US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR DEC 7

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

            USF    USH     TYF    TYH     FVF    TUH     EDZ     EDF

9:30       7.60%  7.48%   3.85%  3.65%   2.30%  2.23%   13.55%  12.48%

THU OPEN   7.47%  7.38%   3.77%  3.61%   2.30%  2.23%   13.50%  13.50%

WED 3:00   7.53%  7.40%   3.75%  3.63%   2.31%  2.26%   13.70%  13.47%

WED OPEN   7.81%  7.38%   3.95%  3.66%   2.37%  2.26%   15.03%  12.65%

TUE 3:00   7.85%  7.39%   3.94%  3.66%   2.38%  2.22%   14.63%  12.44%

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

JAN18 10Y NOTE  125.00 C   83,978   +1,470   124.00 P  154,691  +1,213

MAR18 10Y NOTE  127.00 C   26,273     +516   114.00 P  108,955    UNCH

JAN18 5Y NOTE   117.00 C   33,030      +58   116.00 P   28,093  +2,242

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

JAN18 2Y NOTE   107.50 C    8,900     UNCH   107.00 P    2,320     +20

MAR18 2Y NOTE   107.50 C   20,002       +1   107.00 P   51,394     +35

DEC17 EURODLR    98.75 C  743,367     UNCH    98.37 P1,072,225  -3,104

JAN18 EURODLR    98.62 C  245,189     UNCH    98.25 P  272,695 -69,068

DEC18 1Y-MIDC    98.50 C  276,378     UNCH    98.00 P  572,408 -12,000

DEC19 2Y-MIDC    98.25 C  148,204     UNCH    97.75 P  238,259 -19,623

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

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

JAN18 10Y NOTE  124.50 C   47,113     +519   124.50 P   54,351  -2,444

JAN18 10Y NOTE  125.00 C   83,978   +1,470   125.00 P   29,064    -332

MAR18 10Y NOTE  124.50 C   19,682     +406   124.50 P   25,036    -250

MAR18 10Y NOTE  125.00 C   25,783      -69   125.00 P   20,052     -25

JAN18 5Y NOTE   116.75 C   19,174     -815   116.75 P    6,638    -229

JAN18 5Y NOTE   117.00 C   33,030      +58   117.00 P    8,297    UNCH

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

MAR18 5Y NOTE   117.00 C    4,002       +1   117.00 P    3,255    UNCH

JAN18 2Y NOTE   107.00 C        0     UNCH   107.00 P    2,320     +20

JAN18 2Y NOTE   107.12 C      212     UNCH   107.12 P    1,936    +348

MAR18 2Y NOTE   107.00 C        0     UNCH   107.00 P   51,394     +35

MAR18 2Y NOTE   107.12 C      226     +225   107.12 P   10,656     -60

DEC17 EURODLR    98.50 C  480,419   +3,007    98.50 P  493,612  -1,249

DEC17 EURODLR    98.62 C  741,638     UNCH    98.62 P  210,686    UNCH

JAN18 EURODLR    98.50 C  156,092   +2,700    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  262,109     +836    98.12 P  280,386    -100

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

DEC19 2Y-MIDC    97.87 C  136,736   -4,127    97.88 P  145,406  -8,100

DEC19 2Y-MIDC    98.00 C  145,770     -500    98.00 P  192,179    UNCH

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

DEC20 3Y-MIDC    97.87 C   75,827     -500    97.87 P   85,190    UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

JAN18 10Y NOTE PUT/CALL RATIO -- 1.14 (67,186 PUTS VS. 51,240 CALLS)

MAR18 10Y NOTE PUT/CALL RATIO -- 3.47 (14,584 PUTS VS. 17,353 CALLS)

JAN18 5Y NOTE PUT/CALL RATIO  -- 2.59 (16,578 PUTS VS. 6,464 CALLS)

MAR18 5Y NOTE PUT/CALL RATIO  -- 0.99 (1,339 PUTS VS. 1,391 CALLS)

JAN18 2Y NOTE PUT/CALL RATIO -- 0.11 (486 PUTS VS. 4,458 CALLS)

MAR18 2Y NOTE PUT/CALL RATIO -- 0.11 (144 PUTS VS. 1,258 CALLS)

DEC17 EURODLRS PUT/CALL RATIO -- 0.42 (13,830 PUTS VS. 32,923 CALLS)

JAN18 EURODLRS PUT/CALL RATIO -- 8.55 (216,875 PUTS VS. 25,550 CALLS)

DEC18 1Y-MIDCRVE PUT/CALL RATIO -- 8.75 (127,067 PUTS VS. 14,500 CALLS)

DEC19 2Y-MIDCRVE PUT/CALL RATIO -- 1.26 (40,650 PUTS VS. 32,150 CALLS)

DEC20 3Y-MIDCRVE PUT/CALL RATIO -- 4.86 (17,518 PUTS VS. 3,675 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

9:30         38.89    52.73    50.95    55.07    66.32    72.10

Thu Open     38.98    52.87    51.03    55.17    66.42    72.45

Wed 3:00     38.89    53.37    51.14    55.48    66.91    72.56

Wed Open     38.98    53.62    51.16    55.45    67.16    72.90

Tue 3:00     38.94    54.26    51.18    55.50    67.40    73.24

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

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

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