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AUSSIE 3-YEAR TECHS

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US TSY FUTURES

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EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
              USQ    USU     TYQ    TYU     FVQ    FVU     EDQ     EDU
1030         7.74%  8.14%   2.90%  3.17%   1.28%  1.44%   63.75%  58.50%
WED OPEN     7.87%  8.25%   2.98%  3.25%   1.40%  1.47%   62.30%  60.40%
TUE 1500     8.41%  8.60%   3.05%  3.32%   1.33%  1.52%   65.90%  63.15%
TUE OPEN     8.25%  8.54%   2.96%  3.26%   1.34%  1.48%   62.40%  60.05%
MON 1500     8.32%  8.46%   2.91%  3.25%   1.31%  1.46%   62.55%  54.60%
MON OPEN     8.37%  8.63%   2.95%  3.26%   1.35%  1.49%   64.86%  59.90%
FRI 1500     7.91%  8.60%   2.81%  3.21%   1.25%  1.45%    N/A    59.50%
FRI OPEN     8.60%  8.95%   3.08%  3.36%   1.37%  1.54%    N/A    61.98%
THU 1500     7.99%  8.55%   2.85%  3.27%   1.35%  1.47%    N/A    63.30%
THU OPEN     7.97%  8.55%   2.85%  3.27%   1.35%  1.46%    N/A    63.25%
WED 1500     8.13%  8.64%   2.88%  3.32%   1.36%  1.51%    N/A    60.25%
WED OPEN     8.25%  8.65%   3.00%  3.32%   1.42%  1.50%    N/A    63.50%
LARGEST O/I:      STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE
AUG'20 10Y NOTE  139.50 C   69,530   +1,300   137.50 P   67,758     +389
SEP'20 10Y NOTE  140.00 C   62,369   +3,730   137.00 P  112,544   +6,861
AUG'20 5Y NOTE   125.75 C   31,103     UNCH   116.50 P   59,016     UNCH
SEP'20 5Y NOTE   126.00 C   45,281     -115   119.00 P   58,062     UNCH
AUG'20 2Y NOTE   110.62 C    3,948     UNCH   110.25 P    7,845     UNCH
SEP'20 2Y NOTE   110.50 C   42,080     +244   109.88 P    8,500     UNCH
AUG'20 EURODLR    99.75 C   78,105     UNCH    98.25 P   22,197     UNCH
SEP'20 EURODLR    99.87 C  562,566   +5,525    98.25 P  667,814     UNCH
SEP'21 1Y-MIDC    99.75 C  340,602     -414    99.62 P  185,106     UNCH
SEP'22 2Y-MIDC    99.75 C  128,623      -37    99.62 P   81,454     -752
SEP'23 3Y-MIDC    99.75 C   73,324   +2,230    99.37 P   76,285   +7,629
NEAREST ATM:      STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE
AUG'20 10Y NOTE  139.00 C   36,596   +2,498   139.00 P   53,250   +3,418
AUG'20 10Y NOTE  139.50 C   69,530   +1,300   138.50 P    4,996   +1,126
SEP'20 10Y NOTE  139.00 C   50,897   +1,488   139.00 P   56,996   -2,413
SEP'20 10Y NOTE  139.50 C   43,352   -1,018   139.50 P   12,572      -99
AUG'20 5Y NOTE   125.50 C   11,185     UNCH   125.50 P   13,897     -990
AUG'20 5Y NOTE   125.75 C   31,103     UNCH   125.75 P    6,548     -358
SEP'20 5Y NOTE   125.50 C   24,129       +6   125.50 P   18,976      -13
SEP'20 5Y NOTE   125.75 C   42,814       +6   125.75 P    9,895     +364
AUG'20 2Y NOTE   110.38 C    1,939     UNCH   110.38 P    7,100     UNCH
AUG'20 2Y NOTE   110.50 C    2,265     UNCH   110.50 P        5     UNCH
SEP'20 2Y NOTE   110.38 C    1,378     +832   110.38 P      673     +505
SEP'20 2Y NOTE   110.50 C   42,080     +244   110.50 P    1,052     UNCH
AUG'20 EURODLR    99.62 C   10,000     UNCH    99.62 P   11,759     UNCH
AUG'20 EURODLR    99.75 C   78,105     UNCH    99.75 P   12,117      +50
SEP'20 EURODLR    99.62 C  246,833   +1,611    99.62 P  250,514   +5,098
SEP'20 EURODLR    99.75 C  416,046     +807    99.75 P   68,205   +4,869
SEP'21 1Y-MIDC    99.75 C  340,602     -414    99.75 P  159,259     UNCH
SEP'21 1Y-MIDC    99.88 C  247,615     UNCH    99.88 P   30,825     UNCH
SEP'22 2Y-MIDC    99.62 C   54,884     UNCH    99.62 P   81,454     -752
SEP'22 2Y-MIDC    99.75 C  128,623      -37    99.75 P   64,110     +450
SEP'23 3Y-MIDC    99.50 C   33,467   +8,204    99.50 P   62,351   +3,449
SEP'23 3Y-MIDC    99.62 C   39,213   -2,581    99.62 P   69,429   +8,992
PUT/CALL RATIO FOR VOLUME CLEARED:
AUG'20 10Y NOTE PUT/CALL RATIO   -- 0.68 (38,054 PUTS VS. 55,711 CALLS)
SEP'20 10Y NOTE PUT/CALL RATIO   -- 1.22 (105,802 PUTS VS. 86,250 CALLS)
AUG'20 5Y NOTE PUT/CALL RATIO    -- 2.17 (5,084 PUTS VS. 2,321 CALLS)
SEP'20 5Y NOTE PUT/CALL RATIO    -- 0.84 (9,624 PUTS VS. 11,472 CALLS
AUG'20 2Y NOTE PUT/CALL RATIO    -- 0.01 (1 PUTS VS. 62 CALLS)
SEP'20 2Y NOTE PUT/CALL RATIO    -- 0.37 (505 PUTS VS. 1,348 CALLS)
AUG'20 EURODLRS PUT/CALL RATIO   -- 0.00 (50 PUTS VS. 0 CALLS)
SEP'20 EURODLRS PUT/CALL RATIO   -- 1.26 (24,231 PUTS VS. 19,837 CALLS)
SEP'21 1Y-MIDCRVE PUT/CALL RATIO -- 0.06 (1,050 PUTS VS. 15,044 CALLS)
SEP'22 2Y-MIDCRVE PUT/CALL RATIO -- 0.33 (2,554 PUTS VS. 7,450 CALLS)
SEP'23 3Y-MIDCRVE PUT/CALL RATIO -- 1.95 (47,850 PUTS VS. 24,180 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
1030        21.29   57.96    38.40    60.46     64.84     61.43
Wed Open    21.43   58.08    38.63    60.80     65.13     61.57
Tue 1500    21.31   59.39    38.60    60.87     65.04     61.27
Tue Open    21.15   58.45    38.26    60.07     64.58     60.53
Mon 1500    21.08   58.23    38.10    59.93     64.63     60.64
Mon Open    20.86   58.52    38.14    59.89     64.86     61.08
Fri 1500    20.96   59.94    38.55    60.31     64.95     61.01
Fri Open    21.35   59.99    38.74    60.78     65.14     61.41
Thu 1500    22.09   59.14    39.24    61.39     64.96     61.47
Thu Open    21.64   58.77    39.13    61.24     65.00     61.54
Wed 1500    21.89   58.90    39.54    61.64     65.22     61.82
Wed Open    22.29   59.55    39.95    62.02     65.36     61.95
--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

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