US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR DEC 4

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

            USF    USH     TYF    TYH     FVF    TUH     EDZ     EDF

1:00       7.91%  7.46%   3.95%  3.69%   2.38%  2.24%   16.05%  12.25%

11:15      7.91%  7.46%   3.95%  3.69%   2.38%  2.24%   16.95%  12.00%

9:30       7.88%  7.48%   3.86%  3.66%   2.32%  2.22%   16.70%  11.44%

MON OPEN   8.15%  7.56%   3.94%  3.68%   2.43%  2.23%   17.56%  12.58%

FRI 3:00   8.17%  7.68%   3.93%  3.71%   2.41%  2.27%   14.70%  12.25%

FRI OPEN   7.67%  7.42%   3.66%  3.66%   2.19%  2.20%   11.90%  11.44%

THU 3:00   7.46%  7.42%   3.64%  3.66%   2.21%  2.21%   12.75%  11.60%

THU OPEN   7.52%  7.33%   3.48%  3.59%   2.17%  2.16%   13.95%  12.12%

WED 3:00   7.24%  7.28%   3.39%  3.55%   2.05%  2.15%   12.89%  11.55%

WED NOON   7.18%  7.27%   3.41%  3.57%   2.13%  2.13%   13.85%  12.87%

TUE 3:00   6.99%  7.31%   3.37%  3.55%   2.05%  2.10%   15.53%  12.09%

TUE OPEN   7.09%  7.27%   3.26%  3.53%   2.00%  2.09%   16.70%  11.86%

MON 3:00   7.21%  7.34%   3.34%  3.55%   2.02%  2.11%   14.67%  12.71%

MON OPEN   7.19%  7.35%   3.47%  3.42%   2.09%  2.15%   16.70%  12.77%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

JAN18 10Y NOTE  125.50 C  103,306   +1,641   124.00 P  157,223  +1,225

MAR18 10Y NOTE  127.00 C   27,469      +72   114.00 P  108,428    UNCH

JAN18 5Y NOTE   117.00 C   32,845   +2,513   116.25 P   25,028    -851

MAR18 5Y NOTE   117.25 C   11,816     +225   108.50 P  140,106    UNCH

JAN18 2Y NOTE   107.50 C    8,900     UNCH   107.00 P    2,290    UNCH

MAR18 2Y NOTE   107.50 C   20,001   +4,000   107.00 P   31,349    UNCH

DEC17 EURODLR    98.62 C  745,638     UNCH    98.37 P1,075,359  -5,000

JAN18 EURODLR    98.62 C  245,189     UNCH    98.25 P  396,257  +1,250

DEC18 1Y-MIDC    98.50 C  276,378     UNCH    98.00 P  599,549 -10,505

DEC19 2Y-MIDC    98.00 C  150,332  +29,291    97.75 P  266,635 -12,851

DEC20 3Y-MIDC    97.87 C   79,027   +4,104    97.75 P  128,565     -45

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

JAN18 10Y NOTE  124.50 C   43,313   +5,908   124.50 P   57,867  +3,076

JAN18 10Y NOTE  125.00 C   63,182   +1,475   125.00 P   28,234    +143

MAR18 10Y NOTE  124.50 C   20,168     +215   124.50 P   25,388    +628

MAR18 10Y NOTE  125.00 C   25,913     +613   125.00 P   20,079    +406

JAN18 5Y NOTE   116.75 C   15,256     +980   116.75 P    6,925     -10

JAN18 5Y NOTE   117.00 C   32,845   +2,513   117.00 P    8,297    UNCH

MAR18 5Y NOTE   116.75 C    2,686      +67   116.75 P    4,511      -1

MAR18 5Y NOTE   117.00 C    4,001      +32   117.00 P    3,255    UNCH

JAN18 2Y NOTE   107.00 C        0     UNCH   107.00 P    2,290    UNCH

JAN18 2Y NOTE   107.12 C      225     UNCH   107.12 P    1,457      -8

MAR18 2Y NOTE   107.00 C        0     UNCH   107.00 P   31,349    UNCH

MAR18 2Y NOTE   107.12 C        1     UNCH   107.12 P   21,257  -1,184

DEC17 EURODLR    98.50 C  471,328     -485    98.50 P  495,882  -1,500

DEC17 EURODLR    98.62 C  745,638     UNCH    98.62 P  210,686    UNCH

JAN18 EURODLR    98.50 C  146,071   +3,850    98.50 P   18,353    UNCH

JAN18 EURODLR    98.62 C  245,189     UNCH    98.62 P        0    UNCH

DEC18 1Y-MIDC    98.12 C  261,273   +6,924    98.12 P  280,837     -50

DEC18 1Y-MIDC    98.25 C  260,813     -950    98.25 P  169,730    UNCH

DEC19 2Y-MIDC    97.87 C  139,812   -5,678    97.88 P  161,506  -1,350

DEC19 2Y-MIDC    98.00 C  150,332  +29,291    98.00 P  192,179     -50

DEC20 3Y-MIDC    97.75 C   74,065   -7,004    97.75 P  128,565     -45

DEC20 3Y-MIDC    97.87 C   79,027   +4,104    97.87 P   85,190    UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

JAN18 10Y NOTE PUT/CALL RATIO -- 1.46 (229,937 PUTS VS. 156,990 CALLS)

MAR18 10Y NOTE PUT/CALL RATIO -- 0.85 (46,332 PUTS VS. 54,347 CALLS)

JAN18 5Y NOTE PUT/CALL RATIO  -- 1.40 (21,751 PUTS VS. 15,508 CALLS)

MAR18 5Y NOTE PUT/CALL RATIO  -- 10.6 (22,333 PUTS VS. 2,178 CALLS)

JAN18 2Y NOTE PUT/CALL RATIO -- 1.18 (122 PUTS VS. 103 CALLS)

MAR18 2Y NOTE PUT/CALL RATIO -- 0.22 (3,392 PUTS VS. 15,071 CALLS)

DEC17 EURODLRS PUT/CALL RATIO -- 0.14 (4,850 PUTS VS. 32,155 CALLS)

JAN18 EURODLRS PUT/CALL RATIO -- 0.21 (21,330 PUTS VS. 101,414 CALLS)

DEC18 1Y-MIDCRVE PUT/CALL RATIO -- 1.53 (73,823 PUTS VS. 48,050 CALLS)

DEC19 2Y-MIDCRVE PUT/CALL RATIO -- 10.8 (116,475 PUTS VS. 10,750 CALLS)

DEC20 3Y-MIDCRVE PUT/CALL RATIO -- 13.9 (40,528 PUTS VS. 2,900 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

11:15        38.29    54.10    51.42    56.05    67.72    73.87

9:30         38.37    54.44    51.71    56.21    68.34    73.87

Mon Open     38.42    54.44    51.74    56.26    68.34    73.59

Fri 3:00     38.54    54.02    52.18    56.95    68.63    74.24

Fri Open     37.69    51.20    50.37    54.93    67.83    73.99

Thu 3:00     37.74    51.92    50.37    54.84    67.96    74.05

Thu Open     37.71    51.21    49.84    54.15    67.88    73.98

Wed 3:00     37.70    50.85    50.04    54.36    67.89    74.00

Wed Noon     37.74    50.92    50.06    54.42    67.91    74.01

Tue 3:00     37.48    50.36    49.14    53.25    67.61    74.03

Tue Open     37.82    50.79    49.56    53.50    68.03    74.28

Mon 3:00     37.95    51.04    50.19    54.08    68.22    74.35

Mon Open     38.24    51.50    50.41    54.21    68.35    74.42

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

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