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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
THU OPEN   8.11%  7.94%   4.20%  4.15%   2.36%  2.39%   16.00%  15.97%
WED 3:00   8.35%  8.03%   4.30%  4.18%   2.35%  2.42%   17.92%  17.34%
WED OPEN   8.22%  8.11%   4.21%  4.23%   2.46%  2.43%   19.05%  18.05%
TUE 3:00   7.58%  7.86%   4.18%  4.12%   2.32%  2.40%   18.51%  17.88%
TUE OPEN   7.31%  7.72%   3.88%  4.05%   2.24%  2.37%   13.79%  16.49%
FRI 3:00   6.49%  7.51%   3.42%  3.91%   1.95%  2.29%   13.40%  14.85%
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%
LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE
OCT17 10Y NOTE  127.50 C  104,263   -5,240   125.00 P   66,649    -475
DEC17 10Y NOTE  129.00 C   90,858      +98   114.00 P   95,075    UNCH
OCT17 5Y NOTE   119.00 C   29,496      +27   116.00 P   26,518    UNCH
DEC17 5Y NOTE   118.25 C    9,073     UNCH   112.25 P  101,550    UNCH
SEP17 EURODLR    98.75 C  336,175     UNCH    98.37 P  746,921    UNCH
OCT17 EURODLR    98.62 C  128,504     -650    98.50 P  161,317    -500
SEP18 1Y-MIDC    98.37 C  107,213   -5,365    98.12 P  211,382    UNCH
SEP19 2Y-MIDC    98.75 C  136,631     UNCH    97.12 P  192,279    UNCH
SEP20 3Y-MIDC    98.00 C   43,481     UNCH    97.62 P   56,664    UNCH
NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE
OCT17 10Y NOTE  126.50 C   39,977      -42   126.50 P   52,333 +12,506
OCT17 10Y NOTE  127.00 C   89,679   -6,160   127.00 P   25,222  +1,350
DEC17 10Y NOTE  126.50 C   12,829     +288   126.50 P   22,827  +5,493
DEC17 10Y NOTE  127.00 C   21,752      +69   127.00 P   17,528  +1,654
OCT17 5Y NOTE   118.25 C   10,435       +1   118.25 P   14,186  +1,662
OCT17 5Y NOTE   118.50 C   16,343      -49   118.50 P    8,142    +425
DEC17 5Y NOTE   118.25 C    9,073     UNCH   118.25 P   15,365    UNCH
DEC17 5Y NOTE   118.50 C    5,412     UNCH   118.50 P   11,880    UNCH
SEP17 EURODLR    98.62 C  253,322     UNCH    98.62 P  267,370    UNCH
SEP17 EURODLR    98.75 C  336,175     UNCH    98.75 P  107,287    UNCH
OCT17 EURODLR    98.50 C   36,742     UNCH    98.50 P  161,317    -500
OCT17 EURODLR    98.62 C  128,504     -650    98.62 P   30,713    +400
SEP18 1Y-MIDC    98.37 C  107,213   -5,365    98.37 P   77,567  +1,924
SEP18 1Y-MIDC    98.50 C   82,567   -7,340    98.50 P   15,759    +143
SEP19 2Y-MIDC    98.00 C   62,838     UNCH    98.00 P  110,840    +500
SEP19 2Y-MIDC    98.12 C  116,023   -4,986    98.12 P   79,746  -5,515
SEP20 3Y-MIDC    97.75 C   27,133     UNCH    97.75 P   34,884    UNCH
SEP20 3Y-MIDC    97.87 C   22,685     UNCH    97.87 P   31,651    +100
PUT/CALL RATIO FOR VOLUME CLEARED:
OCT17 10Y NOTE PUT/CALL RATIO -- 0.83 (138,590 PUTS VS. 166,484 CALLS)
DEC17 10Y NOTE PUT/CALL RATIO -- 1.62 (60,636 PUTS VS. 37,227 CALLS)
OCT17 5Y NOTE PUT/CALL RATIO  -- 1.66 (14,081 PUTS VS. 8,484 CALLS)
DEC17 5Y NOTE PUT/CALL RATIO  -- 1.01 (11,292 PUTS VS. 11,327 CALLS)
SEP17 EURODLRS PUT/CALL RATIO -- 0.00 (0 PUTS VS. 0 CALLS)
OCT17 EURODLRS PUT/CALL RATIO -- 1.00 (1,050 PUTS VS. 1,050 CALLS)
SEP18 1Y-MIDCRVE PUT/CALL RATIO -- 0.31 (6,250 PUTS VS. 19,850 CALLS)
SEP19 2Y-MIDCRVE PUT/CALL RATIO -- 0.75 (21,200 PUTS VS. 28,200 CALLS)
SEP20 3Y-MIDCRVE PUT/CALL RATIO -- 0.28 (2,206 PUTS VS. 7,620 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
Thu Open     40.03    60.37    57.44    63.79    74.54    79.16
Wed 3:00     40.07    62.77    57.44    63.94    74.69    79.22
Wed Open     40.25    64.26    58.12    64.48    74.60    79.26
Tue 3:00     39.72    63.35    57.78    64.13    74.62    79.22
Tue Open     38.71    57.16    55.85    62.05    74.19    79.15
Fri 3:00     38.43    55.64    55.40    61.60    74.16    79.17
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
--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