US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR NOV 26

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

            USF     USH    TYF    TYH    FVF    FVH     EDZ      EDF

MON 3:00   6.41%  6.78%   3.70%  3.81%  2.49%  2.51%   10.73%   10.96%

MON OPEN   6.62%  6.90%   3.76%  3.91%  2.61%  2.61%   11.35%   12.18%

FRI 3:00    N/A   7.59%    N/A   4.09%   N/A   2.68%   10.14%    N/A

FRI OPEN    N/A   7.56%    N/A   3.97%   N/A   2.61%   10.54%    N/A

THU 3:00    N/A   7.54%    N/A   3.99%   N/A   2.63%   10.78%    N/A

THU OPEN    N/A   7.57%    N/A   4.05%   N/A   2.64%   10.32%    N/A

WED 3:00    N/A     N/A    N/A    N/A    N/A    N/A     N/A      N/A

WED OPEN    N/A   7.52%    N/A   4.03%   N/A   2.55%   10.56%    N/A

     LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

JAN18 10Y NOTE  121.00 C  176,468   +7,776   117.50 P  103,360 +14,240

MAR19 10Y NOTE  122.00 C   26,282     -719   106.50 P   93,966  +3,942

JAN18 5Y NOTE   113.00 C   64,054     +670   111.75 P   96,489    +100

MAR19 5Y NOTE   120.00 C   12,164     +508   103.75 P  282,839    UNCH

JAN18 2Y NOTE   105.50 C    6,811   +4,314   105.12 P    3,018    UNCH

MAR19 2Y NOTE   105.87 C    2,003     UNCH   103.87 P    6,500    UNCH

DEC18 EURODLR    97.62 C  488,048     UNCH    97.25 P  506,669     -10

JAN18 EURODLR    97.25 C  150,052     UNCH    97.25 P   94,347 -10,198

DEC19 1Y-MIDC    97.00 C  497,953     +420    96.75 P  525,922  +2,123

DEC20 2Y-MIDC    97.00 C  312,357     UNCH    96.62 P  343,563    UNCH

DEC21 3Y-MIDC    97.00 C   72,304     +475    96.50 P  155,604    UNCH

     NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

JAN18 10Y NOTE  120.00 C  143,199  +19,719   120.00 P      735     +95

JAN18 10Y NOTE  120.50 C   46,669   +9,378   120.50 P      110      -3

MAR19 10Y NOTE  120.00 C   15,193     +316   120.00 P      186    UNCH

MAR19 10Y NOTE  120.50 C   14,089     -284   120.50 P       10     -49

JAN18 5Y NOTE   113.50 C   41,884   +2,505   113.50 P       12    UNCH

JAN18 5Y NOTE   113.75 C   12,066     +502   113.75 P       18    UNCH

MAR19 5Y NOTE   113.50 C    8,616   +5,400   113.50 P        4    UNCH

MAR19 5Y NOTE   113.75 C    3,530     +998   113.75 P        3    UNCH

JAN18 2Y NOTE   105.62 C      608     UNCH   105.62 P        0    UNCH

JAN18 2Y NOTE   105.75 C    2,920   +2,095   105.75 P        0    UNCH

MAR19 2Y NOTE   105.62 C        9     UNCH   105.62 P        0    UNCH

MAR19 2Y NOTE   105.75 C      361     UNCH   105.75 P       14    UNCH

DEC18 EURODLR    97.50 C  411,918   -6,571    97.50 P  325,946    UNCH

DEC18 EURODLR    97.62 C  488,048     UNCH    97.62 P  192,502    UNCH

JAN18 EURODLR    97.37 C  136,072     UNCH    97.12 P   85,109    UNCH

JAN18 EURODLR    97.50 C   48,660     UNCH    97.25 P   10,360    UNCH 

DEC19 1Y-MIDC    97.12 C  233,233     -187    97.12 P  111,236      +1

DEC19 1Y-MIDC    97.25 C  233,059  +14,562    97.25 P   84,588    UNCH

DEC20 2Y-MIDC    97.00 C  312,357     UNCH    97.00 P  249,422  -1,250

DEC20 2Y-MIDC    97.12 C  113,893     -386    97.12 P   42,387    +100  

DEC21 3Y-MIDC    96.87 C   61,884     UNCH    96.87 P   56,868    -400

DEC21 3Y-MIDC    97.00 C   72,304     +475    97.00 P  101,117     -60

     PUT/CALL RATIO FOR VOLUME CLEARED:

JAN18 10Y NOTE PUT/CALL RATIO  -- 0.40 (92,823 PUTS VS. 230,060 CALLS)

MAR19 10Y NOTE PUT/CALL RATIO  -- 0.17 (16,668 PUTS VS. 98,477 CALLS)

JAN18 5Y NOTE PUT/CALL RATIO   -- 0.48 (16,949 PUTS VS. 35,271 CALLS)

MAR19 5Y NOTE PUT/CALL RATIO   -- 2.43 (40,770 PUTS VS. 16,796 CALLS)

JAN18 2Y NOTE PUT/CALL RATIO   -- 0.25 (1,615 PUTS VS. 6,437 CALLS)

MAR19 2Y NOTE PUT/CALL RATIO   -- 0.09 (67 PUTS VS. 739 CALLS)

DEC18 EURODLRS PUT/CALL RATIO  -- 1.35 (33,391 PUTS VS. 24,660 CALLS)

JAN18 EURODLRS PUT/CALL RATIO  -- 0.00 (0 PUTS VS. 0 CALLS)

DEC19 1Y-MIDCRVE PUT/CALL RATIO-- 2.50 (50,000 PUTS VS. 20,000 CALLS)

DEC20 2Y-MIDCRVE PUT/CALL RATIO-- 0.63 (5,100 PUTS VS. 8,100 CALLS)

DEC21 3Y-MIDCRVE PUT/CALL RATIO-- 5.00 (1,250 PUTS VS. 250 CALLS)

     (VOLUME, OPEN INTEREST, RATIOS 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 3:00    55.03   56.57    60.59   59.51    71.21     78.01

MON OPEN    56.89   59.15    63.14   60.90    71.39     78.01

FRI 3:00    51.66   58.85    59.43   60.22    70.79     77.22

FRI OPEN    49.91   58.50    59.09   60.19    70.63     76.97

THU 3:00    49.89   57.60    59.50   60.28    70.70     77.04

THU OPEN    48.47   56.91    58.37   59.52    70.49     76.88

WED 3:00     N/A     N/A      N/A     N/A      N/A       N/A

WED OPEN    46.26   56.65    57.25   58.73    70.44     76.87

--MNI Chicago Bureau; +1 630-698-0154; email: ryan.martin@marketnews.com

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