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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)
            
            USQ    USU     TYQ    TYU     FVQ    FVU     EDN      EDU
3:00       6.12%  6.51%   3.06%  3.49%   1.95%  2.25%    N/A     8.03%
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
3:00         49.21    53.68    57.68    57.64    68.27    74.33
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$]