US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR DEC 11

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

            USF    USH     TYF    TYH     FVF    TUH     EDZ     EDF

12:00      7.80%  7.44%   3.73%  3.57%   2.32%  2.18%    N/A    12.80%

10:45      7.96%  7.50%   3.85%  3.50%   2.37%  2.20%    N/A    12.95%

9:15       8.09%  7.56%   3.84%  3.53%   2.37%  2.20%    N/A    12.90%

MON OPEN   8.26%  7.61%   3.95%  3.57%   2.35%  2.21%   12.51%  13.09%

FRI 3:00   7.39%  7.44%   3.55%  3.52%   2.17%  2.14%   12.30%  12.56%

FRI OPEN   7.77%  7.51%   3.90%  3.63%   2.39%  2.24%   13.78%  13.25%

THU 3:00   7.45%  7.49%   3.74%  3.58%   2.33%  2.24%   14.25%   N/A

THU OPEN   7.47%  7.38%   3.77%  3.61%   2.30%  2.23%   13.50%  13.50%

WED 3:00   7.53%  7.40%   3.75%  3.63%   2.31%  2.26%   13.70%  13.47%

WED OPEN   7.81%  7.38%   3.95%  3.66%   2.37%  2.26%   15.03%  12.65%

TUE 3:00   7.85%  7.39%   3.94%  3.66%   2.38%  2.22%   14.63%  12.44%

TUE OPEN   7.88%  7.42%   3.84%  3.64%   2.33%  2.20%   15.98%  12.50%

MON 3:00   7.88%  7.42%   3.91%  3.68%   2.43%  2.26%   15.96%  12.07%

MON OPEN   8.15%  7.56%   3.94%  3.68%   2.43%  2.23%   17.56%  12.58%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

JAN18 10Y NOTE  125.00 C   90,897     -420   124.00 P  155,832    +660

MAR18 10Y NOTE  127.00 C   25,963     +196   114.00 P  109,562    +103

JAN18 5Y NOTE   117.00 C   32,963     +194   116.00 P   28,337     -46

MAR18 5Y NOTE   117.25 C   11,944     UNCH   108.50 P  140,106    UNCH

JAN18 2Y NOTE   107.50 C    8,970     UNCH   107.00 P    2,320    UNCH

MAR18 2Y NOTE   107.38 C   20,276     +276   107.00 P   51,444     +13

DEC17 EURODLR    98.75 C  743,367     UNCH    98.37 P  985,095 -77,235

JAN18 EURODLR    98.62 C  245,189     UNCH    98.25 P  268,189    +200

DEC18 1Y-MIDC    98.50 C  276,378     UNCH    98.00 P  539,908 -20,000

DEC19 2Y-MIDC    98.25 C  148,204     UNCH    97.75 P  220,107  -5,082

DEC20 3Y-MIDC    97.87 C   75,541     -286    97.75 P  122,250  -2,415

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

JAN18 10Y NOTE  124.50 C   48,748   +1,524   124.50 P   53,287  +2,040

JAN18 10Y NOTE  125.00 C   90,897     -420   125.00 P   29,285     +22

MAR18 10Y NOTE  124.50 C   23,711   +3,485   124.50 P   29,175  +1,399

MAR18 10Y NOTE  125.00 C   25,775       -5   125.00 P   20,232    +249

JAN18 5Y NOTE   116.75 C   19,749     +192   116.75 P    6,623    UNCH

JAN18 5Y NOTE   117.00 C   32,963     +194   117.00 P    8,297    UNCH

MAR18 5Y NOTE   116.75 C    2,704       +4   116.75 P    4,510    UNCH

MAR18 5Y NOTE   117.00 C    4,348     UNCH   117.00 P    3,255    UNCH

JAN18 2Y NOTE   107.00 C        0     UNCH   107.00 P    2,320    UNCH

JAN18 2Y NOTE   107.12 C      563     UNCH   107.12 P    1,965    UNCH

MAR18 2Y NOTE   107.00 C        0     UNCH   107.00 P   51,444     +13

MAR18 2Y NOTE   107.12 C      443     UNCH   107.12 P   10,649    UNCH

DEC17 EURODLR    98.50 C  464,064     UNCH    98.50 P  494,091  -6,082

DEC17 EURODLR    98.62 C  741,638     UNCH    98.62 P  210,686    UNCH

JAN18 EURODLR    98.50 C  158,212     -880    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  253,581     UNCH    98.12 P  280,286    UNCH

DEC18 1Y-MIDC    98.25 C  259,813     UNCH    98.25 P  169,870    +240

DEC19 2Y-MIDC    97.87 C  121,507      -51    97.88 P  122,798  -3,500

DEC19 2Y-MIDC    98.00 C  143,134     UNCH    98.00 P  182,379  -4,500

DEC20 3Y-MIDC    97.75 C   75,400   -3,474    97.75 P  122,250  -2,415

DEC20 3Y-MIDC    97.87 C   75,541     -286    97.87 P   76,765  -2,600

PUT/CALL RATIO FOR VOLUME CLEARED:

JAN18 10Y NOTE PUT/CALL RATIO   -- 1.80 (76,130 PUTS VS. 42,135 CALLS)

MAR18 10Y NOTE PUT/CALL RATIO   -- 1.14 (29,372 PUTS VS. 25,705 CALLS)

JAN18 5Y NOTE PUT/CALL RATIO    -- 0.43 (8,364 PUTS VS. 19,193 CALLS)

MAR18 5Y NOTE PUT/CALL RATIO    -- 0.80 (1,622 PUTS VS. 2,030 CALLS)

JAN18 2Y NOTE PUT/CALL RATIO    -- 0.00 (0 PUTS VS. 4,104 CALLS)

MAR18 2Y NOTE PUT/CALL RATIO    -- 0.00 (21 PUTS VS. 28,898 CALLS)

DEC17 EURODLRS PUT/CALL RATIO   -- 21.2 (157,380 PUTS VS. 7,384 CALLS)

JAN18 EURODLRS PUT/CALL RATIO   -- 3.28 (17,463 PUTS VS. 5,300 CALLS)

DEC18 1Y-MIDCRVE PUT/CALL RATIO -- 2.58 (51,489 PUTS VS. 19,913 CALLS)

DEC19 2Y-MIDCRVE PUT/CALL RATIO -- 9.72 (35,059 PUTS VS. 3,659 CALLS)

DEC20 3Y-MIDCRVE PUT/CALL RATIO -- 1.61 (12,309 PUTS VS. 7,650 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

12:00        38.04    51.18    49.89    53.84    65.83    71.79

10:45        38.04    51.18    50.44    54.55    65.83    71.79

9:15         38.04    51.18    50.44    54.55    65.83    71.79

Mon Open     38.04    50.85    50.28    54.39    65.81    71.79

Fri 3:00     38.08    50.27    50.47    54.57    65.87    71.70

Fri Open     39.05    52.35    51.21    55.40    66.14    72.06

Thu 3:00     38.77    52.21    50.97    55.11    66.12    72.03

Thu Open     38.98    52.87    51.03    55.17    66.42    72.45

Wed 3:00     38.89    53.37    51.14    55.48    66.91    72.56

Wed Open     38.98    53.62    51.16    55.45    67.16    72.90

Tue 3:00     38.94    54.26    51.18    55.50    67.40    73.24

Tue Open     38.71    54.57    51.17    55.53    67.99    73.83

Mon 3:00     38.25    53.90    51.10    55.76    67.62    73.76

Mon Open     38.42    54.44    51.74    56.26    68.34    73.59

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

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