US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR DEC 12

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

            USF    USH     TYF    TYH     FVF    TUH     EDZ     EDF

1:45       7.73%  7.39%   3.76%  3.53%   2.40%  2.15%    N/A    13.50%

12:00      7.63%  7.35%   3.68%  3.54%   2.37%  2.19%    N/A    12.40%

10:30      7.65%  7.41%   3.77%  3.50%   2.37%  2.15%    N/A    12.90%

9:00       7.78%  7.39%   3.77%  3.48%   2.28%  2.17%    N/A    13.10%

TUE OPEN   8.08%  7.51%   3.85%  3.54%   2.26%  2.17%    N/A    13.30%

MON 3:00   7.90%  7.47%   3.82%  3.55%   2.36%  2.16%    N/A    12.50%

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

JAN18 10Y NOTE  125.00 C   91,513     +616   124.00 P  154,984    -848

MAR18 10Y NOTE  127.00 C   25,971       +8   114.00 P  110,162    +600

JAN18 5Y NOTE   117.00 C   32,963     UNCH   116.25 P   31,007  +2,994

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     UNCH   107.00 P   51,471     +27

DEC17 EURODLR    98.75 C  743,367     UNCH    98.37 P  965,726 -19,369

JAN18 EURODLR    98.62 C  245,189     UNCH    98.25 P  263,128  -5,061

DEC18 1Y-MIDC    98.50 C  276,378     UNCH    98.00 P  537,608  -2,300

DEC19 2Y-MIDC    98.25 C  148,204     UNCH    97.75 P  207,747 -12,360

DEC20 3Y-MIDC    97.87 C   75,541     UNCH    97.75 P  122,250    UNCH

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

JAN18 10Y NOTE  124.50 C   48,711      -37   124.50 P   52,901    -386

JAN18 10Y NOTE  125.00 C   91,513     +616   125.00 P   29,285    UNCH

MAR18 10Y NOTE  124.50 C   24,077     +366   124.50 P   29,798    +623

MAR18 10Y NOTE  125.00 C   25,770       -5   125.00 P   20,232    UNCH

JAN18 5Y NOTE   116.75 C   19,782      +33   116.75 P    6,623    UNCH

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

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

MAR18 5Y NOTE   117.00 C    4,526     +178   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   51,471     +27

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

DEC17 EURODLR    98.50 C  463,115     -949    98.50 P  492,569  -1,522

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

JAN18 EURODLR    98.50 C  158,212     UNCH    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    UNCH

DEC19 2Y-MIDC    97.87 C  121,632     +125    97.88 P  122,798    UNCH

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

DEC20 3Y-MIDC    97.75 C   75,400     UNCH    97.75 P  122,250    UNCH

DEC20 3Y-MIDC    97.87 C   75,541     UNCH    97.87 P   76,765    UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

JAN18 10Y NOTE PUT/CALL RATIO   -- 1.12 (29,421 PUTS VS. 26,142 CALLS)

MAR18 10Y NOTE PUT/CALL RATIO   -- 1.06 (17,655 PUTS VS. 16,562 CALLS)

JAN18 5Y NOTE PUT/CALL RATIO    -- 2.08 (7,353 PUTS VS. 3,577 CALLS)

MAR18 5Y NOTE PUT/CALL RATIO    -- 0.10 (1,280 PUTS VS. 11,364 CALLS)

JAN18 2Y NOTE PUT/CALL RATIO    -- 0.00 (0 PUTS VS. 1 CALLS)

MAR18 2Y NOTE PUT/CALL RATIO    -- 0.00 (32 PUTS VS. 0 CALLS)

DEC17 EURODLRS PUT/CALL RATIO   -- 15.6 (62,402 PUTS VS. 4,000 CALLS)

JAN18 EURODLRS PUT/CALL RATIO   -- 2.06 (59,043 PUTS VS. 28,608 CALLS)

DEC18 1Y-MIDCRVE PUT/CALL RATIO -- 13.5 (51,489 PUTS VS. 3,800 CALLS)

DEC19 2Y-MIDCRVE PUT/CALL RATIO -- 5.14 (35,059 PUTS VS. 6,800 CALLS)

DEC20 3Y-MIDCRVE PUT/CALL RATIO -- 1.75 (2,151 PUTS VS. 1,250 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

1:45         37.64    51.12    49.74    53.92    65.73    71.57

12:00        37.64    51.05    49.79    53.99    65.84    71.70

10:30        37.69    51.10    49.93    54.12    65.94    71.73

9:00         37.66    51.32    49.97    54.18    65.89    71.75

Tue Open     37.66    51.32    49.97    54.18    65.88    71.75

Mon 3:00     38.04    51.05    50.24    54.22    65.75    71.82

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

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

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