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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
11:15      6.48%  7.56%   3.41%  3.94%   1.91%  2.32%   14.02%  15.73%
9:45       6.64%  7.68%   3.52%  4.01%   1.97%  2.34%   12.12%  16.54%
FRI OPEN   7.06%  7.78%   3.63%  4.02%   2.19%  2.36%   13.20%  17.40%
THU 3:00   6.99%  7.83%   3.73%  4.05%   2.23%  2.39%   13.10%  16.25%
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%
LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE
OCT17 10Y NOTE  127.50 C  103,460   +2,003   125.00 P   63,594  -1,097
DEC17 10Y NOTE  129.00 C   88,416     -893   114.00 P   95,075    UNCH
OCT17 5Y NOTE   119.00 C   27,122   +2,616   116.00 P   26,515     +51
DEC17 5Y NOTE   118.25 C    9,003     +348   112.25 P  101,550    UNCH
SEP17 EURODLR    98.75 C  335,525     -420    98.37 P  746,921    UNCH
OCT17 EURODLR    98.62 C  129,154     UNCH    98.50 P  160,252    +700
SEP18 1Y-MIDC    98.37 C  113,901   +2,500    98.12 P  210,992     -45
SEP19 2Y-MIDC    98.75 C  136,631     UNCH    97.12 P  192,279    UNCH
SEP20 3Y-MIDC    98.00 C   43,811     UNCH    97.62 P   56,403    UNCH
NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE
OCT17 10Y NOTE  126.00 C   18,116   -1,800   126.00 P   63,298 +13,123
OCT17 10Y NOTE  126.50 C   42,839     +512   126.50 P   29,486    +945
DEC17 10Y NOTE  126.00 C   15,794       +1   126.00 P   37,359    +954
DEC17 10Y NOTE  126.50 C   12,616     +380   126.50 P   10,635    +236
OCT17 5Y NOTE   118.25 C   10,464     UNCH   118.25 P   11,200    +648
OCT17 5Y NOTE   118.50 C   14,297     +383   118.50 P    6,090     +46
DEC17 5Y NOTE   118.25 C    9,003     +348   118.25 P   15,371    UNCH
DEC17 5Y NOTE   118.50 C    5,352     +950   118.50 P   11,758 +10,375
SEP17 EURODLR    98.62 C  253,645   -1,600    98.62 P  225,771  -1,094
SEP17 EURODLR    98.75 C  335,525     -420    98.75 P  107,387    UNCH
OCT17 EURODLR    98.50 C   36,742     UNCH    98.50 P  160,252    +700
OCT17 EURODLR    98.62 C  129,154     UNCH    98.62 P   30,213    UNCH
SEP18 1Y-MIDC    98.37 C  113,901   +2,500    98.37 P   79,691  -5,511
SEP18 1Y-MIDC    98.50 C   90,359   -3,750    98.50 P   15,473     +35
SEP19 2Y-MIDC    98.00 C   62,838     UNCH    98.00 P  110,286  +1,100
SEP19 2Y-MIDC    98.12 C  120,509     UNCH    98.12 P   85,350    +500
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   31,601  +2,161
PUT/CALL RATIO FOR VOLUME CLEARED:
OCT17 10Y NOTE PUT/CALL RATIO -- 1.92 (112,036 PUTS VS. 58,373 CALLS)
DEC17 10Y NOTE PUT/CALL RATIO -- 1.39 (34,892 PUTS VS. 25,118 CALLS)
OCT17 5Y NOTE PUT/CALL RATIO  -- 1.97 (23,152 PUTS VS. 11,701 CALLS)
DEC17 5Y NOTE PUT/CALL RATIO  -- 9.35 (26,226 PUTS VS. 2,835 CALLS)
SEP17 EURODLRS PUT/CALL RATIO -- 0.59 (2,683 PUTS VS. 4,450 CALLS)
OCT17 EURODLRS PUT/CALL RATIO -- 4.32 (4,152 PUTS VS. 960 CALLS)
SEP18 1Y-MIDCRVE PUT/CALL RATIO -- 1.75 (11,915 PUTS VS. 6,835 CALLS)
SEP19 2Y-MIDCRVE PUT/CALL RATIO -- 0.77 (13,150 PUTS VS. 16,900 CALLS)
SEP20 3Y-MIDCRVE PUT/CALL RATIO -- 1.06 (12,200 PUTS VS. 11,500 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
11:15        38.61    56.64    55.77    62.11    74.33    79.23
9:45         38.96    58.01    56.37    62.66    74.32    79.32
Fri Open     39.14    59.07    56.71    62.59    74.53    79.37
Thu 3:00     39.11    59.10    56.56    62.96    74.54    79.30
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
--MNI Chicago Bureau; tel: +1 312-431-0089; email: bill.sokolis@marketnews.com
[TOPICS: MTABLE,M$U$$$,M$$FI$,MN$FI$]