US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR NOV 10

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

            USZ    USF     TYZ    TYF     FVZ    TUF     EDX     EDZ

FRI OPEN   6.91%  6.86%   3.47%  3.50%   2.09%  2.13%    N/A    13.47%

THU 3:00   6.65%  6.94%   3.40%  3.57%   1.90%  2.17%    N/A    12.49%

THU OPEN   6.84%  7.04%   3.34%  3.32%   1.96%  1.99%    N/A    12.56%

WED 3:00   6.49%  6.96%   3.04%  3.53%   1.84%  2.13%    N/A    12.46%

WED OPEN   6.70%  7.25%   3.30%  3.59%   1.89%  2.14%    N/A    12.46%

TUE 3:00   6.67%  6.89%   3.30%  3.56%   1.85%  2.09%    N/A    11.88%

TUE OPEN   6.65%  7.25%   3.37%  3.65%   1.87%  2.19%    N/A    11.95%

MON 3:00   6.62%  7.15%   3.28%  3.57%   1.82%  2.14%    N/A    11.35%

MON OPEN   6.71%  7.27%   3.27%  3.61%   1.94%  2.16%    N/A    10.91%

FRI 3:00   6.37%  7.04%   3.18%  3.54%   1.77%  2.10%    N/A    10.58%

FRI OPEN   6.77%  7.20%   3.41%  3.61%   2.02%  2.17%    N/A    10.86%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

DEC17 10Y NOTE  126.50 C  191,982   -1,803   124.50 P  184,629  +3,310

JAN18 10Y NOTE  125.50 C   28,931   +2,969   123.00 P   55,959  +1,038

DEC17 5Y NOTE   118.00 C   47,383   -3,498   112.25 P  104,983    UNCH

JAN18 5Y NOTE   118.00 C   22,100     UNCH   116.00 P   10,705    +156

NOV17 EURODLR    98.62 C  126,842     UNCH    98.50 P   90,022  -3,260

DEC17 EURODLR    98.75 C  720,541  +15,722    98.37 P1,070,647  -4,900

DEC18 1Y-MIDC    98.50 C  276,678     UNCH    98.00 P  592,510 -42,755

DEC19 2Y-MIDC    98.37 C  136,678  +13,908    97.75 P  310,176  -1,795

DEC20 3Y-MIDC    97.75 C   90,893     +929    97.75 P  132,900    +455

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

DEC17 10Y NOTE  124.50 C   42,780     -133   124.50 P  184,629  +3,310

DEC17 10Y NOTE  125.00 C   50,314     -954   125.00 P   96,575 +10,319

JAN18 10Y NOTE  124.00 C    8,162      -15   124.00 P   47,700  +2,494

JAN18 10Y NOTE  124.50 C   12,483       +2   124.50 P   29,223    +479

DEC17 5Y NOTE   117.00 C   28,186      -41   117.00 P   42,255    +402

DEC17 5Y NOTE   117.25 C   37,136   -1,617   117.25 P   23,079     -94

JAN18 5Y NOTE   116.75 C      313       +6   116.75 P    1,834     -99

JAN18 5Y NOTE   117.00 C    3,242     +284   117.00 P    2,772    +437

NOV17 EURODLR    98.50 C   58,953   -1,250    98.50 P   90,022  -3,260

NOV17 EURODLR    98.62 C  126,842     UNCH    98.62 P   13,100    UNCH

DEC17 EURODLR    98.50 C  425,383   -9,891    98.50 P  538,680  -5,279

DEC17 EURODLR    98.62 C  712,676   +9,327    98.62 P  211,676    UNCH

DEC18 1Y-MIDC    98.12 C  166,627   +5,899    98.12 P  306,076  -1,473

DEC18 1Y-MIDC    98.25 C  238,012  +11,510    98.25 P  187,671     +97

DEC19 2Y-MIDC    97.87 C  132,976   -2,224    97.88 P  209,971 -36,178

DEC19 2Y-MIDC    98.00 C  108,953   -3,642    98.00 P  227,166  -7,950

DEC20 3Y-MIDC    97.75 C   90,893     +929    97.75 P  132,900    +455

DEC20 3Y-MIDC    97.87 C   76,582     UNCH    97.87 P   85,251    UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

DEC17 10Y NOTE PUT/CALL RATIO -- 0.99 (107,514 PUTS VS. 108,064 CALLS)

JAN18 10Y NOTE PUT/CALL RATIO -- 0.66 (35,252 PUTS VS. 52,982 CALLS)

DEC17 5Y NOTE PUT/CALL RATIO  -- 0.73 (15,038 PUTS VS. 20,594 CALLS)

JAN18 5Y NOTE PUT/CALL RATIO  -- 1.53 (8,645 PUTS VS. 5,619 CALLS)

NOV17 EURODLRS PUT/CALL RATIO -- 2.10 (4,260 PUTS VS. 2,000 CALLS)

DEC17 EURODLRS PUT/CALL RATIO -- 0.21 (20,753 PUTS VS. 96,000 CALLS)

DEC18 1Y-MIDCRVE PUT/CALL RATIO -- 4.92 (144,222 PUTS VS. 29,310 CALLS)

DEC19 2Y-MIDCRVE PUT/CALL RATIO -- 4.24 (124,555 PUTS VS. 29,350 CALLS)

DEC20 3Y-MIDCRVE PUT/CALL RATIO -- 1.83 (7,700 PUTS VS. 4,200 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

Fri Open     37.58    49.83    51.58    55.10    69.92    76.17

Thu 3:00     37.48    50.11    51.53    55.13    70.09    76.01

Thu Open     36.35    50.06    50.80    54.51    70.01    76.12

Wed 3:00     37.33    49.83    50.69    54.27    70.12    76.25

Wed Open     37.66    50.12    51.38    54.96    70.54    76.32

Tue 3:00     37.90    50.37    51.75    55.29    70.74    76.53

Tue Open     37.89    51.00    51.80    55.40    70.93    76.42

Mon 3:00     37.87    51.10    51.76    55.36    70.93    76.72

Mon Open     37.82    50.79    51.84    55.44    71.02    76.68

Fri 3:00     37.84    50.72    51.48    55.14    71.10    76.70

Fri Open     39.15    52.46    53.70    57.51    72.23    77.32

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

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