US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR NOV 21

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

            USZ    USF     TYZ    TYF     FVZ    TUF     EDZ     EDF

TUE 3:00   6.17%  7.39%   2.83%  3.51%   1.78%  2.08%   13.70%  15.40%

11:30      6.77%  7.29%   2.79%  3.56%   1.84%  2.09%   13.10%  15.10%

TUE OPEN   7.01%  7.31%   3.05%  3.60%   1.89%  2.15%   13.50%  14.60%

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

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

DEC17 10Y NOTE  126.50 C  144,845       -1   124.50 P  149,704 -11,526

JAN18 10Y NOTE  126.00 C   53,384   +2,401   124.00 P  131,206 +40,464

DEC17 5Y NOTE   118.00 C   46,011       -1   112.25 P  104,983    UNCH

JAN18 5Y NOTE   118.00 C   23,675   +1,082   116.25 P   17,947    -223

DEC17 EURODLR    98.75 C  745,397     UNCH    98.37 P1,082,327  +1,705

JAN18 EURODLR    98.62 C  285,688     UNCH    98.25 P  363,685  -2,550

DEC18 1Y-MIDC    98.50 C  276,678     UNCH    98.00 P  638,775    -861

DEC19 2Y-MIDC    98.25 C  148,204   +1,000    97.75 P  314,064     -22

DEC20 3Y-MIDC    97.75 C   93,850     +754    97.75 P  136,539  +3,660

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

DEC17 10Y NOTE  124.50 C   39,104   -1,031   124.50 P  149,704 -11,526

DEC17 10Y NOTE  125.00 C   50,967     +120   125.00 P   76,868  -1,441

JAN18 10Y NOTE  124.00 C    9,979      -82   124.00 P  131,206 +40,464

JAN18 10Y NOTE  124.50 C   21,053   +1,542   124.50 P   40,160  +2,679

DEC17 5Y NOTE   117.00 C   38,547   +5,094   117.00 P   40,845  -8,453

DEC17 5Y NOTE   117.25 C   35,656     -528   117.25 P   19,882    -509

JAN18 5Y NOTE   116.75 C    8,746     +790   116.75 P    7,166    +453

JAN18 5Y NOTE   117.00 C   14,086     -645   117.00 P    8,299    UNCH

DEC17 EURODLR    98.50 C  448,450   +2,112    98.50 P  519,985  -7,555

DEC17 EURODLR    98.62 C  739,086   +6,213    98.62 P  211,676    UNCH

JAN18 EURODLR    98.50 C  142,295     -277    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  195,683   +2,929    98.12 P  283,285  -3,828

DEC18 1Y-MIDC    98.25 C  257,851     UNCH    98.25 P  170,297  -5,000

DEC19 2Y-MIDC    97.87 C  129,978   -7,326    97.88 P  199,915  -2,649

DEC19 2Y-MIDC    98.00 C  109,738     +216    98.00 P  223,102    -299

DEC20 3Y-MIDC    97.75 C   93,850     +754    97.75 P  136,539  +3,660

DEC20 3Y-MIDC    97.87 C   78,231     -854    97.87 P   85,190    +423

PUT/CALL RATIO FOR VOLUME CLEARED:

DEC17 10Y NOTE PUT/CALL RATIO -- 1.72 (112,813 PUTS VS. 65,478 CALLS)

JAN18 10Y NOTE PUT/CALL RATIO -- 1.91 (85,323 PUTS VS. 44,603 CALLS)

DEC17 5Y NOTE PUT/CALL RATIO  -- 1.69 (43,442 PUTS VS. 25,612 CALLS)

JAN18 5Y NOTE PUT/CALL RATIO  -- 0.92 (14,204 PUTS VS. 15,325 CALLS)

DEC17 EURODLRS PUT/CALL RATIO -- 0.51 (27,925 PUTS VS. 54,690 CALLS)

JAN18 EURODLRS PUT/CALL RATIO -- 1.41 (33,825 PUTS VS. 23,958 CALLS)

DEC18 1Y-MIDCRVE PUT/CALL RATIO -- 59.9 (131,964 PUTS VS. 2,200 CALLS)

DEC19 2Y-MIDCRVE PUT/CALL RATIO -- 1.12 (85,816 PUTS VS. 76,800 CALLS)

DEC20 3Y-MIDCRVE PUT/CALL RATIO -- 5.23 (22,001 PUTS VS. 4,234 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

Tue 3:00     38.26    54.33    50.81    55.30    68.92    74.57

11:30        37.89    54.63    51.10    55.70    69.06    74.72

Tue Open     37.85    54.73    51.19    55.82    69.45    75.20

Mon 3:00     37.84    54.65    51.11    55.80    69.49    75.27

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

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

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