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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
THU 3:00   6.99%  7.83%   3.73%  4.05%   2.23%  2.39%   13.10%  16.25%
2:00       7.10%  7.83%   3.69%  4.07%   2.17%  2.40%   13.30%  16.30%
12:00      7.06%  7.85%   3.59%  4.01%   2.13%  2.39%   13.20%  16.65%
10:45      7.12%  7.90%   3.72%  4.08%   2.15%  2.42%   13.10%  17.10%
9:15       7.00%  7.84%   3.68%  4.04%   2.14%  2.38%   13.50%  16.45%
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%
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%
LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE
OCT17 10Y NOTE  127.50 C  101,457   +6,604   125.00 P   64,691    -238
DEC17 10Y NOTE  129.00 C   89,309     -116   114.00 P   95,075    +891
OCT17 5Y NOTE   119.00 C   24,506   -2,582   116.00 P   26,464  +1,403
DEC17 5Y NOTE   118.25 C    8,655     UNCH   112.25 P  101,550    UNCH
SEP17 EURODLR    98.75 C  335,945     UNCH    98.37 P  746,921    UNCH
OCT17 EURODLR    98.62 C  129,154     UNCH    98.50 P  159,552  +1,900
SEP18 1Y-MIDC    98.37 C  111,401   +2,051    98.12 P  211,037  +1,028
SEP19 2Y-MIDC    98.75 C  136,631     UNCH    97.12 P  192,279    UNCH
SEP20 3Y-MIDC    98.00 C   43,811     -351    97.62 P   56,403    UNCH
NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE
OCT17 10Y NOTE  126.00 C   19,916     +322   126.00 P   50,175    +847
OCT17 10Y NOTE  126.50 C   42,327   +1,206   126.50 P   28,541    -465
DEC17 10Y NOTE  126.00 C   15,793       -6   126.00 P   36,405    +127
DEC17 10Y NOTE  126.50 C   12,236      +40   126.50 P   10,399    +223
OCT17 5Y NOTE   118.25 C   10,464     UNCH   118.25 P   10,552     +35
OCT17 5Y NOTE   118.50 C   13,914     -325   118.50 P    6,044     +25
DEC17 5Y NOTE   118.25 C    8,655     UNCH   118.25 P   15,371  +1,322
DEC17 5Y NOTE   118.50 C    4,402     +150   118.50 P    1,383    +379
SEP17 EURODLR    98.62 C  255,245     UNCH    98.62 P  226,865    UNCH
SEP17 EURODLR    98.75 C  335,945     UNCH    98.75 P  107,387    UNCH
OCT17 EURODLR    98.50 C   36,742     UNCH    98.50 P  159,552  +1,900
OCT17 EURODLR    98.62 C  129,154     UNCH    98.62 P   30,213    UNCH
SEP18 1Y-MIDC    98.37 C  111,401   +2,051    98.37 P   85,202 +17,295
SEP18 1Y-MIDC    98.50 C   94,109  -12,901    98.50 P   15,438    UNCH
SEP19 2Y-MIDC    98.00 C   62,838     UNCH    98.00 P  109,186    +644
SEP19 2Y-MIDC    98.12 C  120,509     UNCH    98.12 P   84,850  +7,401
SEP20 3Y-MIDC    97.75 C   27,133     UNCH    97.75 P   39,159    UNCH
SEP20 3Y-MIDC    97.87 C   22,685     UNCH    97.87 P   29,440  -1,225
PUT/CALL RATIO FOR VOLUME CLEARED:
OCT17 10Y NOTE PUT/CALL RATIO -- 0.70 (56,019 PUTS VS. 79,063 CALLS)
DEC17 10Y NOTE PUT/CALL RATIO -- 0.97 (26,378 PUTS VS. 27,253 CALLS)
OCT17 5Y NOTE PUT/CALL RATIO  -- 0.54 (8,211 PUTS VS. 15,059 CALLS)
DEC17 5Y NOTE PUT/CALL RATIO  -- 2.47 (15,623 PUTS VS. 6,354 CALLS)
SEP17 EURODLRS PUT/CALL RATIO -- 0.00 (1,166 PUTS VS. 0 CALLS)
OCT17 EURODLRS PUT/CALL RATIO -- 0.00 (2,000 PUTS VS. 0 CALLS)
SEP18 1Y-MIDCRVE PUT/CALL RATIO -- 1.77 (28,180 PUTS VS. 15,808 CALLS)
SEP19 2Y-MIDCRVE PUT/CALL RATIO -- 7.10 (41,900 PUTS VS. 5,958 CALLS)
SEP20 3Y-MIDCRVE PUT/CALL RATIO -- 6.09 (6,700 PUTS VS. 1,150 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
Thu 3:00     39.11    59.10    56.56    62.96    74.54    79.30
2:00         39.11    59.08    56.52    62.94    74.54    79.30
12:00        39.00    59.79    56.60    62.98    74.52    79.30
10:45        39.10    59.80    56.79    63.28    74.49    79.35
9:15         39.10    59.90    56.79    63.36    74.53    79.35
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
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
--MNI Chicago Bureau; tel: +1 312-431-0089; email: bill.sokolis@marketnews.com
[TOPICS: MTABLE,M$U$$$,M$$FI$,MN$FI$]