US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR NOV 13

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

            USZ    USF     TYZ    TYF     FVZ    TUF     EDZ     EDF

10:45      7.03%  6.99%   3.60%  3.61%   1.93%  2.15%   13.29%  12.32%

9:00       7.05%  7.11%   3.48%  3.65%   2.02%  2.18%   13.14%  12.19%

MON OPEN   6.99%  7.03%   3.47%  3.70%   2.00%  2.15%   13.59%  11.29% 

FRI 3:00   6.85%  7.14%   3.39%  3.66%   1.92%  2.18%   11.93%   N/A

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

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

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

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

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

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

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

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

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

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

DEC17 10Y NOTE  126.50 C  146,810  -45,172   124.50 P  180,603  -4,026

JAN18 10Y NOTE  126.00 C   35,474   +8,135   123.00 P   60,737  +4,778

DEC17 5Y NOTE   118.00 C   46,573     -810   112.25 P  104,983    UNCH

JAN18 5Y NOTE   118.00 C   23,042     +942   116.00 P   11,402    +697

DEC17 EURODLR    98.75 C  720,541     UNCH    98.37 P1,078,705  +8,058

JAN18 EURODLR    98.62 C  184,647     UNCH    98.25 P  365,483    -500

DEC18 1Y-MIDC    98.50 C  276,678     UNCH    98.00 P  594,924  +2,414

DEC19 2Y-MIDC    98.37 C  137,228     +550    97.75 P  312,023  +1,847

DEC20 3Y-MIDC    97.75 C   91,701     +808    97.75 P  133,532    +632

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

DEC17 10Y NOTE  124.50 C   43,575     +795   124.50 P  180,603  -4,026

DEC17 10Y NOTE  125.00 C   49,693     -535   125.00 P   86,812  -9,763

JAN18 10Y NOTE  124.00 C    8,308     +146   124.00 P   51,434  +3,734

JAN18 10Y NOTE  124.50 C   14,352   +1,869   124.50 P   32,889  +3,666

DEC17 5Y NOTE   117.00 C   28,225      +39   117.00 P   42,900    +645

DEC17 5Y NOTE   117.25 C   37,347     +211   117.25 P   23,004     -75

JAN18 5Y NOTE   116.75 C      859     +546   116.75 P    1,834    UNCH

JAN18 5Y NOTE   117.00 C    3,298      +56   117.00 P    2,772    UNCH

DEC17 EURODLR    98.50 C  422,360   -3,023    98.50 P  540,169  +1,489

DEC17 EURODLR    98.62 C  713,042     +366    98.62 P  211,676    UNCH

JAN18 EURODLR    98.50 C  149,225      +50    98.50 P   17,715    UNCH

JAN18 EURODLR    98.62 C  184,647     UNCH    98.62 P        0    UNCH

DEC18 1Y-MIDC    98.12 C  171,219   +4,592    98.12 P  306,884    +808

DEC18 1Y-MIDC    98.25 C  246,686   +8,674    98.25 P  187,671    UNCH

DEC19 2Y-MIDC    97.87 C  130,412   -2,564    97.88 P  205,931  -4,040

DEC19 2Y-MIDC    98.00 C  116,972   +8,019    98.00 P  227,168      +2

DEC20 3Y-MIDC    97.75 C   91,701     +808    97.75 P  133,532    +632

DEC20 3Y-MIDC    97.87 C   76,943     +361    97.87 P   84,567    -684

PUT/CALL RATIO FOR VOLUME CLEARED:

DEC17 10Y NOTE PUT/CALL RATIO -- 0.78 (144,878 PUTS VS. 185,251 CALLS)

JAN18 10Y NOTE PUT/CALL RATIO -- 1.51 (81,288 PUTS VS. 53,594 CALLS)

DEC17 5Y NOTE PUT/CALL RATIO  -- 1.48 (25,000 PUTS VS. 16,782 CALLS)

JAN18 5Y NOTE PUT/CALL RATIO  -- 0.83 (6,534 PUTS VS. 7,827 CALLS)

DEC17 EURODLRS PUT/CALL RATIO -- 0.43 (27,399 PUTS VS. 62,748 CALLS)

JAN18 EURODLRS PUT/CALL RATIO -- 0.02 (750 PUTS VS. 39,000 CALLS)

DEC18 1Y-MIDCRVE PUT/CALL RATIO -- 2.34 (32,876 PUTS VS. 14,000 CALLS)

DEC19 2Y-MIDCRVE PUT/CALL RATIO -- 6.60 (55,550 PUTS VS. 8,400 CALLS)

DEC20 3Y-MIDCRVE PUT/CALL RATIO -- 1.28 (18,509 PUTS VS. 14,481 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

10:45        37.29    51.46    52.01    56.17    70.51    76.28

9:00         37.29    51.46    52.01    56.17    70.51    76.28

Mon Open     37.31    51.46    52.50    56.17    70.37    76.27

Fri 3:00     38.03    50.65    51.85    55.63    70.32    76.31

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

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

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