Trial now
COMMODITIES

Energy Gaining

EQUITIES

Nasdaq Underperforming, S&P Futs Off Record Highs

EURIBOR

Latest Fix (22-10-2021)

EUROPEAN COUNCIL

EUCO 2nd Day Starts After Little Progress On Energy Last Night

FRANCE T-BILL AUCTION PREVIEW

Up to E5.6bln on offer next week

     EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
            
            USQ    USU     TYQ    TYU     FVQ    FVU     EDN      EDU
MON OPEN   6.13%  6.59%   3.33%  3.54%   2.00%  2.29%    N/A     9.40%
FRI 3:00   5.78%  6.45%   3.03%  3.49%   1.97%  2.24%    N/A     8.54%
FRI OPEN   5.86%  6.48%   3.13%  3.49%   1.94%  2.23%    N/A     8.52%
THU 3:00   5.89%  6.51%   3.23%  3.55%   1.95%  2.27%    N/A     7.37%
THU OPEN   6.18%  6.75%   3.25%  3.61%   2.18%  2.36%    N/A     9.02%
Wed 3:00   6.44%  6.87%   3.43%  3.61%   2.22%  2.41%    N/A     9.27%
WED OPEN   6.39%  6.83%   3.40%  3.63%   2.09%  2.38%    N/A     8.71%
TUE 3:00   6.39%  6.83%   3.40%  3.63%   2.09%  2.38%    N/A     8.71%
TUE OPEN   6.23%  6.71%   3.34%  3.59%   2.18%  2.34%    N/A     8.29%
MON 3:00   6.23%  6.71%   3.34%  3.59%   2.18%  2.34%    N/A     8.29%
MON OPEN   6.25%  6.67%   3.42%  3.61%   2.27%  2.38%   13.62%   9.75%
     LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE
AUG18 10Y NOTE  121.00 C  108,807     -712   118.50 P   95,153    -482
SEP18 10Y NOTE  120.00 C  282,731   -1,275   119.00 P   78,568  +1,266
AUG18 5Y NOTE   114.00 C   71,889      -64   113.25 P   33,302    -375
SEP18 5Y NOTE   114.25 C   71,813       +3   106.25 P   91,819    UNCH
AUG18 2Y NOTE   106.12 C   43,992     UNCH   105.50 P   14,613    UNCH
SEP18 2Y NOTE   106.12 C    9,782     UNCH   105.62 P   14,604    UNCH
JUL18 EURODLR    97.75 C   92,584     UNCH    97.50 P  107,450    UNCH
SEP18 EURODLR    97.75 C  311,777   +1,226    97.37 P  508,761    UNCH
SEP19 1Y-MIDC    97.37 C  212,059     UNCH    97.12 P  428,394    UNCH
SEP20 2Y-MIDC    97.37 C  230,350     UNCH    97.00 P  345,252    UNCH
SEP21 3Y-MIDC    97.50 C   54,524  +18,806    97.00 P   41,336  +1,450
     NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE
AUG18 10Y NOTE  120.00 C   78,393     +123   120.00 P   54,328  +1,684
AUG18 10Y NOTE  120.50 C   90,383     +852   120.50 P   10,418     -14
SEP18 10Y NOTE  120.00 C  282,731   -1,275   120.00 P   44,573  +1,866
SEP18 10Y NOTE  120.50 C   78,620   +3,898   120.50 P   22,411  +7,497 
AUG18 5Y NOTE   113.50 C   33,430     +673   113.50 P   15,689    +947
AUG18 5Y NOTE   113.75 C   38,341   -3,076   113.75 P    5,023    +199
SEP18 5Y NOTE   113.50 C   32,909      -58   113.50 P   29,110      +5
SEP18 5Y NOTE   113.75 C   11,359     -700   113.75 P   20,368    -252
