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EUROZONE ISSUANCE

EGB Supply for W/C Jul 26

USDCAD TECHS

Pullback Considered Corrective

US TSYS SUMMARY

What a Short, Strange Trip It's Been

GLOBAL POLITICAL RISK

Pfizer, Moderna Jabs Retain High Trust; AZ, Sputnik Lower

AUDUSD TECHS

Trend Indicators Remain Bearish

     
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
            
            USU    USV     TYU    TYV     FVU    FVV     EDU     EDV
WED OPEN   9.07%  7.38%   4.76%  3.87%   2.84%  2.30%   11.38%  16.47%
TUE 3:00   8.94%  7.44%   4.39%  3.89%   2.72%  2.26%   11.16%  16.10%
TUE OPEN   8.64%  7.55%   4.53%  3.95%   2.54%  2.32%   12.69%  16.32%
FRI 3:00   6.97%  7.62%   3.44%  3.94%   2.01%  2.27%   10.70%  15.74%
FRI OPEN   7.30%  7.79%   3.60%  3.79%   2.00%  2.27%   11.83%  15.30%
THU 3:00   7.09%  7.69%   3.62%  3.84%   2.03%  2.27%   11.70%  14.20%
THU OPEN   7.24%  7.49%   3.53%  3.80%   1.99%  2.24%   11.60%  13.80%
WED 3:00   7.18%  7.62%   3.61%  3.81%   2.14%  2.27%   11.70%  13.30%
WED OPEN   7.35%  7.30%   3.61%  3.82%   2.00%  2.12%   12.97%  14.37%
LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE
SEP17 10Y NOTE  128.00 C  126,740     +488   111.00 P  165,472    UNCH
OCT17 10Y NOTE  127.00 C   57,983     -179   125.00 P   51,702  +1,290
SEP17 5Y NOTE   118.25 C   35,837   -1,008   109.25 P  252,442    UNCH
OCT17 5Y NOTE   118.75 C   17,568   +2,037   117.00 P   22,150    +349
SEP17 EURODLR    98.75 C  338,239   +2,001    98.37 P  746,921    UNCH
OCT17 EURODLR    98.62 C  128,600     UNCH    98.50 P  153,280    UNCH
SEP18 1Y-MIDC    98.37 C  120,856     -650    98.12 P  230,434  +4,463
SEP19 2Y-MIDC    98.75 C  133,187     UNCH    97.12 P  192,279    UNCH
SEP20 3Y-MIDC    98.00 C   44,962     UNCH    97.62 P   54,397  +2,216
NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE
SEP17 10Y NOTE  126.00 C   64,068   -1,003   126.00 P   58,058  +2,871
SEP17 10Y NOTE  126.50 C   67,188   -6,709   126.50 P   41,876  +2,745
OCT17 10Y NOTE  126.00 C   20,049     +384   126.00 P   22,124  +1,751
OCT17 10Y NOTE  126.50 C   35,267   +1,309   126.50 P   21,543  +1,061
SEP17 5Y NOTE   118.25 C   35,837   -1,008   118.25 P   20,430  -1,299
SEP17 5Y NOTE   118.50 C   25,811      +84   118.50 P    9,482    +282
OCT17 5Y NOTE   118.25 C    7,575     +738   118.25 P    6,310    +738
OCT17 5Y NOTE   118.50 C   14,256     UNCH   118.50 P    3,432    UNCH
SEP17 EURODLR    98.62 C  256,245     UNCH    98.62 P  230,034  -1,057
SEP17 EURODLR    98.75 C  338,239   +2,001    98.75 P  107,187    UNCH
OCT17 EURODLR    98.50 C   36,745     UNCH    98.50 P  153,280    UNCH
OCT17 EURODLR    98.62 C  128,600     UNCH    98.62 P   30,274    UNCH
SEP18 1Y-MIDC    98.37 C  120,856     -650    98.37 P   68,455  -3,127
SEP18 1Y-MIDC    98.50 C  112,941   -2,083    98.50 P   11,888    -244
SEP19 2Y-MIDC    98.00 C   64,998     UNCH    98.00 P   94,481    UNCH
SEP19 2Y-MIDC    98.12 C  127,224   -3,800    98.12 P   75,464  -1,367
SEP20 3Y-MIDC    97.75 C   27,133     UNCH    97.75 P   37,957  +2,861
SEP20 3Y-MIDC    97.87 C   22,685     UNCH    97.87 P   25,496    UNCH
PUT/CALL RATIO FOR VOLUME CLEARED:
SEP17 10Y NOTE PUT/CALL RATIO -- 1.69 (94,582 PUTS VS. 55,991 CALLS)
OCT17 10Y NOTE PUT/CALL RATIO -- 0.55 (25,793 PUTS VS. 46,742 CALLS)
SEP17 5Y NOTE PUT/CALL RATIO  -- 0.77 (18,392 PUTS VS. 23,776 CALLS)
OCT17 5Y NOTE PUT/CALL RATIO  -- 2.06 (17,143 PUTS VS. 8,310 CALLS)
SEP17 EURODLRS PUT/CALL RATIO -- 0.38 (3,576 PUTS VS. 9,250 CALLS)
OCT17 EURODLRS PUT/CALL RATIO -- 0.00 (250 PUTS VS. 0 CALLS)
SEP18 1Y-MIDCRVE PUT/CALL RATIO -- 8.68 (27,801 PUTS VS. 3,250 CALLS)
SEP19 2Y-MIDCRVE PUT/CALL RATIO -- 0.90 (2,950 PUTS VS. 3,200 CALLS)
SEP20 3Y-MIDCRVE PUT/CALL RATIO -- 0.00 (32,300 PUTS VS. 0 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 Open     39.03    57.93    55.76    62.08    73.93    78.77
Tue 3:00     39.11    60.45    55.86    62.23    73.93    79.22
Tue Open     39.06    61.52    55.72    62.00    73.90    79.22
Fri 3:00     38.53    57.55    54.92    61.24    73.83    79.18
Fri Open     38.85    56.17    55.22    61.42    73.95    79.18
Thu 3:00     38.73    55.17    55.08    61.31    73.83    79.09
Thu Open     38.64    55.11    55.45    61.46    74.07    79.06
Wed 3:00     38.76    55.23    55.25    61.34    74.16    79.17
Wed Open     40.07    56.23    55.96    61.73    74.13    79.25
--MNI Chicago Bureau; tel: +1 312-431-0089; email: bill.sokolis@marketnews.com
[TOPICS: MTABLE,M$U$$$,M$$FI$,MN$FI$]