US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR NOV 14

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

            USZ    USF     TYZ    TYF     FVZ    TUF     EDZ     EDF

9:00       7.26%  7.05%   3.51%  3.67%   2.12%  2.18%   13.47%  12.35%

TUE OPEN   7.27%  6.99%   3.59%  3.53%   2.10%  2.16%   11.95%  11.55%

MON 3:00   6.97%  7.01%   3.50%  3.67%   2.05%  2.15%   12.47%  12.35%

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

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

DEC17 10Y NOTE  126.50 C  147,582     +772   124.50 P  179,978    -625

JAN18 10Y NOTE  126.00 C   41,514   +6,040   123.00 P   63,737  +3,000

DEC17 5Y NOTE   118.00 C   46,214     -359   112.25 P  104,983    UNCH

JAN18 5Y NOTE   118.00 C   23,017      -25   116.00 P   13,299  +4,565

DEC17 EURODLR    98.75 C  742,541  +22,000    98.37 P1,078,205    -500

JAN18 EURODLR    98.62 C  239,475  +54,828    98.25 P  364,983    -500

DEC18 1Y-MIDC    98.50 C  276,678     UNCH    98.00 P  618,125 +23,201

DEC19 2Y-MIDC    98.37 C  137,128   -1,000    97.75 P  308,024  -3,999

DEC20 3Y-MIDC    97.75 C   91,271     -430    97.75 P  134,102    +570

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

DEC17 10Y NOTE  124.50 C   41,546   -2,029   124.50 P  179,978    -625

DEC17 10Y NOTE  125.00 C   49,950     +257   125.00 P   86,392    -420

JAN18 10Y NOTE  124.00 C    8,308     UNCH   124.00 P   53,478  +2,044

JAN18 10Y NOTE  124.50 C   15,571   +1,219   124.50 P   33,803    +914

DEC17 5Y NOTE   117.00 C   28,794     +569   117.00 P   41,982    -918

DEC17 5Y NOTE   117.25 C   39,962   +2,615   117.25 P   22,104    -900

JAN18 5Y NOTE   116.75 C      892      +33   116.75 P    3,135  +1,301

JAN18 5Y NOTE   117.00 C    5,773   +2,475   117.00 P    2,963    +191

DEC17 EURODLR    98.50 C  426,516   +4,656    98.50 P  534,919  -5,250

DEC17 EURODLR    98.62 C  727,735  +14,333    98.62 P  211,676    UNCH

JAN18 EURODLR    98.50 C  182,225  +33,000    98.50 P   17,715    UNCH

JAN18 EURODLR    98.62 C  239,475  +54,828    98.62 P        0    UNCH

DEC18 1Y-MIDC    98.12 C  172,559   +1,640    98.12 P  302,973  -3,911

DEC18 1Y-MIDC    98.25 C  244,186   -2,500    98.25 P  187,021    -650

DEC19 2Y-MIDC    97.87 C  144,862  +14,450    97.88 P  202,482  -3,449

DEC19 2Y-MIDC    98.00 C  116,358     -614    98.00 P  224,668  -2,500

DEC20 3Y-MIDC    97.75 C   91,271     -430    97.75 P  134,102    +570

DEC20 3Y-MIDC    97.87 C   76,943     UNCH    97.87 P   84,567    UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

DEC17 10Y NOTE PUT/CALL RATIO -- 1.28 (96,423 PUTS VS. 75,110 CALLS)

JAN18 10Y NOTE PUT/CALL RATIO -- 1.22 (54,335 PUTS VS. 44,534 CALLS)

DEC17 5Y NOTE PUT/CALL RATIO  -- 0.49 (8,995 PUTS VS. 18,109 CALLS)

JAN18 5Y NOTE PUT/CALL RATIO  -- 0.85 (10,163 PUTS VS. 11,848 CALLS)

DEC17 EURODLRS PUT/CALL RATIO -- 0.40 (28,834 PUTS VS. 71,854 CALLS)

JAN18 EURODLRS PUT/CALL RATIO -- 0.02 (3,600 PUTS VS. 142,644 CALLS)

DEC18 1Y-MIDCRVE PUT/CALL RATIO -- 11.2 (209,879 PUTS VS. 18,600 CALLS)

DEC19 2Y-MIDCRVE PUT/CALL RATIO -- 1.13 (53,444 PUTS VS. 47,000 CALLS)

DEC20 3Y-MIDCRVE PUT/CALL RATIO -- 6.60 (25,101 PUTS VS. 3,850 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

9:00         38.20    53.73    52.20    56.31    70.63    76.03

Tue Open     38.01    53.50    52.18    56.31    70.66    76.24

Mon 3:00     37.45    52.15    52.10    56.33    70.55    76.01

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

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

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