US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR NOV 20

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

            USZ    USF     TYZ    TYF     FVZ    TUF     EDZ     EDF

MON 3:00   7.15%  7.31%   3.39%  3.51%   2.20%  2.13%   13.34%  14.73%

1:45       7.34%  7.48%   3.47%  3.56%   2.19%  2.11%   13.74%  15.65%

12:30      7.07%  7.39%   3.51%  3.61%   2.09%  2.17%   13.45%  15.10%

10:30      7.48%  7.35%   3.44%  3.50%   2.14%  2.11%   12.81%  15.88%

9:15       7.43%  7.35%   3.42%  3.55%   2.18%  2.17%   12.59%  16.20%

MON OPEN   7.52%  7.33%   3.36%  3.55%   2.17%  2.17%   13.40%  15.80%

FRI 3:00   6.58%  7.20%   3.06%  3.51%   1.79%  2.12%   13.30%  14.15%

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% 

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

DEC17 10Y NOTE  126.50 C  144,846     -203   124.50 P  161,230  -3,637

JAN18 10Y NOTE  126.00 C   50,983   +2,198   124.00 P   90,742    -167

DEC17 5Y NOTE   118.00 C   46,012      +75   112.25 P  104,983    UNCH

JAN18 5Y NOTE   118.00 C   22,593     UNCH   116.25 P   18,170    +990

DEC17 EURODLR    98.75 C  745,397     UNCH    98.37 P1,080,622  -1,553

JAN18 EURODLR    98.62 C  285,688     UNCH    98.25 P  366,235  -1,250

DEC18 1Y-MIDC    98.50 C  276,678     UNCH    98.00 P  639,636  +6,726

DEC19 2Y-MIDC    98.25 C  147,204   -2,750    97.75 P  314,086  +3,132

DEC20 3Y-MIDC    97.75 C   93,096     +650    97.75 P  132,879    -350

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

DEC17 10Y NOTE  124.50 C   40,135      -52   124.50 P  161,230  -3,637

DEC17 10Y NOTE  125.00 C   50,847   -4,718   125.00 P   78,309  -3,281

JAN18 10Y NOTE  124.00 C   10,061      -14   124.00 P   90,742    -167

JAN18 10Y NOTE  124.50 C   19,511     +300   124.50 P   37,481    +355

DEC17 5Y NOTE   117.00 C   33,453   +2,440   117.00 P   49,298  -1,444

DEC17 5Y NOTE   117.25 C   36,184     -938   117.25 P   20,391  -1,329

JAN18 5Y NOTE   116.75 C    7,956      -25   116.75 P    6,713    +802

JAN18 5Y NOTE   117.00 C   14,731     -290   117.00 P    8,299  +1,000

DEC17 EURODLR    98.50 C  446,338  +12,316    98.50 P  527,540  -4,414

DEC17 EURODLR    98.62 C  732,873   +4,834    98.62 P  211,676    UNCH

JAN18 EURODLR    98.50 C  142,572     -500    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  192,754   +8,985    98.12 P  287,488    UNCH

DEC18 1Y-MIDC    98.25 C  257,851   +1,000    98.25 P  175,297    UNCH

DEC19 2Y-MIDC    97.87 C  137,304   +2,152    97.88 P  202,564    -729

DEC19 2Y-MIDC    98.00 C  109,522     -605    98.00 P  223,401    -850

DEC20 3Y-MIDC    97.75 C   93,096     +650    97.75 P  132,879    -350

DEC20 3Y-MIDC    97.87 C   79,085     -250    97.87 P   84,767    UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

DEC17 10Y NOTE PUT/CALL RATIO -- 1.08 (89,008 PUTS VS. 81,837 CALLS)

JAN18 10Y NOTE PUT/CALL RATIO -- 1.02 (35,393 PUTS VS. 34,743 CALLS)

DEC17 5Y NOTE PUT/CALL RATIO  -- 0.85 (13,051 PUTS VS. 15,341 CALLS)

JAN18 5Y NOTE PUT/CALL RATIO  -- 1.16 (6,539 PUTS VS. 5,596 CALLS)

DEC17 EURODLRS PUT/CALL RATIO -- 0.19 (8,229 PUTS VS. 41,701 CALLS)

JAN18 EURODLRS PUT/CALL RATIO -- 0.09 (1,250 PUTS VS. 13,000 CALLS)

DEC18 1Y-MIDCRVE PUT/CALL RATIO -- 1.13 (23,259 PUTS VS. 20,435 CALLS)

DEC19 2Y-MIDCRVE PUT/CALL RATIO -- 13.2 (52,951 PUTS VS. 4,000 CALLS)

DEC20 3Y-MIDCRVE PUT/CALL RATIO -- 15.8 (52,131 PUTS VS. 3,350 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

Mon Open     37.84    54.65    51.11    55.80    69.49    75.27

1:45         37.84    54.65    51.10    55.80    69.49    75.16

12:30        37.91    54.74    51.11    55.79    69.70    75.24

10:30        38.17    54.93    51.66    56.39    69.82    75.27

9:15         38.01    54.93    51.51    56.21    69.80    75.25

Mon Open     36.56    54.53    51.47    56.35    69.78    75.26

Fri 3:00     37.18    53.73    51.21    55.82    69.69    75.21

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

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

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