US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR DEC 5

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

            USF    USH     TYF    TYH     FVF    TUH     EDZ     EDF

1:15       7.97%  7.45%   3.87%  3.62%   2.24%  2.22%   14.60%  12.70%

11:30      7.91%  7.40%   3.85%  3.63%   2.27%  2.22%   14.40%  12.30%

9:45       7.90%  7.41%   3.84%  3.63%   2.29%  2.20%   15.25%  12.35%

TUE OPEN   7.88%  7.42%   3.84%  3.64%   2.33%  2.20%   15.98%  12.50%

MON 3:00   7.88%  7.42%   3.91%  3.68%   2.43%  2.26%   15.96%  12.07%

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

JAN18 10Y NOTE  125.00 C   84,072  +20,890   124.00 P  153,478  -3,745

MAR18 10Y NOTE  127.00 C   25,897   -1,572   114.00 P  108,955    +527

JAN18 5Y NOTE   117.00 C   32,972     +127   116.25 P   27,088  +2,059

MAR18 5Y NOTE   117.25 C   11,944     +128   108.50 P  140,106    UNCH

JAN18 2Y NOTE   107.50 C    8,900     UNCH   107.00 P    2,300     +10

MAR18 2Y NOTE   107.50 C   20,001     UNCH   107.00 P   51,359 +20,010

DEC17 EURODLR    98.75 C  743,367     UNCH    98.37 P1,075,329     -30

JAN18 EURODLR    98.62 C  245,189     UNCH    98.25 P  341,763 -54,494

DEC18 1Y-MIDC    98.50 C  276,378     UNCH    98.00 P  584,408 -15,141

DEC19 2Y-MIDC    98.25 C  148,204     UNCH    97.75 P  257,882  -8,753

DEC20 3Y-MIDC    97.75 C   79,428   +5,363    97.75 P  128,565    UNCH

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

JAN18 10Y NOTE  124.50 C   48,830   +7,041   124.50 P   56,795  -1,072

JAN18 10Y NOTE  125.00 C   84,072  +20,890   125.00 P   29,396  +1,162

MAR18 10Y NOTE  124.50 C   19,251     -917   124.50 P   25,286    -102

MAR18 10Y NOTE  125.00 C   25,855      -58   125.00 P   20,077      -2

JAN18 5Y NOTE   116.75 C   19,989   +4,733   116.75 P    6,867     -58

JAN18 5Y NOTE   117.00 C   32,972     +127   117.00 P    8,297    UNCH

MAR18 5Y NOTE   116.75 C    2,686     UNCH   116.75 P    4,510      -1

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

JAN18 2Y NOTE   107.00 C        0     UNCH   107.00 P    2,300     +10

JAN18 2Y NOTE   107.12 C      212      -13   107.12 P    1,588    +131

MAR18 2Y NOTE   107.00 C        0     UNCH   107.00 P   51,359 +20,010

MAR18 2Y NOTE   107.12 C      226     +225   107.12 P   30,716  +9,459

DEC17 EURODLR    98.50 C  477,412   +6,084    98.50 P  494,861  -1,021

DEC17 EURODLR    98.62 C  741,638   -4,000    98.62 P  210,686    UNCH

JAN18 EURODLR    98.50 C  153,392   +7,321    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     UNCH    98.12 P  280,486    -350

DEC18 1Y-MIDC    98.25 C  260,813     UNCH    98.25 P  169,630    UNCH

DEC19 2Y-MIDC    97.87 C  140,863   +1,051    97.88 P  153,506  -8,000

DEC19 2Y-MIDC    98.00 C  146,270   -4,062    98.00 P  192,179    UNCH

DEC20 3Y-MIDC    97.75 C   79,428   +5,363    97.75 P  128,565    UNCH

DEC20 3Y-MIDC    97.87 C   76,327   -2,700    97.87 P   85,190    UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

JAN18 10Y NOTE PUT/CALL RATIO -- 0.44 (69,739 PUTS VS. 160,960 CALLS)

MAR18 10Y NOTE PUT/CALL RATIO -- 0.68 (13,489 PUTS VS. 19,737 CALLS)

JAN18 5Y NOTE PUT/CALL RATIO  -- 0.69 (9,997 PUTS VS. 14,339 CALLS)

MAR18 5Y NOTE PUT/CALL RATIO  -- 1.84 (7,190 PUTS VS. 3,971 CALLS)

JAN18 2Y NOTE PUT/CALL RATIO -- 0.54 (169 PUTS VS. 309 CALLS)

MAR18 2Y NOTE PUT/CALL RATIO -- 51.1 (40,553 PUTS VS. 794 CALLS)

DEC17 EURODLRS PUT/CALL RATIO -- 0.06 (2,165 PUTS VS. 31,500 CALLS)

JAN18 EURODLRS PUT/CALL RATIO -- 0.87 (85,894 PUTS VS. 98,518 CALLS)

DEC18 1Y-MIDCRVE PUT/CALL RATIO -- 3.76 (91,161 PUTS VS. 24,250 CALLS)

DEC19 2Y-MIDCRVE PUT/CALL RATIO -- 1.43 (78,663 PUTS VS. 54,600 CALLS)

DEC20 3Y-MIDCRVE PUT/CALL RATIO -- 0.99 (29,231 PUTS VS. 29,475 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

1:15         38.68    54.41    51.13    55.43    67.64    73.28

11:30        38.71    54.57    51.10    55.49    67.78    73.39

9:45         38.71    54.57    51.13    55.50    67.84    73.51

Tue Open     38.71    54.57    51.17    55.53    67.99    73.83

Mon 3:00     38.25    53.90    51.10    55.76    67.62    73.76

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

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

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