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    FVH     EDZ      EDF

THU OPEN   7.69%   7.09%   3.79%  3.67%  2.72%  2.49%   14.21%   15.76%

WED 3:00   8.20%   7.32%   4.09%  3.77%  2.84%  2.57%   14.88%   15.57% 

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  157,762   -2,769   117.50 P   98,915      +2

MAR19 10Y NOTE  126.00 C   31,566     +354   106.50 P   97,661    UNCH

JAN18 5Y NOTE   113.00 C   57,392     -651   111.25 P   93,492    UNCH

MAR19 5Y NOTE   113.50 C   21,425   +1,377   103.75 P  284,211    UNCH

JAN18 2Y NOTE   105.75 C    8,957       +5   105.12 P    6,100    UNCH

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

DEC18 EURODLR    97.62 C  485,048     UNCH    97.25 P  462,682  -2,241

JAN18 EURODLR    97.37 C  146,342   +2,792    97.12 P   82,374    UNCH

DEC19 1Y-MIDC    97.00 C  278,796   -6,128    96.75 P  472,593    UNCH

DEC20 2Y-MIDC    97.00 C  267,454   -7,000    96.87 P  294,954    UNCH

DEC21 3Y-MIDC    97.12 C   83,639   +1,475    96.50 P  155,604    UNCH

     NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

JAN18 10Y NOTE  120.00 C  110,669  -30,011   120.00 P   43,059  -2,304

JAN18 10Y NOTE  120.50 C   77,296     +345   120.50 P   25,127  +2,034

MAR19 10Y NOTE  120.00 C   14,264     -540   120.00 P   14,565  +5,485

MAR19 10Y NOTE  120.50 C   30,195   +1,088   120.50 P   11,431    +715

JAN18 5Y NOTE   113.50 C   38,528     +386   113.50 P   16,940  +3,942

JAN18 5Y NOTE   113.75 C   29,313   +1,075   113.75 P    6,762    UNCH

MAR19 5Y NOTE   113.50 C   21,425   +1,377   113.50 P    5,401  +2,740

MAR19 5Y NOTE   113.75 C    9,966     +400   113.75 P    3,510    UNCH

JAN18 2Y NOTE   105.62 C    2,306     UNCH   105.62 P    3,776    +400

JAN18 2Y NOTE   105.75 C    8,957       +5   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     UNCH   105.75 P       92    UNCH

DEC18 EURODLR    97.50 C  407,316     -100    97.50 P  325,391      -1

DEC18 EURODLR    97.62 C  485,048     UNCH    97.62 P  177,819    -290

JAN18 EURODLR    97.37 C  146,342   +2,792    97.12 P   82,374    UNCH

JAN18 EURODLR    97.50 C   68,861     +540    97.25 P   13,981      +1 

DEC19 1Y-MIDC    97.12 C  147,933   -7,755    97.12 P  108,769    UNCH

DEC19 1Y-MIDC    97.25 C  220,616  -11,776    97.25 P   82,080    UNCH

DEC20 2Y-MIDC    97.00 C  267,454   -7,000    97.00 P  249,810  +1,163

DEC20 2Y-MIDC    97.12 C   70,691  -13,432    97.12 P   61,641  +4,231  

DEC21 3Y-MIDC    96.87 C   61,788       -2    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  -- 0.63 (83,047 PUTS VS. 131,958 CALLS)

MAR19 10Y NOTE PUT/CALL RATIO  -- 0.56 (41,826 PUTS VS. 74,744 CALLS)

JAN18 5Y NOTE PUT/CALL RATIO   -- 0.34 (7,944 PUTS VS. 23,436 CALLS)

MAR19 5Y NOTE PUT/CALL RATIO   -- 1.64 (14,984 PUTS VS. 9,137 CALLS)

JAN18 2Y NOTE PUT/CALL RATIO   -- 5.01 (401 PUTS VS. 80 CALLS)

MAR19 2Y NOTE PUT/CALL RATIO   -- 0.00 (2,162 PUTS VS. 0 CALLS)

DEC18 EURODLRS PUT/CALL RATIO  -- 0.25 (6,272 PUTS VS. 25,276 CALLS)

JAN18 EURODLRS PUT/CALL RATIO  -- 0.14 (3,902 PUTS VS. 26,927 CALLS)

DEC19 1Y-MIDCRVE PUT/CALL RATIO-- 0.65 (39,501 PUTS VS. 60,801 CALLS)

DEC20 2Y-MIDCRVE PUT/CALL RATIO-- 0.29 (14,343 PUTS VS. 49,968 CALLS)

DEC21 3Y-MIDCRVE PUT/CALL RATIO-- 0.16 (2,300 PUTS VS. 14,135 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

THU OPEN    57.67   57.11    61.94   60.01    69.87     77.08

WED 3:00    58.03   58.03    62.97   61.01    70.15     77.27

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$]