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AUD

AUDJPY is highest since Monday

     
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
            
            USV    USZ     TYV    TYZ     FVV    TUZ     EDU     EDV
11:15      7.36%  7.49%   4.05%  3.94%   2.44%  2.31%    N/A    17.29%
9:30       7.38%  7.44%   4.06%  3.93%   2.45%  2.32%    N/A    16.30%
TUE OPEN   7.47%  7.49%   4.05%  3.94%   2.41%  2.35%    N/A    16.50%
MON 3:00   7.74%  7.70%   4.18%  4.02%   2.52%  2.35%    N/A    17.45%
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  127.00 C   89,420     -107   126.00 P   68,263  +4,275
DEC17 10Y NOTE  129.00 C   92,458     -117   114.00 P   95,075    UNCH
OCT17 5Y NOTE   119.00 C   33,108   +6,149   117.75 P   27,315  +1,800
DEC17 5Y NOTE   118.25 C    9,073     UNCH   112.25 P  101,550    UNCH
SEP17 EURODLR    98.75 C  335,345     -200    98.37 P  746,921    UNCH
OCT17 EURODLR    98.62 C  118,755     -249    98.50 P  153,489  -8,950
SEP18 1Y-MIDC    98.37 C  102,538     UNCH    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   89,420     -107   127.00 P   37,378    -822
OCT17 10Y NOTE  127.50 C   80,329   -8,966   127.50 P   14,816    +708
DEC17 10Y NOTE  127.00 C   24,344   +2,690   127.00 P   21,953  -1,198
DEC17 10Y NOTE  127.50 C   24,542      +13   127.50 P   11,840    +215
OCT17 5Y NOTE   118.25 C   10,193     -144   118.25 P   25,570  +8,568
OCT17 5Y NOTE   118.50 C   16,510     +167   118.50 P   13,440  +1,248
DEC17 5Y NOTE   118.25 C    9,073     UNCH   118.25 P   15,469    +100
DEC17 5Y NOTE   118.50 C    5,396      -16   118.50 P   12,304     -24
SEP17 EURODLR    98.62 C  252,473     UNCH    98.62 P  264,870    UNCH
SEP17 EURODLR    98.75 C  335,345     -200    98.75 P  107,287    UNCH
OCT17 EURODLR    98.50 C   37,993       +1    98.50 P  153,489  -8,950
OCT17 EURODLR    98.62 C  118,755     -249    98.62 P   28,913  -6,250
SEP18 1Y-MIDC    98.37 C  102,538     UNCH    98.37 P   75,762    +216
SEP18 1Y-MIDC    98.50 C   70,296   -3,250    98.50 P   14,855    UNCH
SEP19 2Y-MIDC    98.00 C   62,838     UNCH    98.00 P  110,286    -554
SEP19 2Y-MIDC    98.12 C  116,573     UNCH    98.12 P   91,415 +10,494  
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   31,372    -379
PUT/CALL RATIO FOR VOLUME CLEARED:
OCT17 10Y NOTE PUT/CALL RATIO -- 1.08 (94,456 PUTS VS. 87,943 CALLS)
DEC17 10Y NOTE PUT/CALL RATIO -- 1.50 (37,692 PUTS VS. 25,039 CALLS)
OCT17 5Y NOTE PUT/CALL RATIO  -- 0.97 (34,173 PUTS VS. 14,674 CALLS)
DEC17 5Y NOTE PUT/CALL RATIO  -- 2.32 (6,609 PUTS VS. 1,431 CALLS)
SEP17 EURODLRS PUT/CALL RATIO -- 0.00 (0 PUTS VS. 200 CALLS)
OCT17 EURODLRS PUT/CALL RATIO -- 37.9 (36,250 PUTS VS. 955 CALLS)
SEP18 1Y-MIDCRVE PUT/CALL RATIO -- 0.96 (5,550 PUTS VS. 5,750 CALLS)
SEP19 2Y-MIDCRVE PUT/CALL RATIO -- 1.02 (7,920 PUTS VS. 7,700 CALLS)
SEP20 3Y-MIDCRVE PUT/CALL RATIO -- 1.17 (2,000 PUTS VS. 1,750 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
11:15        38.87    59.72    55.95    61.90    73.26    78.64
9:30         38.86    59.63    56.19    62.21    73.52    78.76
Tue Open     38.86    59.63    56.19    62.21    73.52    78.76
Mon 3:00     39.26    59.89    56.59    63.01    73.67    78.90
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$]