US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR DEC 14

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

            USF    USH     TYF    TYH     FVF    TUH     EDZ     EDF

THU 3:00   6.89%  7.24%   3.28%  3.40%   1.84%  2.08%    N/A    11.25%

1:45       6.88%  7.18%   3.29%  3.40%   1.87%  2.08%    N/A    11.20%

12:30      6.58%  7.02%   3.16%  3.36%   1.89%  2.07%    N/A    11.30%

11:00      6.84%  7.11%   3.22%  3.35%   1.92%  2.04%    N/A    10.94%

9:45       6.82%  7.05%   3.12%  3.39%   2.04%  2.09%    N/A    11.25%

THU OPEN   6.80%  7.16%   3.32%  3.39%   2.13%  2.13%    N/A    11.50%

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

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

JAN18 10Y NOTE  125.00 C   96,514      +45   124.00 P  156,560    +175

MAR18 10Y NOTE  126.00 C   40,085  +23,546   114.00 P  110,162    UNCH

JAN18 5Y NOTE   116.50 C   32,822   +7,976   116.25 P   33,529  -1,545

MAR18 5Y NOTE   117.25 C   14,398   +2,419   108.50 P  140,106    UNCH

JAN18 2Y NOTE   107.50 C    8,970     UNCH   107.00 P    2,286      +1

MAR18 2Y NOTE   107.38 C   20,276     UNCH   107.00 P   61,505    +136

DEC17 EURODLR    98.75 C  743,367     UNCH    98.25 P  877,467    UNCH

JAN18 EURODLR    98.62 C  245,189     UNCH    98.25 P  263,457  +3,304

DEC18 1Y-MIDC    98.00 C  273,958   +6,419    98.00 P  495,708 -11,925

DEC19 2Y-MIDC    98.25 C  148,204     UNCH    97.62 P  167,153 -12,070

DEC20 3Y-MIDC    97.87 C   75,541     UNCH    97.75 P  114,925  -6,225

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

JAN18 10Y NOTE  124.50 C   48,386     -760   124.50 P   50,205  -2,727

JAN18 10Y NOTE  125.00 C   96,514      +45   125.00 P   28,888     +23

MAR18 10Y NOTE  124.50 C   24,517      -38   124.50 P   29,800    -619

MAR18 10Y NOTE  125.00 C   25,815      +20   125.00 P   20,216    UNCH

JAN18 5Y NOTE   116.75 C   21,469   +1,843   116.75 P    9,774     -18

JAN18 5Y NOTE   117.00 C   30,574   -2,119   117.00 P    8,297    UNCH

MAR18 5Y NOTE   116.75 C    4,395     UNCH   116.75 P    4,487    UNCH

MAR18 5Y NOTE   117.00 C    4,675     +132   117.00 P    3,255    UNCH

JAN18 2Y NOTE   107.00 C        0     UNCH   107.00 P    2,286      +1

JAN18 2Y NOTE   107.12 C    1,127     +277   107.12 P    1,912     -20

MAR18 2Y NOTE   107.00 C      232     UNCH   107.00 P   61,505    +136

MAR18 2Y NOTE   107.12 C      831      +25   107.12 P   162160  +6,065

DEC17 EURODLR    98.50 C  460,588   -2,527    98.50 P  487,298  -2,957

DEC17 EURODLR    98.62 C  740,638     UNCH    98.62 P  210,686    UNCH

JAN18 EURODLR    98.50 C  148,212  -10,000    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  253,681     +100    98.12 P  271,691  -1,016

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

DEC19 2Y-MIDC    97.87 C  121,632     UNCH    97.87 P  109,552 -12,446

DEC19 2Y-MIDC    98.00 C  143,134     UNCH    98.00 P  165,904 -16,475

DEC20 3Y-MIDC    97.75 C   66,832   -8,768    97.75 P  114,925  -6,225

DEC20 3Y-MIDC    97.87 C   75,541     UNCH    97.87 P   70,656  -5,209

PUT/CALL RATIO FOR VOLUME CLEARED:

JAN18 10Y NOTE PUT/CALL RATIO   -- 0.94 (133,586 PUTS VS. 141,663 CALLS)

MAR18 10Y NOTE PUT/CALL RATIO   -- 0.74 (43,094 PUTS VS. 58,180 CALLS)

JAN18 5Y NOTE PUT/CALL RATIO    -- 0.69 (27,165 PUTS VS. 41,978 CALLS)

MAR18 5Y NOTE PUT/CALL RATIO    -- 0.56 (23,525 PUTS VS. 41,476 CALLS)

JAN18 2Y NOTE PUT/CALL RATIO    -- 0.45 (875 PUTS VS. 1,914 CALLS)

MAR18 2Y NOTE PUT/CALL RATIO    -- 22.4 (11,233 PUTS VS. 525 CALLS)

DEC17 EURODLRS PUT/CALL RATIO   -- 26.7 (197,964 PUTS VS. 7,418 CALLS)

JAN18 EURODLRS PUT/CALL RATIO   -- 0.12 (12,308 PUTS VS. 98,631 CALLS)

DEC18 1Y-MIDCRVE PUT/CALL RATIO -- 16.8 (288,675 PUTS VS. 17,126 CALLS)

DEC19 2Y-MIDCRVE PUT/CALL RATIO -- 19.3 (173,958 PUTS VS. 9,000 CALLS)

DEC20 3Y-MIDCRVE PUT/CALL RATIO -- 17.2 (80,849 PUTS VS. 4,710 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

Thu 3:00     37.19    46.60    48.18    52.04    63.53    69.76

1:45         37.19    46.68    48.18    52.04    63.77    70.08

12:30        37.17    46.81    48.15    51.99    63.85    70.11

11:00        37.19    46.81    48.04    52.04    64.09    70.29

9:45         37.19    47.06    48.04    52.04    64.17    70.32

Thu Open     37.31    47.65    48.38    52.40    64.26    70.34

Wed 3:00     38.05    48.55    48.72    52.90    64.32    70.51

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

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

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