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BOND SUMMARY

Gilts/Core EGBs Bid Ahead of BoE

EQUITIES

Muted Open, S&P Futures Parameters Unchanged

OPTIONS

Larger FX Option Pipeline

COMMODITIES

Oil Moderating, Futures Curve Still Strong

GLOBAL POLITICAL RISK

EU, France Ease Up On Vaccine IP After US States Support

     EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
            
            USN     USQ      TYN     TYQ     FVN     FVQ     EDM      EDN
3:00       7.66%   7.44%    4.34%   4.12%   3.01%   2.76%   15.52%   16.28%
11:00      7.39%   7.44%    4.19%   4.10%   2.95%   2.72%   16.97%   16.66%
THU OPEN   7.53%   7.40%    4.26%   4.07%   3.96%   2.70%   17.48%   15.69%
WED 3:00   7.74%   7.61%    4.35%   4.16%   3.07%   2.81%   17.22%   16.48%
WED 12:30  7.69%   7.57%    4.24%   4.09%   3.04%   2.75%   17.29%   16.07%
TUE 3:00   8.50%   7.98%    4.60%   4.34%   1.59%   3.01%   17.69%   18.86%
TUE 9:30   7.43%   7.25%    4.15%   3.92%   2.81%   2.57%   15.79%   15.48%
FRI 1:00   6.88%    N/A     3.37%    N/A    2.22%    N/A    13.14%   14.08%
FRI OPEN   7.00%    N/A     3.60%    N/A    2.30%    N/A    13.44%   13.53%
THU 3:00   6.77%    N/A     3.48%    N/A    2.23%    N/A    13.52%   13.11%
THU OPEN   6.92%    N/A     3.48%    N/A    2.24%    N/A    12.77%   12.03%
     LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE
JUL18 10Y NOTE  120.00 C  104,289     +353   118.00 P  128,909 -13,373
SEP18 10Y NOTE  121.00 C   37,567     +342   117.00 P   46,343  +5,100
JUL18 5Y NOTE   114.25 C   56,740  +10,772   113.00 P   37,312  +2,933
SEP18 5Y NOTE   113.50 C   17,431     -311   106.25 P   90,263 +18,007
JUL18 2Y NOTE   106.37 C  121,332   +2,100   105.67 P    7,382    UNCH
SEP18 2Y NOTE   108.25 C    2,302   +2,300   106.00 P   11,153 +10,940
JUN18 EURODLR    98.00 C  375,361  -11,150    97.50 P  514,696 -42,554
JUL18 EURODLR    97.75 C  109,199   +2,650    97.37 P  111,898    UNCH
JUN19 1Y-MIDC    98.12 C  219,693     UNCH    97.12 P  426,805 -24,324
JUN20 2Y-MIDC    97.37 C  151,032     UNCH    97.37 P  164,552     -50
JUN21 3Y-MIDC    98.00 C  138,150     UNCH    97.25 P  145,831    UNCH
     NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE
JUL18 10Y NOTE  119.00 C   59,237   -5,394   119.00 P   85,642  -3,096
JUL18 10Y NOTE  119.50 C   72,743     -936   119.50 P   54,206 +14,315
SEP18 10Y NOTE  119.00 C   20,917   -1,323   119.00 P   27,358  +2,230
SEP18 10Y NOTE  119.50 C   16,314     -333   119.50 P   14,622     +15
JUL18 5Y NOTE   113.00 C   54,222      -65   113.00 P   37,312  +2,933
JUL18 5Y NOTE   113.50 C   33,143   -2,288   113.50 P   18,628  +3,869
SEP18 5Y NOTE   113.00 C    5,594      -97   113.00 P    7,073    +246
