US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR NOV 1

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

            USZ    USF     TYZ    TYF     FVZ    TUF     EDX     EDZ

1:45       7.45%  7.21%   3.62%  3.84%   2.26%  2.35%   13.05%  14.23%

12:30      7.35%  7.69%   3.77%  3.89%   2.19%  2.33%    N/A    13.04%

10:30      7.25%  7.52%   3.66%  3.80%   2.26%  2.64%    N/A    13.62%

WED OPEN   7.49%  7.58%   3.85%  4.08%   2.29%  2.34%   12.84%  13.60%

TUE 3:00   7.52%  7.75%   3.80%  4.07%   2.27%  2.31%   10.58%  13.10%

TUE OPEN   7.59%  8.00%   3.83%  3.87%   2.30%  2.39%   11.76%  13.10%

MON 3:00   7.61%  7.98%   3.86%  3.90%   2.30%  2.46%   11.63%  13.05%

MON OPEN   7.67%  7:45%   3.86%  3.96%   2.46%  2.88%   12.20%  13.62%

FRI 3:00   7.44%   N/A    3.86%   N/A    2.45%   N/A    10.40%  13.20%

FRI OPEN   8.01%   N/A    4.22%   N/A    2.65%   N/A    10.53%  13.12%

THU 3:00   8.09%   N/A    4.18%   N/A    2.63%   N/A    11.25%  13.96%

THU OPEN   8.22%   N/A    4.22%   N/A    2.72%   N/A    10.15%  13.75%

WED 3:00   8.20%   N/A    4.29%   N/A    2.69%   N/A    10.75%  13.99%

WED OPEN   8.16%   N/A    4.32%   N/A    2.73%   N/A    11.30%  13.96%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

DEC17 10Y NOTE  126.50 C  183,399   +1,122   124.50 P  196,072  -2,732

JAN18 10Y NOTE  125.50 C   19,825      +58   123.00 P   24,516  +3,173

DEC17 5Y NOTE   118.00 C   49,638   +1,561   112.25 P  104,983    UNCH

JAN18 5Y NOTE   118.00 C   10,052     UNCH   116.00 P   10,052    UNCH

NOV17 EURODLR    98.62 C  125,854     UNCH    98.50 P  113,911    +550

DEC17 EURODLR    98.62 C  684,272   +1,971    98.37 P1,079,987  -1,535

DEC18 1Y-MIDC    98.50 C  278,378   +7,792    98.00 P  641,418  +8,765

DEC19 2Y-MIDC    98.25 C  120,602     -200    97.75 P  325,312    +115

DEC20 3Y-MIDC    97.87 C   80,582   +3,000    97.50 P  119,612  -1,505

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

DEC17 10Y NOTE  124.50 C   45,303     -477   124.50 P  196,072  -2,732

DEC17 10Y NOTE  125.00 C   50,278   +1,883   125.00 P   65,828  +1,890

JAN18 10Y NOTE  124.00 C    8,448     UNCH   124.00 P   21,749    +377

JAN18 10Y NOTE  124.50 C   11,577   -2,297   124.50 P   15,143    -984

DEC17 5Y NOTE   117.00 C   29,920   +4,407   117.00 P   50,301    -667

DEC17 5Y NOTE   117.25 C   33,476   +1,017   117.25 P   22,616  +2,781

JAN18 5Y NOTE   116.75 C      307     UNCH   116.75 P    1,622    UNCH

JAN18 5Y NOTE   117.00 C      612      +93   117.00 P      572    UNCH

NOV17 EURODLR    98.50 C   60,063   +1,114    98.50 P  113,911    +550

NOV17 EURODLR    98.62 C  125,854     UNCH    98.62 P   13,100    UNCH

DEC17 EURODLR    98.50 C  419,088   +2,673    98.50 P  538,982    -595

DEC17 EURODLR    98.62 C  684,272   +1,971    98.62 P  221,264    UNCH

DEC18 1Y-MIDC    98.12 C  156,541   -4,966    98.12 P  318,816    -721

DEC18 1Y-MIDC    98.25 C  216,731     -706    98.25 P  192,539     +55

DEC19 2Y-MIDC    97.87 C   83,046     UNCH    97.88 P  171,866    UNCH

DEC19 2Y-MIDC    98.00 C  114,446   -2,388    98.00 P  216,185    UNCH

DEC20 3Y-MIDC    97.75 C   60,571     UNCH    97.75 P  108,744    UNCH

DEC20 3Y-MIDC    97.87 C   80,582   +3,000    97.87 P   85,615    UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

DEC17 10Y NOTE PUT/CALL RATIO -- 0.59 (125,052 PUTS VS. 209,822 CALLS)

JAN18 10Y NOTE PUT/CALL RATIO -- 1.54 (31,641 PUTS VS. 20,536 CALLS)

DEC17 5Y NOTE PUT/CALL RATIO  -- 1.97 (56,926 PUTS VS. 28,884 CALLS)

JAN18 5Y NOTE PUT/CALL RATIO  -- 0.72 (3,498 PUTS VS. 4,818 CALLS)

NOV17 EURODLRS PUT/CALL RATIO -- 0.64 (5,575 PUTS VS. 8,500 CALLS)

DEC17 EURODLRS PUT/CALL RATIO -- 0.82 (12,420 PUTS VS. 15,105 CALLS)

DEC18 1Y-MIDCRVE PUT/CALL RATIO -- 0.78 (40,386 PUTS VS. 51,802 CALLS)

DEC19 2Y-MIDCRVE PUT/CALL RATIO -- 0.04 (1,020 PUTS VS. 24,000 CALLS)

DEC20 3Y-MIDCRVE PUT/CALL RATIO -- 0.82 (4,144 PUTS VS. 5,000 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

1:45         41.72    55.62    56.21    59.73    73.48    77.60

12:30        41.72    55.87    56.21    59.73    73.48    77.60

10:30        41.89    57.09    57.05    60.73    73.63    77.85

Wed Open     41.77    57.23    57.07    60.74    73.71    77.95

Tue 3:00     42.05    57.42    57.43    60.86    73.79    78.07

Tue Open     43.19    58.00    58.26    61.52    73.83    78.14

Mon 3:00     43.45    58.00    58.43    61.74    73.86    78.13

Mon Open     44.14    58.94    59.19    62.16    73.99    78.14

Fri 3:00     44.08    57.72    59.18    61.58    73.96    78.35

Fri Open     45.97    63.57    62.99    65.16    74.74    78.65

Thu 3:00     45.69    62.91    62.33    64.70    74.38    78.22

Thu Open     45.22    63.00    61.99    64.14    73.87    78.01

Wed 3:00     44.90    62.65    61.83    64.01    73.79    78.14

Wed Open     45.22    63.27    61.52    63.27    72.71    77.67

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

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