Trial now
USDJPY TECHS

Trend Signals Still Point North

US EURODLR FUTURES

BLOCK, Red Pack

PIPELINE

Corporate Debt Recap, World Bank Exp Wednesday

EURGBP TECHS

Resumes Its Downtrend

GBPUSD TECHS

Corrections Remain Shallow

     
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
            
            USV    USZ     TYV    TYZ     FVV    TUZ     EDU     EDV
10:45      7.55%  7.88%   4.09%  4.13%   2.27%  2.41%   13.79%  17.24%
9:15       7.38%  7.75%   3.97%  4.12%   2.27%  2.41%   13.79%  16.50%
TUE OPEN   7.31%  7.72%   3.88%  4.05%   2.24%  2.37%   13.79%  16.49%
FRI 3:00   6.49%  7.51%   3.42%  3.91%   1.95%  2.29%   13.40%  14.85%
FRI OPEN   7.06%  7.78%   3.63%  4.02%   2.19%  2.36%   13.20%  17.40%
THU 3:00   6.99%  7.83%   3.73%  4.05%   2.23%  2.39%   13.10%  16.25%
THU OPEN   6.92%  7.82%   3.62%  4.07%   2.14%  2.42%   12.80%  15.44%
WED 3:00   7.16%  7.88%   3.76%  4.05%   2.23%  2.45%   13.33%  15.85%
WED OPEN   7.27%  7.88%   3.73%  4.44%   2.20%  2.37%   13.50%  18.15%
TUE 3:00   7.35%  7.94%   3.69%  4.66%   2.19%  2.33%   12.75%  16.72%
TUE OPEN   7.82%  8.25%   3.94%  4.17%   2.31%  2.47%   12.90%  16.50%
LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE
OCT17 10Y NOTE  127.50 C  107,525   +4,065   126.00 P   64,962  +1,664
DEC17 10Y NOTE  129.00 C   88,387      -29   114.00 P   95,075    UNCH
OCT17 5Y NOTE   119.00 C   26,946     -176   116.00 P   26,515    UNCH
DEC17 5Y NOTE   118.25 C    9,073      +70   112.25 P  101,550    UNCH
SEP17 EURODLR    98.75 C  335,525     UNCH    98.37 P  746,921    UNCH
OCT17 EURODLR    98.62 C  129,154     UNCH    98.50 P  161,352  +1,100
SEP18 1Y-MIDC    98.37 C  113,401     -500    98.12 P  211,382    +390
SEP19 2Y-MIDC    98.75 C  136,631     UNCH    97.12 P  192,279    UNCH
SEP20 3Y-MIDC    98.00 C   43,561     -250    97.62 P   56,664    +261
NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE
OCT17 10Y NOTE  126.50 C   40,116   -2,723   126.50 P   39,772 +10,286
OCT17 10Y NOTE  127.00 C   92,656     +166   127.00 P   22,200    +833
DEC17 10Y NOTE  126.50 C   13,059     +443   126.50 P   11,183    +548
DEC17 10Y NOTE  127.00 C   22,356     +766   127.00 P    9,004    +809
OCT17 5Y NOTE   118.25 C   10,464     UNCH   118.25 P   12,416  +1,216
OCT17 5Y NOTE   118.50 C   15,182     +885   118.50 P    6,183     +93
DEC17 5Y NOTE   118.25 C    9,073      +70   118.25 P   15,289     -82
DEC17 5Y NOTE   118.50 C    5,277      -75   118.50 P   11,758    UNCH
SEP17 EURODLR    98.62 C  253,645     UNCH    98.62 P  226,320    +549
SEP17 EURODLR    98.75 C  335,525     UNCH    98.75 P  107,287    UNCH
OCT17 EURODLR    98.50 C   36,742     UNCH    98.50 P  161,352  +1,100
OCT17 EURODLR    98.62 C  129,154     UNCH    98.62 P   30,313    +100
SEP18 1Y-MIDC    98.37 C  113,401     -500    98.37 P   76,946  -2,745
SEP18 1Y-MIDC    98.50 C   90,726     +367    98.50 P   15,723    +250
SEP19 2Y-MIDC    98.00 C   62,838     UNCH    98.00 P  110,340     +54
SEP19 2Y-MIDC    98.12 C  121,009     +500    98.12 P   85,350    UNCH
SEP20 3Y-MIDC    97.75 C   27,133     UNCH    97.75 P   34,884  -4,275
SEP20 3Y-MIDC    97.87 C   22,685     UNCH    97.87 P   31,451    -150
PUT/CALL RATIO FOR VOLUME CLEARED:
OCT17 10Y NOTE PUT/CALL RATIO -- 1.92 (133,523 PUTS VS. 127,248 CALLS)
DEC17 10Y NOTE PUT/CALL RATIO -- 1.39 (42,957 PUTS VS. 16,668 CALLS)
OCT17 5Y NOTE PUT/CALL RATIO  -- 1.97 (23,682 PUTS VS. 10,297 CALLS)
DEC17 5Y NOTE PUT/CALL RATIO  -- 9.35 (16,913 PUTS VS. 996 CALLS)
SEP17 EURODLRS PUT/CALL RATIO -- 0.59 (1,526 PUTS VS. 578 CALLS)
OCT17 EURODLRS PUT/CALL RATIO -- 4.32 (1,650 PUTS VS. 1,050 CALLS)
SEP18 1Y-MIDCRVE PUT/CALL RATIO -- 1.75 (5,100 PUTS VS. 11,600 CALLS)
SEP19 2Y-MIDCRVE PUT/CALL RATIO -- 0.77 (3,600 PUTS VS. 9,600 CALLS)
SEP20 3Y-MIDCRVE PUT/CALL RATIO -- 1.06 (2,600 PUTS VS. 2,350 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
10:45        39.04    60.20    56.58    63.11    74.40    79.13
9:15         38.30    57.53    55.99    62.25    74.20    79.13
Tue Open     38.71    57.16    55.85    62.05    74.19    79.15
Fri 3:00     38.43    55.64    55.40    61.60    74.16    79.17
Fri Open     39.14    59.07    56.71    62.59    74.53    79.37
Thu 3:00     39.11    59.10    56.56    62.96    74.54    79.30
Thu Open     38.99    59.96    56.81    63.37    74.49    79.05
Wed 3:00     39.06    60.03    56.69    63.30    74.52    79.00
Wed Open     39.05    60.90    56.54    63.33    73.70    78.56
Tue 3:00     39.02    60.69    56.45    63.19    74.42    79.21
Tue Open     38.96    58.74    56.09    62.70    74.25    79.18
--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
MNI Chicago Bureau | +1 312-431-0089 | bill.sokolis@marketnews.com