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    FVH     EDZ      EDF

WED OPEN   8.26%   7.37%   4.08%  3.77%  2.86%  2.55%   13.54%   15.32%

TUE 3:00   8.34%   7.37%   4.22%  3.80%  2.80%  2.56%   15.50%   15.31% 

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%

     LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

JAN18 10Y NOTE  121.00 C  160,531   -1,686   117.50 P   98,913      +1

MAR19 10Y NOTE  126.00 C   31,212     +250   106.50 P   97,661    UNCH

JAN18 5Y NOTE   113.00 C   58,043     -105   111.25 P   93,492    UNCH

MAR19 5Y NOTE   113.50 C   20,048   +1,048   103.75 P  284,211    UNCH

JAN18 2Y NOTE   105.75 C    8,952   +1,249   105.12 P    6,100    UNCH

MAR19 2Y NOTE   105.87 C   10,003     UNCH   104.50 P    6,702    +400

DEC18 EURODLR    97.62 C  485,048     UNCH    97.25 P  464,923  +1,500

JAN18 EURODLR    97.25 C  147,527  +14,844    97.12 P   82,374  +3,313

DEC19 1Y-MIDC    97.00 C  284,924   -1,433    96.75 P  472,593    UNCH

DEC20 2Y-MIDC    97.00 C  274,454     UNCH    96.87 P  294,954    UNCH

DEC21 3Y-MIDC    97.12 C   82,164   +1,299    96.50 P  155,604    UNCH

     NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

JAN18 10Y NOTE  120.00 C  140,680   -2,949   120.00 P   45,363  +7,977

JAN18 10Y NOTE  120.50 C   76,951     +780   120.50 P   23,093  +2,575

MAR19 10Y NOTE  120.00 C   14,264     -540   120.00 P    9,080  +1,990

MAR19 10Y NOTE  120.50 C   30,195   +1,088   120.50 P   10,716  +2,280

JAN18 5Y NOTE   113.50 C   38,142   -1,227   113.50 P   12,998    +423

JAN18 5Y NOTE   113.75 C   28,238     -889   113.75 P    6,762      -2

MAR19 5Y NOTE   113.50 C   20,048   +1,048   113.50 P    2,661  +1,593

MAR19 5Y NOTE   113.75 C    9,566     +164   113.75 P    3,510    UNCH

JAN18 2Y NOTE   105.62 C    2,306     -100   105.62 P    3,376  +2,747

JAN18 2Y NOTE   105.75 C    8,952   +1,249   105.75 P      152    UNCH

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

MAR19 2Y NOTE   105.75 C      676      +76   105.75 P       92     +78

DEC18 EURODLR    97.50 C  407,534   -2,214    97.50 P  325,392    -600

DEC18 EURODLR    97.62 C  485,048     UNCH    97.62 P  178,109    UNCH

JAN18 EURODLR    97.37 C  142,550   +2,596    97.12 P   82,374  +3,313

JAN18 EURODLR    97.50 C   68,321     +789    97.25 P   13,980     +11 

DEC19 1Y-MIDC    97.12 C  155,688  -24,396    97.12 P  108,769    UNCH

DEC19 1Y-MIDC    97.25 C  232,392  -23,560    97.25 P   82,080    UNCH

DEC20 2Y-MIDC    97.00 C  274,454     UNCH    97.00 P  248,647  +1,578

DEC20 2Y-MIDC    97.12 C   84,123   -2,276    97.12 P   57,410  +8,203  

DEC21 3Y-MIDC    96.87 C   61,790       -1    96.87 P   65,405    UNCH

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

     PUT/CALL RATIO FOR VOLUME CLEARED:

JAN18 10Y NOTE PUT/CALL RATIO  -- 1.00 (115,434 PUTS VS. 115,053 CALLS)

MAR19 10Y NOTE PUT/CALL RATIO  -- 0.36 (22,377 PUTS VS. 62,063 CALLS)

JAN18 5Y NOTE PUT/CALL RATIO   -- 1.23 (13,471 PUTS VS. 10,942 CALLS)

MAR19 5Y NOTE PUT/CALL RATIO   -- 0.87 (9,776 PUTS VS. 11,247 CALLS)

JAN18 2Y NOTE PUT/CALL RATIO   -- 3.40 (7,657 PUTS VS. 2,251 CALLS)

MAR19 2Y NOTE PUT/CALL RATIO   -- 2.76 (1,397 PUTS VS. 507 CALLS)

DEC18 EURODLRS PUT/CALL RATIO  -- 0.26 (4,424 PUTS VS. 16,947 CALLS)

JAN18 EURODLRS PUT/CALL RATIO  -- 0.14 (5,872 PUTS VS. 40,747 CALLS)

DEC19 1Y-MIDCRVE PUT/CALL RATIO-- 0.42 (22,600 PUTS VS. 53,400 CALLS)

DEC20 2Y-MIDCRVE PUT/CALL RATIO-- 0.55 (12,150 PUTS VS. 22,200 CALLS)

DEC21 3Y-MIDCRVE PUT/CALL RATIO-- 0.89 (6,100 PUTS VS. 6,850 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

WED OPEN    57.86   59.19    63.26   61.35    70.14     77.24

TUE 3:00    57.09   60.67    63.46   61.38    70.15     77.08

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

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

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