Trial now
MNI

Coming up in the Asia-Pac session on Friday:

ASIA

Coming up in the Asia-Pac session on Friday:

USDCAD TECHS

Consolidation Mode

AUDUSD TECHS

Maintains A Bullish Tone

     
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
            
            USV    USZ     TYV    TYZ     FVV    TUZ     EDU     EDV
10:30      8.19%  8.08%   4.16%  4.20%   2.33%  2.43%   17.29%  16.74%
9:15       8.00%  8.03%   4.05%  4.17%   2.38%  2.41%   18.46%  18.06%
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%
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%
LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE
OCT17 10Y NOTE  127.50 C  109,503   +1,978   125.00 P   67,124  +2,495
DEC17 10Y NOTE  129.00 C   90,760   +2,373   114.00 P   95,075    UNCH
OCT17 5Y NOTE   119.00 C   29,469   +2,523   116.00 P   26,518      +3
DEC17 5Y NOTE   118.25 C    9,073     UNCH   112.25 P  101,550    UNCH
SEP17 EURODLR    98.75 C  336,175     +650    98.37 P  746,921    UNCH
OCT17 EURODLR    98.62 C  129,154     UNCH    98.50 P  161,817    +465
SEP18 1Y-MIDC    98.37 C  112,578     -823    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      -80    97.62 P   56,664    UNCH
NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE
OCT17 10Y NOTE  126.50 C   40,019     +103   126.50 P   40,327    +655
OCT17 10Y NOTE  127.00 C   95,839   +3,183   127.00 P   23,872  +1,672
DEC17 10Y NOTE  126.50 C   12,541     -518   126.50 P   17,334  +6,151
DEC17 10Y NOTE  127.00 C   21,683     -673   127.00 P   15,874  +6,870
OCT17 5Y NOTE   118.25 C   10,434      -30   118.25 P   12,524    +108
OCT17 5Y NOTE   118.50 C   16,392   +1,210   118.50 P    7,717  +1,534
DEC17 5Y NOTE   118.25 C    9,073     UNCH   118.25 P   15,365     +76
DEC17 5Y NOTE   118.50 C    5,412     +135   118.50 P   11,880    +122
SEP17 EURODLR    98.62 C  253,322     -323    98.62 P  267,370 +41,050
SEP17 EURODLR    98.75 C  336,175     +650    98.75 P  107,287    UNCH
OCT17 EURODLR    98.50 C   36,742     UNCH    98.50 P  161,817    +465
OCT17 EURODLR    98.62 C  129,154     UNCH    98.62 P   30,313    UNCH
SEP18 1Y-MIDC    98.37 C  112,578     -823    98.37 P   75,643  -1,303
SEP18 1Y-MIDC    98.50 C   90,157     -819    98.50 P   15,616    -107
SEP19 2Y-MIDC    98.00 C   62,838     UNCH    98.00 P  110,340    UNCH
SEP19 2Y-MIDC    98.12 C  121,009     UNCH    98.12 P   85,261     -89
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   31,551    +100
PUT/CALL RATIO FOR VOLUME CLEARED:
OCT17 10Y NOTE PUT/CALL RATIO -- 0.55 (74,176 PUTS VS. 133,142 CALLS)
DEC17 10Y NOTE PUT/CALL RATIO -- 2.40 (86,333 PUTS VS. 35,899 CALLS)
OCT17 5Y NOTE PUT/CALL RATIO  -- 1.48 (33,294 PUTS VS. 22,417 CALLS)
DEC17 5Y NOTE PUT/CALL RATIO  -- 1.50 (11,980 PUTS VS. 7,934 CALLS)
SEP17 EURODLRS PUT/CALL RATIO -- 32.0 (64,150 PUTS VS. 2,041 CALLS)
OCT17 EURODLRS PUT/CALL RATIO -- 0.18 (465 PUTS VS. 2,500 CALLS)
SEP18 1Y-MIDCRVE PUT/CALL RATIO -- 0.10 (4,540 PUTS VS. 42,250 CALLS)
SEP19 2Y-MIDCRVE PUT/CALL RATIO -- 1.14 (29,304 PUTS VS. 25,650 CALLS)
SEP20 3Y-MIDCRVE PUT/CALL RATIO -- 0.07 (2,650 PUTS VS. 33,577 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
10:30        40.23    65.19    60.59    64.93    74.85    79.24
9:15         40.29    64.37    58.22    64.55    74.67    79.24
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
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
--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