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

12:30      7.37%  7.39%   3.61%  3.58%   2.29%  2.31%   13.59%   N/A

11:15      7.48%  7.44%   3.77%  3.58%   2.30%  2.19%   13.58%  11.97%

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  153,424  -1,267

MAR18 10Y NOTE  127.00 C   26,273     +516   114.00 P  109,455    +500

JAN18 5Y NOTE   117.00 C   32,807     -223   116.00 P   28,352    +259

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    UNCH

MAR18 2Y NOTE   107.50 C   20,002     UNCH   107.00 P   51,412     +18

DEC17 EURODLR    98.75 C  743,367     UNCH    98.37 P1,079,379  +7,154

JAN18 EURODLR    98.62 C  245,189     UNCH    98.25 P  267,489  -5,206

DEC18 1Y-MIDC    98.50 C  276,378     UNCH    98.00 P  569,158  -3,250

DEC19 2Y-MIDC    98.25 C  148,204     UNCH    97.75 P  230,530  -7,729

DEC20 3Y-MIDC    97.75 C   77,158     +480    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   51,721  -2,630

JAN18 10Y NOTE  125.00 C   83,978   +1,470   125.00 P   28,990     -74

MAR18 10Y NOTE  124.50 C   19,682     +406   124.50 P   26,852  +1,816

MAR18 10Y NOTE  125.00 C   25,783      -69   125.00 P   19,902    -150

JAN18 5Y NOTE   116.75 C   19,457     +283   116.75 P    6,623     -15

JAN18 5Y NOTE   117.00 C   32,807     -223   117.00 P    8,297    UNCH

MAR18 5Y NOTE   116.75 C    2,670      -16   116.75 P    4,510    UNCH

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

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

JAN18 2Y NOTE   107.12 C      563     UNCH   107.12 P    1,965     +29

MAR18 2Y NOTE   107.00 C        0     UNCH   107.00 P   51,412     +18

MAR18 2Y NOTE   107.12 C      443     +207   107.12 P   10,555    -101

DEC17 EURODLR    98.50 C  474,148   -6,271    98.50 P  501,672  +8,060

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

JAN18 EURODLR    98.50 C  159,092   +3,000    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  263,609   +1,500    98.12 P  280,286    -100

DEC18 1Y-MIDC    98.25 C  259,813   -1,000    98.25 P  169,630    UNCH

DEC19 2Y-MIDC    97.87 C  121,558  -15,178    97.88 P  129,872 -15,534

DEC19 2Y-MIDC    98.00 C  145,970     +200    98.00 P  192,179    UNCH

DEC20 3Y-MIDC    97.75 C   77,158     +480    97.75 P  128,565    UNCH

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

PUT/CALL RATIO FOR VOLUME CLEARED:

JAN18 10Y NOTE PUT/CALL RATIO -- 1.71 (87,698 PUTS VS. 51,240 CALLS)

MAR18 10Y NOTE PUT/CALL RATIO -- 1.83 (31,783 PUTS VS. 17,353 CALLS)

JAN18 5Y NOTE PUT/CALL RATIO  -- 0.29 (8,438 PUTS VS. 28,489 CALLS)

MAR18 5Y NOTE PUT/CALL RATIO  -- 0.42 (3,770 PUTS VS. 8,757 CALLS)

JAN18 2Y NOTE PUT/CALL RATIO -- 0.01 (29 PUTS VS. 2,028 CALLS)

MAR18 2Y NOTE PUT/CALL RATIO -- 0.76 (1,334 PUTS VS. 1,696 CALLS)

DEC17 EURODLRS PUT/CALL RATIO -- 0.88 (43,907 PUTS VS. 49,614 CALLS)

JAN18 EURODLRS PUT/CALL RATIO -- 1.29 (20,506 PUTS VS. 15,850 CALLS)

DEC18 1Y-MIDCRVE PUT/CALL RATIO -- 0.99 (21,118 PUTS VS. 21,350 CALLS)

DEC19 2Y-MIDCRVE PUT/CALL RATIO -- 1.30 (60,967 PUTS VS. 46,625 CALLS)

DEC20 3Y-MIDCRVE PUT/CALL RATIO -- 1.22 (2,701 PUTS VS. 2,200 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

12:30        38.89    52.33    50.99    55.14    66.11    72.02

11:15        38.99    52.66    51.04    55.15    66.17    72.02

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$]