US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR DEC 8

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

            USF    USH     TYF    TYH     FVF    TUH     EDZ     EDF

FRI 3:00   7.39%  7.44%   3.55%  3.52%   2.17%  2.14%   12.30%  12.56%

1:30       7.45%  7.49%   3.53%  3.54%   2.18%  2.19%   12.90%  12.56%

11:45      7.43%  7.46%   3.52%  3.54%   2.28%  2.17%   12.80%  13.53%

10:15      7.54%  7.49%   3.57%  3.60%   2.26%  2.20%   12.31%  13.40%

9:00       7.65%  7.51%   3.74%  3.64%   2.26%  2.21%   13.13%  13.20%

FRI OPEN   7.77%  7.51%   3.90%  3.63%   2.39%  2.24%   13.78%  13.25%

THU 3:00   7.45%  7.49%   3.74%  3.58%   2.33%  2.24%   14.25%   N/A

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

JAN18 10Y NOTE  125.00 C   91,317   +7,339   124.00 P  154,084    +660

MAR18 10Y NOTE  125.00 C   25,780       -3   114.00 P  109,459      +4

JAN18 5Y NOTE   117.00 C   32,769      -38   116.00 P   28,383     +31

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

JAN18 2Y NOTE   107.50 C    8,970      +70   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 P1,062,330 -17,049

JAN18 EURODLR    98.62 C  245,189     UNCH    98.25 P  267,989    +500

DEC18 1Y-MIDC    98.50 C  276,378     UNCH    98.00 P  559,908  -9,250

DEC19 2Y-MIDC    98.25 C  148,204     UNCH    97.75 P  225,189  -5,341

DEC20 3Y-MIDC    97.75 C   78,874   +1,716    97.75 P  124,665  -3,900

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

JAN18 10Y NOTE  124.50 C   47,224     +111   124.50 P   51,247    -474

JAN18 10Y NOTE  125.00 C   91,317   +7,339   125.00 P   29,263    +273

MAR18 10Y NOTE  124.50 C   20,226     +544   124.50 P   27,776    +924

MAR18 10Y NOTE  125.00 C   25,780       -3   125.00 P   19,983     +81

JAN18 5Y NOTE   116.75 C   19,557     +100   116.75 P    6,623    UNCH

JAN18 5Y NOTE   117.00 C   32,769      -38   117.00 P    8,297    UNCH

MAR18 5Y NOTE   116.75 C    2,700      +30   116.75 P    4,510    UNCH

MAR18 5Y NOTE   117.00 C    4,348     +346   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    UNCH

MAR18 2Y NOTE   107.00 C        0     UNCH   107.00 P   51,431     +19

MAR18 2Y NOTE   107.12 C      443     UNCH   107.12 P   10,649     +94

DEC17 EURODLR    98.50 C  464,064  -10,084    98.50 P  500,173  -1,499

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

JAN18 EURODLR    98.50 C  159,092     UNCH    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  253,581  -10,028    98.12 P  280,286    UNCH

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

DEC19 2Y-MIDC    97.87 C  121,558     UNCH    97.88 P  126,298  -3,574

DEC19 2Y-MIDC    98.00 C  143,134   -2,836    98.00 P  186,879  -5,300

DEC20 3Y-MIDC    97.75 C   78,874   +1,716    97.75 P  124,665  -3,900

DEC20 3Y-MIDC    97.87 C   75,827     UNCH    97.87 P   79,365  -5,825

PUT/CALL RATIO FOR VOLUME CLEARED:

JAN18 10Y NOTE PUT/CALL RATIO   -- 1.03 (85,900 PUTS VS. 82,999 CALLS)

MAR18 10Y NOTE PUT/CALL RATIO   -- 1.86 (35,808 PUTS VS. 19,244 CALLS)

JAN18 5Y NOTE PUT/CALL RATIO    -- 0.32 (4,850 PUTS VS. 15,154 CALLS)

MAR18 5Y NOTE PUT/CALL RATIO    -- 1.03 (3,200 PUTS VS. 3,157 CALLS)

JAN18 2Y NOTE PUT/CALL RATIO    -- 0.00 (0 PUTS VS. 70 CALLS)

MAR18 2Y NOTE PUT/CALL RATIO    -- 78.5 (157 PUTS VS. 2 CALLS)

DEC17 EURODLRS PUT/CALL RATIO   -- 2.37 (80,632 PUTS VS. 34,000 CALLS)

JAN18 EURODLRS PUT/CALL RATIO   -- 2.79 (14,843 PUTS VS. 5,300 CALLS)

DEC18 1Y-MIDCRVE PUT/CALL RATIO -- 1.81 (50,357 PUTS VS. 27,750 CALLS)

DEC19 2Y-MIDCRVE PUT/CALL RATIO -- 18.6 (39,128 PUTS VS. 2,100 CALLS)

DEC20 3Y-MIDCRVE PUT/CALL RATIO -- 0.77 (2,701 PUTS VS. 3,500 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

Fri 3:00     38.08    50.27    50.47    54.57    65.87    71.70

1:30         38.10    50.78    50.56    54.68    65.90    71.70

11:45        38.43    50.78    50.58    54.74    66.00    72.11

10:15        38.54    51.54    50.79    54.95    66.07    72.14

9:00         38.70    52.34    51.04    55.32    66.07    72.16

Fri Open     39.05    52.35    51.21    55.40    66.14    72.06

Thu 3:00     38.77    52.21    50.97    55.11    66.12    72.03

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

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

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