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USDCAD TECHS

Needle Still Points South

US TSYS

Yields Bounce as Equities Make New Monthly Highs

AUDUSD TECHS

Heading North

EURJPY TECHS

Bull Rally Accelerates

COLOMBIA

Economists Survey Raises 2021 CPI Forecast To 4.9%

     
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
            
            USV    USZ     TYV    TYZ     FVV    TUZ     EDU     EDV
10:45      7.03%  7.80%   3.67%  4.05%   2.22%  2.39%   13.25%  16.12%
9:00       7.24%  7.87%   3.70%  4.04%   2.16%  2.40%   13.28%  17.55%
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%
MON 3:00   6.94%  7.92%   3.49%  4.00%   2.07%  2.36%   11.06%  16.89%
MON OPEN   7.21%  7.95%   3.64%  4.04%   2.20%  2.38%   10.07%  15.79%
FRI 3:00   7.22%   N/A    3.68%   N/A    2.21%   N/A    10.15%  16.10%
FRI OPEN   7.54%   N/A    3.88%   N/A    2.34%   N/A    10.91%  16.70%
THU 3:00   7.63%   N/A    3.85%   N/A    2.38%   N/A    11.22%  16.66%
THU OPEN   7.69%   N/A    3.99%   N/A    2.37%   N/A    10.25%  16.64%
WED 3:00   7.63%   N/A    3.88%   N/A    2.33%   N/A    11.79%  16.48%
WED OPEN   7.38%   N/A    3.87%   N/A    2.30%   N/A    11.38%  16.47%
LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE
OCT17 10Y NOTE  127.50 C   94,853  +16,116   125.00 P   64,929  -3,595
DEC17 10Y NOTE  129.00 C   89,425   +9,271   114.00 P   95,075    +891
OCT17 5Y NOTE   119.00 C   27,088     -731   115.25 P   26,311    UNCH
DEC17 5Y NOTE   118.25 C    8,655     UNCH   112.25 P  101,550    UNCH
SEP17 EURODLR    98.75 C  335,945     -841    98.37 P  746,921    UNCH
OCT17 EURODLR    98.62 C  129,154     +504    98.50 P  157,652  +2,000
SEP18 1Y-MIDC    98.37 C  109,350   -9,208    98.12 P  210,009  -6,324
SEP19 2Y-MIDC    98.75 C  136,631   +3,444    97.12 P  192,279    UNCH
SEP20 3Y-MIDC    98.00 C   44,162     -100    97.62 P   56,403  +1,206
NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE
OCT17 10Y NOTE  126.00 C   19,594      -48   126.00 P   49,328  +5,899
OCT17 10Y NOTE  126.50 C   41,121   -2,042   126.50 P   29,006  +3,009
DEC17 10Y NOTE  126.00 C   15,799     UNCH   126.00 P   36,278    +717
DEC17 10Y NOTE  126.50 C   12,196     +150   126.50 P   10,176  +2,896
OCT17 5Y NOTE   118.25 C   10,464     UNCH   118.25 P   10,517    +965
OCT17 5Y NOTE   118.50 C   14,239     -330   118.50 P    6,019  +2,581
DEC17 5Y NOTE   118.25 C    8,655     UNCH   118.25 P   14,099    UNCH
DEC17 5Y NOTE   118.50 C    4,252     +400   118.50 P    1,004    +729
SEP17 EURODLR    98.62 C  255,245     UNCH    98.62 P  226,865    UNCH
SEP17 EURODLR    98.75 C  335,945     -841    98.75 P  107,387    +100
OCT17 EURODLR    98.50 C   36,742     UNCH    98.50 P  157,652  +2,000
OCT17 EURODLR    98.62 C  129,154     +504    98.62 P   30,213    UNCH
SEP18 1Y-MIDC    98.37 C  109,350   -9,208    98.37 P   64,907  +4,445
SEP18 1Y-MIDC    98.50 C  107,010   -3,809    98.50 P   15,438  +3,636
SEP19 2Y-MIDC    98.00 C   62,838     UNCH    98.00 P  108,542  +5,703
SEP19 2Y-MIDC    98.12 C  120,509     UNCH    98.12 P   77,449  -6,362
SEP20 3Y-MIDC    97.75 C   27,133     UNCH    97.75 P   39,159  -3,344
SEP20 3Y-MIDC    97.87 C   22,685     UNCH    97.87 P   30,665  +4,669
PUT/CALL RATIO FOR VOLUME CLEARED:
OCT17 10Y NOTE PUT/CALL RATIO -- 0.72 (155,437 PUTS VS. 214,493 CALLS)
DEC17 10Y NOTE PUT/CALL RATIO -- 0.81 (47,313 PUTS VS. 57,961 CALLS)
OCT17 5Y NOTE PUT/CALL RATIO  -- 0.93 (28,301 PUTS VS. 30,389 CALLS)
DEC17 5Y NOTE PUT/CALL RATIO  -- 15.3 (81,451 PUTS VS. 5,264 CALLS)
SEP17 EURODLRS PUT/CALL RATIO -- 1.81 (5,876 PUTS VS. 3,226 CALLS)
OCT17 EURODLRS PUT/CALL RATIO -- 3.31 (2,500 PUTS VS. 754 CALLS)
SEP18 1Y-MIDCRVE PUT/CALL RATIO -- 0.95 (46,000 PUTS VS. 48,900 CALLS)
SEP19 2Y-MIDCRVE PUT/CALL RATIO -- 0.29 (14,350 PUTS VS. 48,300 CALLS)
SEP20 3Y-MIDCRVE PUT/CALL RATIO -- 3.11 (54,200 PUTS VS. 17,450 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        38.99    60.70    56.67    63.30    74.48    78.98
9:00         38.81    60.84    56.52    63.24    73.68    78.55
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
Mon 3:00     38.71    56.67    55.38    61.90    74.18    79.20
Mon Open     38.94    56.04    56.05    62.34    74.11    79.21
Fri 3:00     38.99    56.43    56.40    62.62    74.18    79.21
Fri Open     39.88    59.51    57.57    63.97    74.63    79.37
Thu 3:00     39.87    60.08    57.90    64.36    74.63    79.32
Thu Open     39.79    59.46    57.26    63.65    74.44    79.23
Wed 3:00     39.39    58.03    56.01    62.49    74.27    79.22
Wed Open     39.03    57.93    55.76    62.08    73.93    78.77
--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