US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR DEC 13

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

            USF    USH     TYF    TYH     FVF    TUH     EDZ     EDF

WED 3:00   7.24%  7.10%   3.48%  3.40%   2.11%  2.10%    N/A    11.70%

1:15       7.71%  7.22%   3.80%  3.46%   2.32%  2.11%    N/A    12.69%

11:45      7.75%  7.21%   3.86%  3.42%   2.27%  2.11%    N/A    12.89%

10:30      7.88%  7.28%   3.87%  3.47%   2.29%  2.13%    N/A    12.67%

9:00       7.64%  7.29%   3.71%  3.43%   2.23%  2.12%    N/A    13.03%

WED OPEN   8.15%  7.35%   4.07%  3.52%   2.45%  2.17%    N/A    13.30%

TUE 3:00   7.99%  7.40%   3.98%  3.53%   2.34%  2.17%    N/A    13.20%

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

JAN18 10Y NOTE  125.00 C   96,469   +4,956   124.00 P  156,385  +1,401

MAR18 10Y NOTE  127.00 C   26,131     +160   114.00 P  110,162    UNCH

JAN18 5Y NOTE   117.00 C   32,693     -270   116.25 P   35,074  +4,067

MAR18 5Y NOTE   117.25 C   11,979      +35   108.50 P  140,106    UNCH

JAN18 2Y NOTE   107.50 C    8,970     UNCH   107.00 P    2,285     -35

MAR18 2Y NOTE   107.38 C   20,276     UNCH   107.00 P   61,369  +9,898

DEC17 EURODLR    98.75 C  743,367     UNCH    98.37 P  938,456 -27,170

JAN18 EURODLR    98.62 C  245,189     UNCH    98.25 P  260,153  -2,975

DEC18 1Y-MIDC    98.50 C  276,378     UNCH    98.00 P  507,633 -29,975

DEC19 2Y-MIDC    98.25 C  148,204     UNCH    97.75 P  186,886 -20,861

DEC20 3Y-MIDC    97.75 C   75,600     +200    97.75 P  121,150    -200

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

JAN18 10Y NOTE  124.50 C   49,146     +435   124.50 P   52,932     +31

JAN18 10Y NOTE  125.00 C   96,469   +4,956   125.00 P   28,865    -420

MAR18 10Y NOTE  124.50 C   24,555     +478   124.50 P   30,419    +621

MAR18 10Y NOTE  125.00 C   25,795      +25   125.00 P   20,216     -16

JAN18 5Y NOTE   116.75 C   19,626     -156   116.75 P    9,792  +3,169

JAN18 5Y NOTE   117.00 C   32,693     -270   117.00 P    8,297    UNCH

MAR18 5Y NOTE   116.75 C    4,395   +1,691   116.75 P    4,487     -23

MAR18 5Y NOTE   117.00 C    4,543      +17   117.00 P    3,255    UNCH

JAN18 2Y NOTE   107.00 C        0     UNCH   107.00 P    2,285     -35

JAN18 2Y NOTE   107.12 C      870     +287   107.12 P    1,932     -33

MAR18 2Y NOTE   107.00 C      232     +232   107.00 P   61,369  +9,898

MAR18 2Y NOTE   107.12 C      806     +373   107.12 P   10,195    -454

DEC17 EURODLR    98.50 C  463,115     UNCH    98.50 P  490,255  -2,314

DEC17 EURODLR    98.62 C  740,638   -1,000    98.62 P  210,686    UNCH

JAN18 EURODLR    98.50 C  158,212     UNCH    98.50 P   18,103    -250

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  277,207  -3,079

DEC18 1Y-MIDC    98.25 C  259,813     UNCH    98.25 P  169,370    -500

DEC19 2Y-MIDC    97.87 C  121,632     UNCH    97.88 P  121,998    -800

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

DEC20 3Y-MIDC    97.75 C   75,600     +200    97.75 P  121,150    -200

DEC20 3Y-MIDC    97.87 C   75,541     UNCH    97.87 P   75,865    UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

JAN18 10Y NOTE PUT/CALL RATIO   -- 0.85 (53,783 PUTS VS. 63,008 CALLS)

MAR18 10Y NOTE PUT/CALL RATIO   -- 2.03 (27,739 PUTS VS. 13,616 CALLS)

JAN18 5Y NOTE PUT/CALL RATIO    -- 1.36 (37,858 PUTS VS. 27,811 CALLS)

MAR18 5Y NOTE PUT/CALL RATIO    -- 0.92 (5,284 PUTS VS. 5,744 CALLS)

JAN18 2Y NOTE PUT/CALL RATIO    -- 1.39 (716 PUTS VS. 508 CALLS)

MAR18 2Y NOTE PUT/CALL RATIO    -- 0.71 (16,165 PUTS VS. 22,673 CALLS)

DEC17 EURODLRS PUT/CALL RATIO   -- 2.66 (56,353 PUTS VS. 21,095 CALLS)

JAN18 EURODLRS PUT/CALL RATIO   -- 2.14 (26,300 PUTS VS. 12,300 CALLS)

DEC18 1Y-MIDCRVE PUT/CALL RATIO -- 4.86 (117,753 PUTS VS. 24,233 CALLS)

DEC19 2Y-MIDCRVE PUT/CALL RATIO -- 10.1 (82,369 PUTS VS. 8,100 CALLS)

DEC20 3Y-MIDCRVE PUT/CALL RATIO -- 1.64 (11,055 PUTS VS. 6,700 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

Wed 3:00     38.05    48.55    48.72    52.90    64.32    70.51

1:15         38.08    49.45    49.17    53.48    64.81    71.10

11:45        38.10    49.74    49.30    53.59    65.05    71.10

10:30        37.96    50.27    49.35    53.67    65.08    71.13

9:00         37.99    50.22    49.48    53.88    65.16    71.06

Wed Open     37.81    50.22    49.45    53.85    65.17    71.44

Tue 3:00     37.57    51.29    49.76    53.92    65.65    71.45

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

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

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