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EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
            
            USU    USV     TYU    TYV     FVU    FVV     EDU     EDV
TUE 3:00   7.51%  7.61%   3.74%  3.80%   2.11%  2.26%   12.80%  14.85%
1:45       7.55%  7.59%   3.66%  3.78%   2.10%  2.27%   12.55%  14.95%
11:45      7.61%  7.57%   3.82%  3.80%   2.08%  2.29%   12.30%  15.25%
10:30      7.60%  7.60%   3.72%  3.80%   2.08%  2.21%   13.79%  15.84%
9:15       7.50%  7.63%   3.63%  3.89%   2.05%  2.25%   13.50%  15.80%
TUE OPEN   7.55%  7.60%   3.80%  3.75%   2.12%  2.21%   13.26%  16.00%
MON 3:00   7.46%  7.76%   3.84%  3.91%   2.15%  2.42%   13.05%  16.55%
MON OPEN   7.62%  7.90%   3.96%  3.94%   2.21%  2.37%   14.70%  17.60%
FRI 3:00   7.73%  8.06%   3.87%  4.11%   2.33%  2.44%   13.30%   N/A
FRI OPEN   8.16%  8.08%   4.22%  4.14%   2.37%  2.44%   14.75%   N/A
THU 3:00   7.79%  7.85%   3.97%  4.24%   2.22%  2.51%   13.80%   N/A
THU OPEN   7.91%  8.19%   3.91%  4.16%   2.29%  2.49%   14.15%   N/A
WED 3:00   7.60%  7.85%   3.80%  4.20%   2.22%  2.37%   13.00%   N/A
WED OPEN   7.75%  7.92%   3.89%  4.00%   2.25%  2.79%   13.95%   N/A
TUE 3:00   7.41%  7.59%   3.57%  3.83%   1.95%  2.24%   14.02%   N/A
TUE OPEN   7.34%  7.46%   3.48%  3.73%   1.97%  2.28%   14.27%   N/A
LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE
SEP17 10Y NOTE  127.00 C  154,563   -6,316   111.00 P  165,472    UNCH
OCT17 10Y NOTE  127.00 C   38,960     -105   125.00 P   39,062  +1,701
SEP17 5Y NOTE   118.25 C   38,306     -100   109.25 P  252,442    UNCH
OCT17 5Y NOTE   118.75 C   18,248     UNCH   117.00 P   19,750      -1
SEP17 EURODLR    98.75 C  336,244     -300    98.37 P  750,745    UNCH
OCT17 EURODLR    98.62 C  121,465     -500    98.50 P  158,059    +350
SEP18 1Y-MIDC    98.37 C  124,034   +1,675    98.12 P  260,183    UNCH
SEP19 2Y-MIDC    98.75 C  133,187     UNCH    97.12 P  192,279    UNCH
SEP20 3Y-MIDC    98.00 C   44,748     UNCH    97.50 P   48,307    UNCH
NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE
SEP17 10Y NOTE  126.00 C   66,672   -1,368   126.00 P   55,892  +1,961
SEP17 10Y NOTE  126.50 C   80,366   -2,596   126.50 P   32,501  +2,952
OCT17 10Y NOTE  126.00 C   15,643     +412   126.00 P   13,775  +2,638
OCT17 10Y NOTE  126.50 C   29,101     +568   126.50 P   10,869    +153
SEP17 5Y NOTE   118.25 C   38,306     -100   118.25 P   22,440  +1,464
SEP17 5Y NOTE   118.50 C   27,587      -31   118.50 P    8,227    +543
OCT17 5Y NOTE   118.25 C    2,364     -132   118.25 P    1,066    -110
OCT17 5Y NOTE   118.50 C   13,197   +1,205   118.50 P    3,432  +1,271
SEP17 EURODLR    98.62 C  257,700     UNCH    98.62 P  233,570    -274
SEP17 EURODLR    98.75 C  336,244     -300    98.75 P  107,287    UNCH
OCT17 EURODLR    98.50 C   36,349     UNCH    98.50 P  158,059    +350
OCT17 EURODLR    98.62 C  121,465     -500    98.62 P   30,774    -171
SEP18 1Y-MIDC    98.37 C  124,034   +1,675    98.37 P   70,249  -2,210
SEP18 1Y-MIDC    98.50 C  123,520     +270    98.50 P   12,632    UNCH
SEP19 2Y-MIDC    98.00 C   64,998      +27    98.00 P   94,481  +4,605
SEP19 2Y-MIDC    98.12 C  124,898   +1,135    98.12 P   72,486    -411
SEP20 3Y-MIDC    97.75 C   27,133     UNCH    97.75 P   39,388  -1,052
SEP20 3Y-MIDC    97.87 C   25,819     -700    97.87 P   30,853  -1,200
PUT/CALL RATIO FOR VOLUME CLEARED:
SEP17 10Y NOTE PUT/CALL RATIO -- 0.43 (66,489 PUTS VS. 153,459 CALLS)
OCT17 10Y NOTE PUT/CALL RATIO -- 0.73 (25,126 PUTS VS. 34,287 CALLS)
SEP17 5Y NOTE PUT/CALL RATIO  -- 1.35 (26,902 PUTS VS. 19,885 CALLS)
OCT17 5Y NOTE PUT/CALL RATIO  -- 0.67 (4,123 PUTS VS. 6,099 CALLS)
SEP17 EURODLRS PUT/CALL RATIO -- 0.81 (2,223 PUTS VS. 2,777 CALLS)
OCT17 EURODLRS PUT/CALL RATIO -- 0.09 (1,250 PUTS VS. 13,266 CALLS)
SEP18 1Y-MIDCRVE PUT/CALL RATIO -- 1.82 (15,933 PUTS VS. 8,700 CALLS)
SEP19 2Y-MIDCRVE PUT/CALL RATIO -- 1.02 (3,900 PUTS VS. 3,825 CALLS)
SEP20 3Y-MIDCRVE PUT/CALL RATIO -- 1.35 (5,316 PUTS VS. 3,966 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
Tue 3:00     40.12    58.67    56.35    62.10    74.53    79.30
1:45         40.18    58.73    56.45    62.15    74.57    79.32
11:45        40.24    58.89    56.51    62.30    74.69    79.36
10:30        40.37    59.24    56.67    62.32    74.75    79.42
9:15         40.45    59.22    56.72    62.25    74.77    79.49
Tue Open     40.45    59.22    56.72    62.25    74.78    79.51
Mon 3:00     40.65    59.26    57.08    62.43    74.92    79.33
Mon Open     41.06    59.35    58.06    63.80    74.26    79.59
Fri 3:00     40.66    59.29    58.06    63.86    74.24    79.55
Fri Open     40.93    59.27    58.15    63.90    74.77    79.24
Thu 3:00     40.88    58.92    58.05    63.53    74.64    79.21
Thu Open     40.01    58.03    57.51    62.59    74.16    79.34
Wed 3:00     39.89    58.07    57.57    62.61    74.14    79.21
Wed Open     39.46    56.67    56.22    60.29    73.59    78.99
Tue 3:00     39.22    55.91    55.45    60.51    73.54    78.67
Tue Open     39.12    55.79    55.18    60.12    73.38    78.95
--MNI Chicago Bureau; tel: +1 312-431-0089; email: bill.sokolis@marketnews.com
[TOPICS: MTABLE,M$U$$$,M$$FI$,MN$FI$]