US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR DEC 15

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

            USF    USH     TYF    TYH     FVF    TUH     EDZ     EDF

10:30      6.90%  7.28%   3.25%  3.43%   1.85%  2.10%    N/A    11.30%

FRI OPEN   7.02%  7.29%   3.21%  3.42%   1.80%  2.11%    N/A    10.80%

THU 3:00   6.89%  7.24%   3.28%  3.40%   1.84%  2.08%    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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

JAN18 10Y NOTE  125.00 C   99,938   +3,424   124.00 P  133,756 -22,804

MAR18 10Y NOTE  126.00 C   43,105   +3,020   114.00 P  110,162    UNCH

JAN18 5Y NOTE   117.00 C   30,732     +158   116.25 P   32,652    -877

MAR18 5Y NOTE   117.25 C   14,060     -338   108.50 P  140,106    UNCH

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

MAR18 2Y NOTE   107.38 C   20,276     UNCH   107.00 P   61,715    +210

DEC17 EURODLR    98.75 C  743,367     UNCH    98.37 P  879,000  +4,925

JAN18 EURODLR    98.62 C  245,189     UNCH    98.25 P  267,932  +4,475

DEC18 1Y-MIDC    98.00 C  273,958     UNCH    98.00 P  495,458    -250

DEC19 2Y-MIDC    98.25 C  148,204     UNCH    97.62 P  167,258    +105

DEC20 3Y-MIDC    97.87 C   75,541     UNCH    97.75 P  110,549  -4,376

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

JAN18 10Y NOTE  124.50 C   46,787   -1,599   124.50 P   49,011  -1,194

JAN18 10Y NOTE  125.00 C   99,938   +3,424   125.00 P   27,742  -1,146

MAR18 10Y NOTE  124.50 C   27,324   +2,807   124.50 P   31,307  +1,507

MAR18 10Y NOTE  125.00 C   26,375     +560   125.00 P   19,941    -275

JAN18 5Y NOTE   116.75 C   21,768     +299   116.75 P    9,774    UNCH

JAN18 5Y NOTE   117.00 C   30,732     +158   117.00 P    8,297    UNCH

MAR18 5Y NOTE   116.75 C    4,345      -50   116.75 P    4,487    UNCH

MAR18 5Y NOTE   117.00 C    7,302   +2,627   117.00 P    3,255    UNCH

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

JAN18 2Y NOTE   107.12 C    1,177      +50   107.12 P    1,912    UNCH

MAR18 2Y NOTE   107.00 C      231       -1   107.00 P   61,715    +210

MAR18 2Y NOTE   107.12 C      991     +160   107.12 P   17,227    +967

DEC17 EURODLR    98.50 C  460,588     UNCH    98.50 P  486,578    -720

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

JAN18 EURODLR    98.50 C  148,212     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  253,681     UNCH    98.12 P  271,691    UNCH

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  101,629  -7,923

DEC19 2Y-MIDC    98.00 C  143,134     UNCH    98.00 P  152,292 -13,612

DEC20 3Y-MIDC    97.75 C   69,365   +2,803    97.75 P  110,549  -4,376

DEC20 3Y-MIDC    97.87 C   75,541     UNCH    97.87 P   61,366  -9,290

PUT/CALL RATIO FOR VOLUME CLEARED:

JAN18 10Y NOTE PUT/CALL RATIO   -- 1.35 (103,614 PUTS VS. 76,318 CALLS)

MAR18 10Y NOTE PUT/CALL RATIO   -- 0.55 (26,329 PUTS VS. 47,150 CALLS)

JAN18 5Y NOTE PUT/CALL RATIO    -- 0.17 (7,067 PUTS VS. 39,645 CALLS)

MAR18 5Y NOTE PUT/CALL RATIO    -- 0.15 (1,677 PUTS VS. 10,179 CALLS)

JAN18 2Y NOTE PUT/CALL RATIO    -- 0.07 (50 PUTS VS. 668 CALLS)

MAR18 2Y NOTE PUT/CALL RATIO    -- 4.62 (3,711 PUTS VS. 767 CALLS)

DEC17 EURODLRS PUT/CALL RATIO   -- 17.9 (35,946 PUTS VS. 2,027 CALLS)

JAN18 EURODLRS PUT/CALL RATIO   -- 2.83 (28,304 PUTS VS. 10,004 CALLS)

DEC18 1Y-MIDCRVE PUT/CALL RATIO -- 53.4 (288,675 PUTS VS. 5,390 CALLS)

DEC19 2Y-MIDCRVE PUT/CALL RATIO -- 3.81 (52,583 PUTS VS. 13,833 CALLS)

DEC20 3Y-MIDCRVE PUT/CALL RATIO -- 10.0 (72,056 PUTS VS. 7,200 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

10:30        37.41    47.38    48.61    52.46    63.48    69.21

Fri Open     37.39    47.17    47.75    51.29    63.37    69.32

Thu 3:00     37.19    46.60    48.18    52.04    63.53    69.76

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

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

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