AUG18 2Y NOTE   106.00 C    9,450     UNCH   106.00 P    4,184    UNCH
AUG18 2Y NOTE   106.12 C   43,992     UNCH   106.12 P       15    UNCH
SEP18 2Y NOTE   106.00 C    3,000     UNCH   106.00 P    2,940     -50
SEP18 2Y NOTE   106.12 C    9,782     UNCH   106.12 P       16    UNCH
JUL18 EURODLR    97.50 C   39,246     UNCH    97.50 P  107,450  -2,000
JUL18 EURODLR    97.62 C   90,827     UNCH    97.62 P   42,836    UNCH
SEP18 EURODLR    97.75 C  311,777   +1,226    97.75 P  220,988    UNCH
SEP18 EURODLR    97.87 C  129,266     UNCH    97.87 P  150,589    UNCH
SEP19 1Y-MIDC    97.12 C  127,553   +2,550    97.12 P  428,394    UNCH
SEP19 1Y-MIDC    97.25 C  118,543   -3,180    97.25 P  104,515    UNCH
SEP20 2Y-MIDC    97.00 C   88,706     +250    97.00 P  345,252    UNCH
SEP20 2Y-MIDC    97.12 C   92,798     UNCH    97.12 P   71,605    UNCH
SEP21 3Y-MIDC    96.87 C    9,822     UNCH    96.87 P   22,295    UNCH
SEP21 3Y-MIDC    97.00 C   33,484   +2,750    97.00 P   41,336  +1,450
     PUT/CALL RATIO FOR VOLUME CLEARED:
     AUG18 10Y NOTE PUT/CALL RATIO  -- 1.29 (65,651 PUTS VS. 50,896 CALLS)
SEP18 10Y NOTE PUT/CALL RATIO  -- 0.84 (47,788 PUTS VS. 56,875  CALLS)
AUG18 5Y NOTE PUT/CALL RATIO   -- 0.54 (10,734 PUTS VS. 19,873 CALLS)
SEP18 5Y NOTE PUT/CALL RATIO   -- 2.50 (22,985 PUTS VS. 9,204 CALLS)
AUG18 2Y NOTE PUT/CALL RATIO   -- 1.12 (1,463 PUTS VS. 1,301 CALLS)
SEP18 2Y NOTE PUT/CALL RATIO   -- 1.03 (4,706 PUTS VS. 4,552 CALLS)
JUL18 EURODLRS PUT/CALL RATIO  -- 0.00 (0 PUTS VS. 0 CALLS)
SEP18 EURODLRS PUT/CALL RATIO  -- 0.28 (6,882 PUTS VS. 24,473 CALLS)
SEP19 1Y-MIDCRVE PUT/CALL RATIO-- 0.00 (0 PUTS VS. 40,500 CALLS)
SEP20 2Y-MIDCRVE PUT/CALL RATIO-- 0.00 (0 PUTS VS. 11,500 CALLS)
SEP21 3Y-MIDCRVE PUT/CALL RATIO-- 0.07 (3,200 PUTS VS. 43,200 CALLS)
     (VOLUME, OPEN INTEREST, RATIOS 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
MON OPEN     49.33    52.51    57.58    57.51    68.27    74.36
FRI 3:00     49.14    52.71    57.51    57.36    68.47    74.48
FRI OPEN     49.34    52.70    57.86    57.82    68.67    74.63
THU 3:00     49.84    53.15    58.50    58.36    69.08    74.93
THU OPEN     50.79    55.17    59.76    59.68    69.94    75.38
Wed 3:00     50.72    54.99    59.60    59.48    69.78    75.30
Wed Open     50.35    55.55    59.25    59.18    69.96    75.41
Tue 3:00     50.35    55.55    59.25    59.18    69.96    75.41
Tue Open     50.30    55.17    59.43    59.38    69.90    75.23
Mon 3:00     50.30    55.17    59.43    59.38    69.90    75.23
Mon Open     50.34    54.93    59.35    59.29    69.83    75.15
--MNI Chicago Bureau; +1 630-698-0154; email: ryan.martin@marketnews.com
[TOPICS: MTABLE,M$U$$$,M$$FI$,MN$FI$]