US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR DEC 1

EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)

            USF    USH     TYF    TYH     FVF    TUH     EDZ     EDF

FRI 3:00   8.17%  7.68%   3.93%  3.71%   2.41%  2.27%   14.70%  12.25%

12:30      7.68%  7.40%   3.72%  3.64%   2.16%  2.21%   16.50%  12.61%

9:30       7.68%  7.40%   3.72%  3.64%   2.16%  2.21%   14.01%  11.59%

FRI OPEN   7.67%  7.42%   3.66%  3.66%   2.19%  2.20%   11.90%  11.44%

THU 3:00   7.46%  7.42%   3.64%  3.66%   2.21%  2.21%   12.75%  11.60%

THU OPEN   7.52%  7.33%   3.48%  3.59%   2.17%  2.16%   13.95%  12.12%

WED 3:00   7.24%  7.28%   3.39%  3.55%   2.05%  2.15%   12.89%  11.55%

WED NOON   7.18%  7.27%   3.41%  3.57%   2.13%  2.13%   13.85%  12.87%

TUE 3:00   6.99%  7.31%   3.37%  3.55%   2.05%  2.10%   15.53%  12.09%

TUE OPEN   7.09%  7.27%   3.26%  3.53%   2.00%  2.09%   16.70%  11.86%

MON 3:00   7.21%  7.34%   3.34%  3.55%   2.02%  2.11%   14.67%  12.71%

MON OPEN   7.19%  7.35%   3.47%  3.42%   2.09%  2.15%   16.70%  12.77%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

JAN18 10Y NOTE  125.50 C  101,665   +5,566   124.00 P  155,998 +10,146

MAR18 10Y NOTE  127.00 C   27,397     +975   114.00 P  108,428    UNCH

JAN18 5Y NOTE   117.00 C   30,332     +724   116.25 P   25,880  +3,037

MAR18 5Y NOTE   117.25 C   11,591     +250   108.50 P  140,106    UNCH

JAN18 2Y NOTE   107.50 C    8,900      +70   107.00 P    2,290    UNCH

MAR18 2Y NOTE   107.50 C   16,001   +5,000   107.00 P   31,349 +30,816

DEC17 EURODLR    98.62 C  745,638     UNCH    98.37 P1,080,359  +6,690

JAN18 EURODLR    98.62 C  245,189     UNCH    98.25 P  395,007  +2,130

DEC18 1Y-MIDC    98.50 C  276,378     UNCH    98.00 P  610,054  +2,561

DEC19 2Y-MIDC    98.25 C  148,204     UNCH    97.75 P  279,486  -3,555

DEC20 3Y-MIDC    97.75 C   81,069   -3,538    97.75 P  128,610    UNCH

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

JAN18 10Y NOTE  124.50 C   37,405   +5,286   124.50 P   54,791  -3,951

JAN18 10Y NOTE  125.00 C   61,707   +7,069   125.00 P   28,091    -120

MAR18 10Y NOTE  124.50 C   19,953   +5,649   124.50 P   24,760  +4,360

MAR18 10Y NOTE  125.00 C   25,801   +1,897   125.00 P   19,673    +896

JAN18 5Y NOTE   116.75 C   14,258     -176   116.75 P    6,935    UNCH

JAN18 5Y NOTE   117.00 C   30,332     +724   117.00 P    8,297      -2

MAR18 5Y NOTE   116.75 C    2,619       -8   116.75 P    4,512    UNCH

MAR18 5Y NOTE   117.00 C    3,969      +71   117.00 P    3,255    UNCH

JAN18 2Y NOTE   107.00 C        0     UNCH   107.00 P    2,290    UNCH

JAN18 2Y NOTE   107.12 C      225     UNCH   107.12 P    1,465    +202

MAR18 2Y NOTE   107.00 C        0     UNCH   107.00 P   31,349 +30,816

MAR18 2Y NOTE   107.12 C        1     UNCH   107.12 P   22,441    +585

DEC17 EURODLR    98.50 C  471,813   +3,000    98.50 P  497,382  -3,723

DEC17 EURODLR    98.62 C  745,638     UNCH    98.62 P  210,686    UNCH

JAN18 EURODLR    98.50 C  142,221      +15    98.50 P   18,353    UNCH

JAN18 EURODLR    98.62 C  245,189     UNCH    98.62 P        0    UNCH

DEC18 1Y-MIDC    98.12 C  254,349   -1,727    98.12 P  280,887      +1

DEC18 1Y-MIDC    98.25 C  261,763     +432    98.25 P  169,730    UNCH

DEC19 2Y-MIDC    97.87 C  145,490   -4,275    97.88 P  162,856    UNCH

DEC19 2Y-MIDC    98.00 C  121,041     UNCH    98.00 P  192,229    +300

DEC20 3Y-MIDC    97.75 C   81,069   -3,538    97.75 P  128,610    UNCH

DEC20 3Y-MIDC    97.87 C   74,923     UNCH    97.87 P   85,190    UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

JAN18 10Y NOTE PUT/CALL RATIO -- 0.92 (173,572 PUTS VS. 188,439 CALLS)

MAR18 10Y NOTE PUT/CALL RATIO -- 1.98 (52,194 PUTS VS. 26,366 CALLS)

JAN18 5Y NOTE PUT/CALL RATIO  -- 0.56 (10,657 PUTS VS. 18,995 CALLS)

MAR18 5Y NOTE PUT/CALL RATIO  -- 2.58 (14,215 PUTS VS. 5,549 CALLS)

JAN18 2Y NOTE PUT/CALL RATIO -- 2.00 (1,452 PUTS VS. 725 CALLS)

MAR18 2Y NOTE PUT/CALL RATIO -- 2.33 (36,233 PUTS VS. 15,495 CALLS)

DEC17 EURODLRS PUT/CALL RATIO -- 4.27 (27,814 PUTS VS. 6,514 CALLS)

JAN18 EURODLRS PUT/CALL RATIO -- 1.13 (30,188 PUTS VS. 26,326 CALLS)

DEC18 1Y-MIDCRVE PUT/CALL RATIO -- 25.7 (188,000 PUTS VS. 7,350 CALLS)

DEC19 2Y-MIDCRVE PUT/CALL RATIO -- 2.00 (40,820 PUTS VS. 20,400 CALLS)

DEC20 3Y-MIDCRVE PUT/CALL RATIO -- 2.61 (26,152 PUTS VS. 10,034 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

Fri 3:00     38.54    54.02    52.18    56.95    68.63    74.24

12:30        38.48    53.30    52.08    56.73    68.46    74.15

9:30         37.69    51.20    50.38    54.93    67.79    73.91

Fri Open     37.69    51.20    50.37    54.93    67.83    73.99

Thu 3:00     37.74    51.92    50.37    54.84    67.96    74.05

Thu Open     37.71    51.21    49.84    54.15    67.88    73.98

Wed 3:00     37.70    50.85    50.04    54.36    67.89    74.00

Wed Noon     37.74    50.92    50.06    54.42    67.91    74.01

Tue 3:00     37.48    50.36    49.14    53.25    67.61    74.03

Tue Open     37.82    50.79    49.56    53.50    68.03    74.28

Mon 3:00     37.95    51.04    50.19    54.08    68.22    74.35

Mon Open     38.24    51.50    50.41    54.21    68.35    74.42

--MNI Chicago Bureau; tel: +1 312-431-0089; email: bill.sokolis@marketnews.com

[TOPICS: MTABLE,M$U$$$,M$$FI$,MN$FI$]