US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR NOV 16

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

            USZ    USF     TYZ    TYF     FVZ    TUF     EDZ     EDF

1:30       6.51%  7.39%   3.15%  3.65%   1.89%  2.17%   13.10%  13.15%

12:00      6.57%  7.29%   3.22%  3.59%   1.77%  2.08%   13.53%  14.50%

10:30      6.59%  7.49%   3.20%  3.65%   1.80%  2.11%   13.51%  14.45%

9:00       6.45%  7.09%   3.17%  3.64%   1.80%  2.13%   13.50%  14.45%

THU OPEN   6.47%  7.39%   3.31%  3.70%   1.84%  2.13%   13.49%  14.50%

WED 3:00   6.82%  7.34%   3.49%  3.60%   2.03%  2.12%   14.05%  14.05%

WED OPEN   7.11%  7.09%   3.83%  3.64%   2.34%  2.18%   14.51%  12.55%

TUE 3:00   7.04%  7.07%   3.70%  3.66%   2.09%  2.19%   12.61%  12.49%

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

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

DEC17 10Y NOTE  126.50 C  145,149   -2,792   124.50 P  181,938  +1,123

JAN18 10Y NOTE  126.00 C   46,182   +3,037   123.00 P   66,591    +382

DEC17 5Y NOTE   118.00 C   45,937     -173   112.25 P  104,983    UNCH

JAN18 5Y NOTE   118.00 C   22,668      +24   116.25 P   17,179  +3,887

DEC17 EURODLR    98.75 C  745,397     UNCH    98.37 P1,070,205  -8,000

JAN18 EURODLR    98.62 C  285,688     UNCH    98.25 P  367,485  +2,505

DEC18 1Y-MIDC    98.50 C  276,678     UNCH    98.00 P  635,011 +25,341

DEC19 2Y-MIDC    97.87 C  156,587   +9,825    97.75 P  315,101  +5,127

DEC20 3Y-MIDC    97.75 C   92,496   +1,000    97.75 P  133,229    -625

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

DEC17 10Y NOTE  124.50 C   40,404     -885   124.50 P  181,938  +1,123

DEC17 10Y NOTE  125.00 C   52,246   -2,106   125.00 P   82,672  -4,094

JAN18 10Y NOTE  124.00 C    9,982   +1,818   124.00 P   63,767  +4,618

JAN18 10Y NOTE  124.50 C   17,429     +126   124.50 P   34,019    -702

DEC17 5Y NOTE   117.00 C   31,947   +1,203   117.00 P   48,143  +7,257

DEC17 5Y NOTE   117.25 C   39,943     -833   117.25 P   21,788    -316

JAN18 5Y NOTE   116.75 C    2,398   +1,478   116.75 P    5,581  +2,230

JAN18 5Y NOTE   117.00 C   15,000   +8,133   117.00 P    7,299  +3,635

DEC17 EURODLR    98.50 C  424,396   -6,001    98.50 P  536,319  +2,255

DEC17 EURODLR    98.62 C  729,139   -1,000    98.62 P  211,676    UNCH

JAN18 EURODLR    98.50 C  143,072      +20    98.50 P   17,715    UNCH

JAN18 EURODLR    98.62 C  285,688     UNCH    98.62 P        0    UNCH

DEC18 1Y-MIDC    98.12 C  181,596   +3,263    98.12 P  289,288    -616

DEC18 1Y-MIDC    98.25 C  255,886   +6,750    98.25 P  177,547  -9,579

DEC19 2Y-MIDC    97.87 C  156,587   +9,825    97.88 P  204,592    +410

DEC19 2Y-MIDC    98.00 C  110,297   -7,858    98.00 P  224,251    -417

DEC20 3Y-MIDC    97.75 C   92,496   +1,000    97.75 P  133,229    -625

DEC20 3Y-MIDC    97.87 C   79,865   +1,031    97.87 P   84,767    +200

PUT/CALL RATIO FOR VOLUME CLEARED:

DEC17 10Y NOTE PUT/CALL RATIO -- 0.81 (138,305 PUTS VS. 171,023 CALLS)

JAN18 10Y NOTE PUT/CALL RATIO -- 0.73 (64,800 PUTS VS. 88,955 CALLS)

DEC17 5Y NOTE PUT/CALL RATIO  -- 1.38 (33,181 PUTS VS. 23,905 CALLS)

JAN18 5Y NOTE PUT/CALL RATIO  -- 0.74 (19,439 PUTS VS. 26,125 CALLS)

DEC17 EURODLRS PUT/CALL RATIO -- 0.12 (6,370 PUTS VS. 53,201 CALLS)

JAN18 EURODLRS PUT/CALL RATIO -- 0.30 (5,790 PUTS VS. 19,124 CALLS)

DEC18 1Y-MIDCRVE PUT/CALL RATIO -- 3.96 (149,327 PUTS VS. 37,700 CALLS)

DEC19 2Y-MIDCRVE PUT/CALL RATIO -- 3.23 (52,431 PUTS VS. 16,250 CALLS)

DEC20 3Y-MIDCRVE PUT/CALL RATIO -- 0.50 (18,476 PUTS VS. 36,750 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

1:30         38.34    53.46    52.05    56.43    69.67    75.63

12:00        38.29    53.75    52.18    56.57    69.71    75.46

10:30        38.36    53.95    52.26    56.69    69.75    75.46

9:00         38.49    53.95    52.03    56.65    69.73    75.70

Thu Open     38.49    54.58    52.05    56.67    69.75    75.75

Wed 3:00     38.37    54.85    51.73    56.08    70.06    75.53

Wed Open     38.59    54.20    51.81    55.91    70.14    75.63

Tue 3:00     38.58    54.12    52.16    55.92    70.21    76.00

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

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

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