.03%   2.34%  2.38%    N/A    16.02%
FRI 3:00   8.46%  8.04%   4.40%  4.16%   2.59%  2.48%   21.33%  16.21%
FRI OPEN   8.41%  8.16%   4.35%  4.12%   2.40%  2.44%   23.45%  17.62%
THU 3:00   8.26%  8.12%   4.36%  4.12%   2.44%  2.41%   20.13%  17.50%
THU OPEN   8.11%  7.94%   4.20%  4.15%   2.36%  2.39%   16.00%  15.97%
WED 3:00   8.35%  8.03%   4.30%  4.18%   2.35%  2.42%   17.92%  17.34%
WED OPEN   8.22%  8.11%   4.21%  4.23%   2.46%  2.43%   19.05%  18.05%
TUE 3:00   7.58%  7.86%   4.18%  4.12%   2.32%  2.40%   18.51%  17.88%
TUE OPEN   7.31%  7.72%   3.88%  4.05%   2.24%  2.37%   13.79%  16.49%
LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE
OCT17 10Y NOTE  127.50 C   90,295   -7,636   125.00 P   64,538    +271
DEC17 10Y NOTE  129.00 C   92,575   +2,126   114.00 P   95,075    UNCH
OCT17 5Y NOTE   119.00 C   26,959   -2,442   116.00 P   26,518    UNCH
DEC17 5Y NOTE   118.25 C    9,073     UNCH   112.25 P  101,550    UNCH
SEP17 EURODLR    98.75 C  335,545   -2,630    98.37 P  746,921    UNCH
OCT17 EURODLR    98.62 C  119,004     UNCH    98.50 P  162,439    -250
SEP18 1Y-MIDC    98.37 C  102,538   -3,800    98.12 P  211,382    UNCH
SEP19 2Y-MIDC    98.75 C  136,631     UNCH    97.12 P  192,279    UNCH
SEP20 3Y-MIDC    98.00 C   43,481     UNCH    97.62 P   56,664    UNCH
NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE
OCT17 10Y NOTE  127.00 C   89,527       +7   127.00 P   38,700  +8,141
OCT17 10Y NOTE  127.50 C   90,295   -7,636   127.50 P   14,108  +3,775
DEC17 10Y NOTE  127.00 C   21,654      +18   127.00 P   23,151  +2,557
DEC17 10Y NOTE  127.50 C   24,529       +1   127.50 P   11,625  +1,637
OCT17 5Y NOTE   118.25 C   10,337       -1   118.25 P   17,002  +2,114
OCT17 5Y NOTE   118.50 C   16,343     UNCH   118.50 P   12,192  +2,107
DEC17 5Y NOTE   118.25 C    9,073     UNCH   118.25 P   15,369    UNCH
DEC17 5Y NOTE   118.50 C    5,412     UNCH   118.50 P   12,328    +125
SEP17 EURODLR    98.62 C  252,473     -849    98.62 P  264,870    UNCH
SEP17 EURODLR    98.75 C  335,545   -2,630    98.75 P  107,287    UNCH
OCT17 EURODLR    98.50 C   37,992     UNCH    98.50 P  162,439    -250
OCT17 EURODLR    98.62 C  119,004     UNCH    98.62 P   31,563    +250
SEP18 1Y-MIDC    98.37 C  102,538   -3,800    98.37 P   75,546  -1,443
SEP18 1Y-MIDC    98.50 C   73,546     -825    98.50 P   14,855     -99
SEP19 2Y-MIDC    98.00 C   62,838     UNCH    98.00 P  110,840    UNCH
SEP19 2Y-MIDC    98.12 C  116,573     +550    98.12 P   80,921  +1,022  
SEP20 3Y-MIDC    97.75 C   27,133     UNCH    97.75 P   34,884    UNCH
SEP20 3Y-MIDC    97.87 C   22,685     UNCH    97.87 P   31,751    +500
PUT/CALL RATIO FOR VOLUME CLEARED:
OCT17 10Y NOTE PUT/CALL RATIO -- 0.56 (112,476 PUTS VS. 199,158 CALLS)
DEC17 10Y NOTE PUT/CALL RATIO -- 1.30 (46,226 PUTS VS. 35,481 CALLS)
OCT17 5Y NOTE PUT/CALL RATIO  -- 0.97 (25,976 PUTS VS. 26,507 CALLS)
DEC17 5Y NOTE PUT/CALL RATIO  -- 2.23 (4,767 PUTS VS. 2,094 CALLS)
SEP17 EURODLRS PUT/CALL RATIO -- 0.00 (0 PUTS VS. 52,230 CALLS)
OCT17 EURODLRS PUT/CALL RATIO -- 0.29 (3,250 PUTS VS. 10,700 CALLS)
SEP18 1Y-MIDCRVE PUT/CALL RATIO -- 0.60 (2,750 PUTS VS. 4,500 CALLS)
SEP19 2Y-MIDCRVE PUT/CALL RATIO -- 0.75 (16,100 PUTS VS. 21,187 CALLS)
SEP20 3Y-MIDCRVE PUT/CALL RATIO -- 0.82 (4,850 PUTS VS. 5,850 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
Mon 3:00     39.26    59.89    56.59    63.01    73.67    78.90
2:15         39.24    59.89    56.59    63.01    73.67    78.90
12:30        39.24    59.92    56.70    63.11    73.94    78.92
9:30         39.46    60.84    57.02    63.42    74.20    79.08
Mon Open     39.70    61.39    57.66    64.00    74.32    79.18
Fri 3:00     39.86    61.73    57.95    64.37    74.34    79.16
Fri Open     40.12    62.27    58.29    64.48    74.68    79.20
Thu 3:00     39.92    61.11    57.62    63.82    74.62    79.17
Thu Open     40.03    60.37    57.44    63.79    74.54    79.16
Wed 3:00     40.07    62.77    57.44    63.94    74.69    79.22
Wed Open     40.25    64.26    58.12    64.48    74.60    79.26
Tue 3:00     39.72    63.35    57.78    64.13    74.62    79.22
Tue Open     38.71    57.16    55.85    62.05    74.19    79.15
--MNI Chicago Bureau; tel: +1 312-431-0089; email: bill.sokolis@marketnews.com
[TOPICS: MTABLE,M$U$$$,M$$FI$,MN$FI$]
MNI Chicago Bureau | +1 312-431-0089 | bill.sokolis@marketnews.com