US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR NOV 2

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

            USZ    USF     TYZ    TYF     FVZ    TUF     EDX     EDZ

THU OPEN   7.06%  7.51%   3.56%  3.71%   2.07%  2.24%   12.11%  11.95%

WED 3:00   7.38%  7.75%   3.65%  3.88%   2.26%  2.26%   11.57%  13.05%

WED OPEN   7.49%  7.58%   3.85%  4.08%   2.29%  2.34%   12.84%  13.60%

TUE 3:00   7.52%  7.75%   3.80%  4.07%   2.27%  2.31%   10.58%  13.10%

TUE OPEN   7.59%  8.00%   3.83%  3.87%   2.30%  2.39%   11.76%  13.10%

MON 3:00   7.61%  7.98%   3.86%  3.90%   2.30%  2.46%   11.63%  13.05%

MON OPEN   7.67%  7:45%   3.86%  3.96%   2.46%  2.88%   12.20%  13.62%

FRI 3:00   7.44%   N/A    3.86%   N/A    2.45%   N/A    10.40%  13.20%

FRI OPEN   8.01%   N/A    4.22%   N/A    2.65%   N/A    10.53%  13.12%

THU 3:00   8.09%   N/A    4.18%   N/A    2.63%   N/A    11.25%  13.96%

THU OPEN   8.22%   N/A    4.22%   N/A    2.72%   N/A    10.15%  13.75%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

DEC17 10Y NOTE  126.50 C  192,171   +8,772   124.50 P  191,327  -4,745

JAN18 10Y NOTE  125.50 C   20,712     +887   123.00 P   24,961    +445

DEC17 5Y NOTE   118.00 C   50,808   +1,170   112.25 P  104,983    UNCH

JAN18 5Y NOTE   118.00 C   10,273     +221   116.00 P   10,271    +219

NOV17 EURODLR    98.62 C  125,854     UNCH    98.50 P   92,737 -21,174

DEC17 EURODLR    98.62 C  683,499     -773    98.37 P1,077,767  -2,220

DEC18 1Y-MIDC    98.50 C  276,378   -2,000    98.00 P  666,243 +24,825

DEC19 2Y-MIDC    98.25 C  120,602     UNCH    97.75 P  326,087    +800

DEC20 3Y-MIDC    97.87 C   80,582     UNCH    97.50 P  122,152  +2,540

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

DEC17 10Y NOTE  124.50 C   44,053   -1,250   124.50 P  191,327  -4,745

DEC17 10Y NOTE  125.00 C   48,743   -1,535   125.00 P   66,709    +881

JAN18 10Y NOTE  124.00 C    8,466      +18   124.00 P   22,131    +382

JAN18 10Y NOTE  124.50 C   12,024     +447   124.50 P   16,246  +1,103

DEC17 5Y NOTE   117.00 C   29,620     -300   117.00 P   50,635    +334

DEC17 5Y NOTE   117.25 C   33,810     +334   117.25 P   24,274  +1,658

JAN18 5Y NOTE   116.75 C      307     UNCH   116.75 P    1,622    UNCH

JAN18 5Y NOTE   117.00 C      612     UNCH   117.00 P      573      +1

NOV17 EURODLR    98.50 C   60,454     +391    98.50 P   92,737 -21,174

NOV17 EURODLR    98.62 C  125,854     UNCH    98.62 P   13,100    UNCH

DEC17 EURODLR    98.50 C  437,041  +17,953    98.50 P  535,365  -3,615

DEC17 EURODLR    98.62 C  683,499     -773    98.62 P  213,426  -7,838

DEC18 1Y-MIDC    98.12 C  153,975   -2,566    98.12 P  318,986    +170

DEC18 1Y-MIDC    98.25 C  211,258   -5,473    98.25 P  192,539    UNCH

DEC19 2Y-MIDC    97.87 C   77,058   -5,988    97.88 P  171,866    UNCH

DEC19 2Y-MIDC    98.00 C  115,246     +800    98.00 P  216,185    UNCH

DEC20 3Y-MIDC    97.75 C   64,898   +4,327    97.75 P  108,694     -50

DEC20 3Y-MIDC    97.87 C   80,582     UNCH    97.87 P   85,615    UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

DEC17 10Y NOTE PUT/CALL RATIO -- 0.91 (138,473 PUTS VS. 152,452 CALLS)

JAN18 10Y NOTE PUT/CALL RATIO -- 1.80 (23,772 PUTS VS. 13,255 CALLS)

DEC17 5Y NOTE PUT/CALL RATIO  -- 0.90 (26,186 PUTS VS. 28,956 CALLS)

JAN18 5Y NOTE PUT/CALL RATIO  -- 0.35 (2,187 PUTS VS. 6,252 CALLS)

NOV17 EURODLRS PUT/CALL RATIO -- 4.95 (43,116 PUTS VS. 8,754 CALLS)

DEC17 EURODLRS PUT/CALL RATIO -- 1.14 (71,596 PUTS VS. 62,664 CALLS)

DEC18 1Y-MIDCRVE PUT/CALL RATIO -- 2.12 (167,974 PUTS VS. 79,100 CALLS)

DEC19 2Y-MIDCRVE PUT/CALL RATIO -- 3.00 (67,604 PUTS VS. 22,500 CALLS)

DEC20 3Y-MIDCRVE PUT/CALL RATIO -- 5.63 (18,627 PUTS VS. 3,300 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

Thu Open     41.44    54.59    56.23    59.84    72.90    77.97

Wed 3:00     41.47    55.49    56.21    59.71    73.48    77.61

Wed Open     41.77    57.23    57.07    60.74    73.71    77.95

Tue 3:00     42.05    57.42    57.43    60.86    73.79    78.07

Tue Open     43.19    58.00    58.26    61.52    73.83    78.14

Mon 3:00     43.45    58.00    58.43    61.74    73.86    78.13

Mon Open     44.14    58.94    59.19    62.16    73.99    78.14

Fri 3:00     44.08    57.72    59.18    61.58    73.96    78.35

Fri Open     45.97    63.57    62.99    65.16    74.74    78.65

Thu 3:00     45.69    62.91    62.33    64.70    74.38    78.22

Thu Open     45.22    63.00    61.99    64.14    73.87    78.01

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

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