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EUROZONE ISSUANCE

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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
WED 3:00   7.46%  7.53%   4.10%  3.95%   2.34%  2.32%    N/A    17.25%
1:45       7.35%  7.44%   3.92%  3.91%   2.32%  2.34%    N/A    16.69%
12:15      7.43%  7.52%   3.97%  3.91%   2.32%  2.33%    N/A    15.70%
11:00      7.33%  7.46%   4.14%  3.91%   2.37%  2.30%    N/A    15.90%
9:45       7.09%  7.40%   3.98%  3.91%   2.30%  2.31%    N/A    15.80%
WED OPEN   7.40%  7.41%   4.06%  3.93%   2.57%  2.37%    N/A    16.51%
TUE 3:00   7.38%  7.41%   3.78%  3.95%   2.45%  2.32%    N/A    16.85%
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%
LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE
OCT17 10Y NOTE  127.00 C   92,109   +2,689   126.00 P   69,684  +1,421
DEC17 10Y NOTE  129.00 C   92,220     -238   114.00 P   95,075    UNCH
OCT17 5Y NOTE   119.00 C   34,734   +1,626   118.00 P   29,008  +5,487
DEC17 5Y NOTE   118.25 C   12,236   +3,603   112.25 P  101,550    UNCH
SEP17 EURODLR    98.75 C  335,345     UNCH    98.37 P  746,921    UNCH
OCT17 EURODLR    98.62 C  116,755   -2,000    98.50 P  153,635    +146
SEP18 1Y-MIDC    98.37 C  102,404     -134    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   41,931   -1,550    97.62 P   56,664    UNCH
NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE
OCT17 10Y NOTE  127.00 C   92,109   +2,689   127.00 P   33,417  -3,961
OCT17 10Y NOTE  127.50 C   83,495   +3,166   127.50 P   14,815      -1
DEC17 10Y NOTE  127.00 C   24,582     +238   127.00 P   21,982     +29
DEC17 10Y NOTE  127.50 C   23,821     -721   127.50 P   12,413    +573
OCT17 5Y NOTE   118.25 C   10,173      -20   118.25 P   26,090    +520
OCT17 5Y NOTE   118.50 C   13,319   -3,191   118.50 P   12,454    -986
DEC17 5Y NOTE   118.25 C   12,236   +3,603   118.25 P   16,866  +1,397
DEC17 5Y NOTE   118.50 C    5,738     -153   118.50 P   15,486  +3,182
SEP17 EURODLR    98.62 C  252,473     UNCH    98.62 P  264,870    UNCH
SEP17 EURODLR    98.75 C  335,345     UNCH    98.75 P  107,287    UNCH
OCT17 EURODLR    98.50 C   37,193     -800    98.50 P  153,635    +146
OCT17 EURODLR    98.62 C  116,755   -2,000    98.62 P   26,288  -2,265
SEP18 1Y-MIDC    98.37 C  102,404     -134    98.37 P   87,781 +12,019
SEP18 1Y-MIDC    98.50 C   70,496     +200    98.50 P   14,855    UNCH
SEP19 2Y-MIDC    98.00 C   62,838     UNCH    98.00 P  109,936    -350
SEP19 2Y-MIDC    98.12 C  116,573     UNCH    98.12 P   90,865    -550  
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    UNCH
PUT/CALL RATIO FOR VOLUME CLEARED:
OCT17 10Y NOTE PUT/CALL RATIO -- 1.39 (73,753 PUTS VS. 52,714 CALLS)
DEC17 10Y NOTE PUT/CALL RATIO -- 1.65 (33,679 PUTS VS. 20,454 CALLS)
OCT17 5Y NOTE PUT/CALL RATIO  -- 0.83 (18,209 PUTS VS. 21,922 CALLS)
DEC17 5Y NOTE PUT/CALL RATIO  -- 6.80 (38,829 PUTS VS. 5,745 CALLS)
SEP17 EURODLRS PUT/CALL RATIO -- 0.00 (0 PUTS VS. 0 CALLS)
OCT17 EURODLRS PUT/CALL RATIO -- 4.47 (34,000 PUTS VS. 7,650 CALLS)
SEP18 1Y-MIDCRVE PUT/CALL RATIO -- 29.6 (26,703 PUTS VS. 901 CALLS)
SEP19 2Y-MIDCRVE PUT/CALL RATIO -- 2.10 (4,200 PUTS VS. 2,000 CALLS)
SEP20 3Y-MIDCRVE PUT/CALL RATIO -- 2.87 (9,200 PUTS VS. 3,177 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
Wed 3:00     39.00    59.48    56.03    61.48    73.13    78.26
1:45         38.99    59.48    56.03    61.48    73.18    78.26
12:15        38.99    59.50    55.99    61.44    73.19    78.26
11:00        38.99    59.50    56.01    61.48    73.14    78.28
9:45         38.85    59.37    55.85    61.46    73.09    78.25
Wed Open     38.95    59.68    56.13    61.74    73.42    78.45
Tue 3:00     39.06    59.79    56.12    61.99    73.27    78.58
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
--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