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    FVH     EDZ      EDF

TUE OPEN   8.17%   7.31%   4.15%  3.82%  2.81%  2.58%   15.56%   14.66%

MON 3:00   8.48%   7.45%   4.38%  3.92%  3.00%  2.62%   15.33%   15.44%

MON OPEN   8.86%   7.61%   4.42%  3.90%  2.95%  2.62%   15.28%   14.83%

FRI 3:00   8.38%   7.57%   4.05%  3.90%  2.82%  2.56%   14.22%   13.08% 

FRI OPEN   7.90%   7.34%   3.87%  3.78%  2.57%  2.48%   12.63%   13.00%

THU 3:00    N/A    7.54%    N/A   3.99%   N/A   2.63%   10.78%    N/A

THU OPEN    N/A    7.57%    N/A   4.05%   N/A   2.64%   10.32%    N/A

     LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

JAN18 10Y NOTE  121.00 C  162,217   +8,662   117.50 P   98,912    -374

MAR19 10Y NOTE  126.00 C   30,962     +406   106.50 P   97,661    UNCH

JAN18 5Y NOTE   113.00 C   58,148   -1,825   111.25 P   93,492    UNCH

MAR19 5Y NOTE   113.50 C   19,000     UNCH   103.75 P  284,211    UNCH

JAN18 2Y NOTE   105.75 C    7,703      -21   105.12 P    6,100    UNCH

MAR19 2Y NOTE   105.87 C   10,003     UNCH   103.87 P    6,500    UNCH

DEC18 EURODLR    97.62 C  485,048   -3,000    97.25 P  463,423  -1,005

JAN18 EURODLR    97.25 C  147,527  +14,844    97.00 P   80,312    -350

DEC19 1Y-MIDC    97.00 C  286,357  -18,002    96.75 P  472,593     -40

DEC20 2Y-MIDC    97.00 C  274,454     UNCH    96.87 P  294,966    UNCH

DEC21 3Y-MIDC    97.12 C   80,865       -1    96.50 P  155,604    UNCH

     NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

JAN18 10Y NOTE  120.00 C  150,877   -5,022   120.00 P   37,386  +3,246

JAN18 10Y NOTE  120.50 C   76,171   -1,741   120.50 P   20,518  +2,456

MAR19 10Y NOTE  120.00 C   14,804     -161   120.00 P    7,090    +797

MAR19 10Y NOTE  120.50 C   29,107     +668   120.50 P    8,436  +1,275

JAN18 5Y NOTE   113.50 C   39,369   -1,029   113.50 P   12,575  +2,695

JAN18 5Y NOTE   113.75 C   29,127     -367   113.75 P    6,764  +2,853

MAR19 5Y NOTE   113.50 C   19,000     UNCH   113.50 P    1,068     -10

MAR19 5Y NOTE   113.75 C    9,402   +1,966   113.75 P    3,510  +3,392

JAN18 2Y NOTE   105.62 C    2,406     UNCH   105.62 P      629    UNCH

JAN18 2Y NOTE   105.75 C    7,703      -21   105.75 P      152    UNCH

MAR19 2Y NOTE   105.62 C      695     UNCH   105.62 P       93    UNCH

MAR19 2Y NOTE   105.75 C      600     UNCH   105.75 P       14    UNCH

DEC18 EURODLR    97.50 C  409,748     -254    97.50 P  325,992    UNCH

DEC18 EURODLR    97.62 C  485,048   -3,000    97.62 P  178,109  -3,521

JAN18 EURODLR    97.37 C  139,954   +6,090    97.12 P   79,061 -14,763

JAN18 EURODLR    97.50 C   65,482  +13,709    97.25 P   13,969    +250 

DEC19 1Y-MIDC    97.12 C  180,084  -38,941    97.12 P  108,769  -1,865

DEC19 1Y-MIDC    97.25 C  255,952  -34,439    97.25 P   82,080    UNCH

DEC20 2Y-MIDC    97.00 C  274,454     UNCH    97.00 P  247,069 +29,998

DEC20 2Y-MIDC    97.12 C   86,399   -2,418    97.12 P   49,207  +5,112  

DEC21 3Y-MIDC    96.87 C   61,791     UNCH    96.87 P   65,405    UNCH

DEC21 3Y-MIDC    97.00 C   65,363       -5    97.00 P  105,413    UNCH

     PUT/CALL RATIO FOR VOLUME CLEARED:

JAN18 10Y NOTE PUT/CALL RATIO  -- 0.56 (90,979 PUTS VS. 162,078 CALLS)

MAR19 10Y NOTE PUT/CALL RATIO  -- 0.98 (38,604 PUTS VS. 39,568 CALLS)

JAN18 5Y NOTE PUT/CALL RATIO   -- 0.70 (25,975 PUTS VS. 36,973 CALLS)

MAR19 5Y NOTE PUT/CALL RATIO   -- 1.08 (14,673 PUTS VS. 13,647 CALLS)

JAN18 2Y NOTE PUT/CALL RATIO   -- 0.00 (4 PUTS VS. 1,139 CALLS)

MAR19 2Y NOTE PUT/CALL RATIO   -- 4.08 (147 PUTS VS. 36 CALLS)

DEC18 EURODLRS PUT/CALL RATIO  -- 0.65 (14,289 PUTS VS. 21,841 CALLS)

JAN18 EURODLRS PUT/CALL RATIO  -- 0.18 (20,200 PUTS VS. 112,860 CALLS)

DEC19 1Y-MIDCRVE PUT/CALL RATIO-- 0.14 (15,064 PUTS VS. 111,339 CALLS)

DEC20 2Y-MIDCRVE PUT/CALL RATIO-- 0.15 (12,850 PUTS VS. 85,850 CALLS)

DEC21 3Y-MIDCRVE PUT/CALL RATIO-- 0.03 (900 PUTS VS. 32,900 CALLS)

     (VOLUME, OPEN INTEREST, RATIOS 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 OPEN    56.95   60.19    63.95   61.63    70.42     77.31

MON 3:00    56.87   59.24    63.35   61.58    70.19     77.04

MON OPEN    55.33   57.72    61.44   60.62    69.74     76.73

FRI 3:00    53.79   56.76    60.87   60.11    69.70     76.70

FRI OPEN    54.00   58.99    60.86   60.49    69.95     76.89

THU 3:00    49.89   57.60    59.50   60.28    70.70     77.04

THU OPEN    48.47   56.91    58.37   59.52    70.49     76.88

--MNI Chicago Bureau; +1 630-698-0154; email: ryan.martin@marketnews.com

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