US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR NOV 17

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

            USZ    USF     TYZ    TYF     FVZ    TUF     EDZ     EDF

FRI OPEN   6.42%  7.27%   3.07%  3.59%   1.79%  2.13%   12.75%  14.69%

THU 3:00   6.57%  7.28%   3.14%  3.60%   1.85%  2.14%   13.60%  13.20%

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

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

DEC17 10Y NOTE  126.50 C  145,049     -100   124.50 P  164,867 -17,071

JAN18 10Y NOTE  126.00 C   48,785   +2,603   124.00 P   90,909 +27,142

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

JAN18 5Y NOTE   118.00 C   22,593      -75   116.25 P   17,180      +1

DEC17 EURODLR    98.75 C  745,397     UNCH    98.37 P1,082,175 +11,970

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

DEC18 1Y-MIDC    98.50 C  276,678     UNCH    98.00 P  632,910  -2,101

DEC19 2Y-MIDC    98.25 C  149,954  +10,748    97.75 P  310,954  -4,147

DEC20 3Y-MIDC    97.75 C   92,446      -50    97.75 P  133,229    UNCH

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

DEC17 10Y NOTE  124.50 C   40,187     -217   124.50 P  164,867 -17,071

DEC17 10Y NOTE  125.00 C   55,565   +3,319   125.00 P   81,590  -1,082

JAN18 10Y NOTE  124.00 C   10,075      +93   124.00 P   90,909 +27,142

JAN18 10Y NOTE  124.50 C   19,211   +1,782   124.50 P   37,126  +3,107

DEC17 5Y NOTE   117.00 C   31,113     -834   117.00 P   50,742  +2,599

DEC17 5Y NOTE   117.25 C   37,122   -2,821   117.25 P   21,720     -68

JAN18 5Y NOTE   116.75 C    7,981   +5,583   116.75 P    5,911    +330

JAN18 5Y NOTE   117.00 C   15,021      +21   117.00 P    7,299    UNCH

DEC17 EURODLR    98.50 C  434,022   +9,626    98.50 P  531,954  -4,365

DEC17 EURODLR    98.62 C  728,039   -1,100    98.62 P  211,676    UNCH

JAN18 EURODLR    98.50 C  143,072     UNCH    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  183,769   +2,173    98.12 P  287,488  -1,800

DEC18 1Y-MIDC    98.25 C  256,851     +965    98.25 P  175,297  -2,250

DEC19 2Y-MIDC    97.87 C  135,152  -21,435    97.88 P  203,293  -1,299

DEC19 2Y-MIDC    98.00 C  110,127     -170    98.00 P  224,251    UNCH

DEC20 3Y-MIDC    97.75 C   92,446      -50    97.75 P  133,229    UNCH

DEC20 3Y-MIDC    97.87 C   79,865     UNCH    97.87 P   84,767    UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

DEC17 10Y NOTE PUT/CALL RATIO -- 1.42 (109,143 PUTS VS. 76,284 CALLS)

JAN18 10Y NOTE PUT/CALL RATIO -- 1.95 (94,465 PUTS VS. 48,415 CALLS)

DEC17 5Y NOTE PUT/CALL RATIO  -- 1.62 (24,766 PUTS VS. 15,191 CALLS)

JAN18 5Y NOTE PUT/CALL RATIO  -- 0.21 (2,075 PUTS VS. 9,358 CALLS)

DEC17 EURODLRS PUT/CALL RATIO -- 0.66 (21,547 PUTS VS. 32,358 CALLS)

JAN18 EURODLRS PUT/CALL RATIO -- 0.00 (60 PUTS VS. 7,000 CALLS)

DEC18 1Y-MIDCRVE PUT/CALL RATIO -- 7.57 (181,767 PUTS VS. 24,000 CALLS)

DEC19 2Y-MIDCRVE PUT/CALL RATIO -- 0.42 (29,232 PUTS VS. 68,500 CALLS)

DEC20 3Y-MIDCRVE PUT/CALL RATIO -- 10.4 (10,400 PUTS VS. 1,050 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     38.26    53.77    51.38    56.00    69.56    74.99

Thu 3:00     38.28    53.41    52.03    56.36    69.63    75.61

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

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

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