US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR DEC 3

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

            USF     USH    TYF    TYH    FVF    FVH     EDZ      EDF

MON 3:00   6.29%  6.58%   3.48%  3.60%  2.23%  2.31%   12.56%   10.67%

MON OPEN   6.40%  6.63%   3.60%  3.66%  2.33%  2.38%   11.62%   10.64% 

FRI 3:00    N/A   7.59%    N/A   4.09%   N/A   2.68%   10.14%    N/A

FRI OPEN    N/A   7.56%    N/A   3.97%   N/A   2.61%   10.54%    N/A

THU 3:00    N/A   7.54%    N/A   3.99%   N/A   2.63%   10.78%    N/A

THU OPEN    N/A   7.57%    N/A   4.05%   N/A   2.64%   10.32%    N/A

     LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

JAN18 10Y NOTE  120.00 C  185,301   +3,031   117.50 P  100,525    -935

MAR19 10Y NOTE  126.00 C   30,554     UNCH   106.50 P   97,661  +1,400

JAN18 5Y NOTE   113.00 C   72,688   +6,836   111.75 P   93,189    -100

MAR19 5Y NOTE   114.50 C   12,538      -35   103.75 P  282,852    UNCH

JAN18 2Y NOTE   105.50 C   19,015     UNCH   105.12 P   11,713      -2

MAR19 2Y NOTE   108.25 C    2,253     +360   103.87 P    6,500    UNCH

DEC18 EURODLR    97.62 C  488,048     UNCH    97.25 P  490,993    -170

JAN18 EURODLR    97.25 C  145,903     UNCH    97.12 P   92,284  +1,425

DEC19 1Y-MIDC    97.00 C  362,234  -91,114    96.75 P  486,584  -7,892

DEC20 2Y-MIDC    97.00 C  275,522      +26    96.62 P  319,645  +1,135

DEC21 3Y-MIDC    97.12 C   83,415   +1,732    96.50 P  155,604    UNCH

     NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

JAN18 10Y NOTE  120.00 C  185,301   +3,031   120.00 P      849      +3

JAN18 10Y NOTE  120.50 C   58,152     +482   120.50 P      169    UNCH

MAR19 10Y NOTE  120.00 C   12,786     -861   120.00 P      146    UNCH

MAR19 10Y NOTE  120.50 C   17,435      +36   120.50 P      230     +50

JAN18 5Y NOTE   113.50 C   50,068  +10,464   113.50 P        8    UNCH

JAN18 5Y NOTE   113.75 C   19,841     +144   113.75 P       11      +2

MAR19 5Y NOTE   113.50 C   10,899     +506   113.50 P        9      -1

MAR19 5Y NOTE   113.75 C    3,798     UNCH   113.75 P        4    UNCH

JAN18 2Y NOTE   105.62 C    1,509       +2   105.62 P        0    UNCH

JAN18 2Y NOTE   105.75 C   14,872     UNCH   105.75 P      152    UNCH

MAR19 2Y NOTE   105.62 C        9     UNCH   105.62 P        0    UNCH

MAR19 2Y NOTE   105.75 C      599      +58   105.75 P       14    UNCH

DEC18 EURODLR    97.50 C  411,269     -174    97.50 P  325,720    -217

DEC18 EURODLR    97.62 C  488,048     UNCH    97.62 P  184,130    UNCH

JAN18 EURODLR    97.37 C  129,131     +250    97.12 P   92,284  +1,425

JAN18 EURODLR    97.50 C   46,314     -346    97.25 P   10,360    UNCH 

DEC19 1Y-MIDC    97.12 C  259,131   -5,156    97.12 P  111,244    UNCH

DEC19 1Y-MIDC    97.25 C  288,120     +220    97.25 P   84,338    UNCH

DEC20 2Y-MIDC    97.00 C  275,522      +26    97.00 P  226,323    +151

DEC20 2Y-MIDC    97.12 C  114,398   -2,655    97.12 P   42,447     +60  

DEC21 3Y-MIDC    96.87 C   62,531     UNCH    96.87 P   53,669  -4,937

DEC21 3Y-MIDC    97.00 C   73,462   -1,452    97.00 P  107,439  +2,415

     PUT/CALL RATIO FOR VOLUME CLEARED:

JAN18 10Y NOTE PUT/CALL RATIO  -- 1.80 (103,171 PUTS VS. 57,244 CALLS)

MAR19 10Y NOTE PUT/CALL RATIO  -- 2.18 (37,987 PUTS VS. 17,444 CALLS)

JAN18 5Y NOTE PUT/CALL RATIO   -- 0.65 (32,122 PUTS VS. 49,316 CALLS)

MAR19 5Y NOTE PUT/CALL RATIO   -- 3.02 (24,598 PUTS VS. 8,156 CALLS)

JAN18 2Y NOTE PUT/CALL RATIO   -- 1.49 (152 PUTS VS. 102 CALLS)

MAR19 2Y NOTE PUT/CALL RATIO   -- 0.15 (63 PUTS VS. 430 CALLS)

DEC18 EURODLRS PUT/CALL RATIO  -- 15.1 (39,287 PUTS VS. 2,608 CALLS)

JAN18 EURODLRS PUT/CALL RATIO  -- 0.55 (2,000 PUTS VS. 3,620 CALLS)

DEC19 1Y-MIDCRVE PUT/CALL RATIO-- 0.24 (44,500 PUTS VS. 184,900 CALLS)

DEC20 2Y-MIDCRVE PUT/CALL RATIO-- 1.39 (12,150 PUTS VS. 8,750 CALLS)

DEC21 3Y-MIDCRVE PUT/CALL RATIO-- 0.67 (17,950 PUTS VS. 26,650 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

MON 3:00    51.40   52.67    57.87   57.41    69.30     77.01

MON OPEN    52.02   53.29    58.52   58.10    69.74     77.46

FRI 3:00    51.66   58.85    59.43   60.22    70.79     77.22

FRI OPEN    49.91   58.50    59.09   60.19    70.63     76.97

THU 3:00    49.89   57.60    59.50   60.28    70.70     77.04

THU OPEN    48.47   56.91    58.37   59.52    70.49     76.88

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

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