SEP18 5Y NOTE   113.50 C   17,431     -311   113.50 P    5,341  +3,618
JUL18 2Y NOTE   106.00 C    1,076     UNCH   106.00 P    2,644    UNCH
JUL18 2Y NOTE   106.12 C   30,657     -500   106.12 P      201    UNCH
SEP18 2Y NOTE   106.00 C      104     UNCH   106.00 P   11,153 +10,940
SEP18 2Y NOTE   106.12 C        0     UNCH   106.12 P        0    UNCH
JUN18 EURODLR    97.75 C  351,495   +1,780    97.75 P  374,929      -2
JUN18 EURODLR    97.87 C  361,647     +100    97.87 P  317,917    UNCH
JUL18 EURODLR    97.50 C   31,807   +2,950    97.50 P   86,734    +964
JUL18 EURODLR    97.62 C   55,346   -6,810    97.62 P   42,733    UNCH
JUN19 1Y-MIDC    97.37 C  153,225  -15,274    97.37 P  226,532  -6,131
JUN19 1Y-MIDC    97.50 C  188,892   +4,436    97.50 P  122,585    UNCH
JUN20 2Y-MIDC    97.00 C   47,161     -100    97.00 P   88,049  -3,414
JUN20 2Y-MIDC    97.12 C   78,301   +3,210    97.12 P  102,240  -1,774
JUN21 3Y-MIDC    96.87 C   19,811     UNCH    96.87 P   54,119    UNCH
JUN21 3Y-MIDC    97.00 C   63,061     -585    97.00 P   70,838  +1,971
     PUT/CALL RATIO FOR VOLUME CLEARED:
     JUL18 10Y NOTE PUT/CALL RATIO  -- 0.72 (204,558 PUTS VS. 285,722 CALLS)
SEP18 10Y NOTE PUT/CALL RATIO  -- 0.53 (87,184 PUTS VS. 163,641 CALLS)
JUL18 5Y NOTE PUT/CALL RATIO   -- 0.42 (39,214 PUTS VS. 93,578 CALLS)
SEP18 5Y NOTE PUT/CALL RATIO   -- 3.12 (99,041 PUTS VS. 31,859 CALLS)
JUL18 2Y NOTE PUT/CALL RATIO   -- 0.01 (54 PUTS VS. 11,976 CALLS)
SEP18 2Y NOTE PUT/CALL RATIO   -- 6.73 (22,343 PUTS VS. 3,322 CALLS)
JUN18 EURODLRS PUT/CALL RATIO  -- 2.37 (108,305 PUTS VS. 45,724 CALLS)
JUL18 EURODLRS PUT/CALL RATIO  -- 0.08 (4,170 PUTS VS. 50,880 CALLS)
JUN19 1Y-MIDCRVE PUT/CALL RATIO-- 1.00 (110,581 PUTS VS. 110,200 CALLS)
JUN20 2Y-MIDCRVE PUT/CALL RATIO-- 0.91 (15,800 PUTS VS. 17,300 CALLS)
JUN21 3Y-MIDCRVE PUT/CALL RATIO-- 2.14 (10,110 PUTS VS. 4,731 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
3:00         54.01    65.92    66.15    65.96    71.40    74.90
11:00        53.59    65.42    65.10    64.77    70.90    74.63
THU OPEN     53.92    66.02    65.69    65.17    71.06    74.69
WED 3:00     53.12    68.79    65.95    66.24    70.82    74.30
WED 12:30    52.91    68.40    65.71    66.03    70.80    74.19
TUE 3:00     53.51    69.41    64.58    65.45    70.26    73.66
TUE 9:30     45.85    64.81    59.00    61.80    69.59    73.54     
FRI 1:00     43.90    58.70    56.17    59.49    69.06    73.26
FRI OPEN     43.95    58.69    55.96    59.33    68.97    73.13
THU 3:00     43.57    57.80    55.69    59.51    68.75    73.06
THU OPEN     43.71    58.71    56.03    59.82    69.03    73.20
--MNI Chicago Bureau; +1 630-698-0154; email: ryan.martin@marketnews.com
[TOPICS: MTABLE,M$U$$$,M$$FI$,MN$FI$]