US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR NOV 27

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

            USF    USH     TYF    TYH     FVF    TUH     EDZ     EDF

11:45      7.05%  7.36%   3.35%  3.56%   2.02%  2.11%   15.09%  12.58%

10:30      7.18%  7.35%   3.40%  3.55%   1.98%  2.14%   16.28%  12.79%

9:00       7.17%  7.36%   3.28%  3.53%   1.98%  2.09%   16.26%  12.03%

MON OPEN   7.19%  7.35%   3.47%  3.42%   2.09%  2.15%   16.70%  12.77%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

JAN18 10Y NOTE  125.50 C   89,358   +7,983   124.00 P  134,801  +8,079

MAR18 10Y NOTE  127.00 C   20,839   +1,748   114.00 P  108,127    UNCH

JAN18 5Y NOTE   118.00 C   24,721     UNCH   116.00 P   25,380  +1,508

MAR18 5Y NOTE   117.25 C   11,392     UNCH   108.50 P  140,106    UNCH

JAN18 2Y NOTE   107.50 C    8,600   +6,130   107.50 P    1,650    UNCH

MAR18 2Y NOTE   107.88 C    3,470     UNCH   107.12 P   21,653    UNCH

DEC17 EURODLR    98.62 C  747,660     UNCH    98.37 P1,074,644  -5,683

JAN18 EURODLR    98.62 C  245,189     UNCH    98.25 P  382,927    UNCH

DEC18 1Y-MIDC    98.50 C  276,378     UNCH    98.00 P  632,371    UNCH

DEC19 2Y-MIDC    97.87 C  148,447     +251    97.75 P  279,523  -3,550

DEC20 3Y-MIDC    97.75 C   92,538     +492    97.75 P  137,869    -235

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

JAN18 10Y NOTE  124.00 C    9,900       +5   124.00 P  134,801  +8,079

JAN18 10Y NOTE  124.50 C   28,740     +477   124.50 P   54,822  +5,771

MAR18 10Y NOTE  124.00 C    6,328     UNCH   124.00 P   26,322  +1,866

MAR18 10Y NOTE  124.50 C   13,092     -285   124.50 P   15,916     -61

JAN18 5Y NOTE   116.75 C   10,318     UNCH   116.75 P    7,480    +269

JAN18 5Y NOTE   117.00 C   15,559      -31   117.00 P    8,299    UNCH

MAR18 5Y NOTE   116.75 C    1,613     UNCH   116.75 P    1,866      +2

MAR18 5Y NOTE   117.00 C    3,572     UNCH   117.00 P    3,256    UNCH

JAN18 2Y NOTE   107.00 C        0     UNCH   107.00 P      670    UNCH

JAN18 2Y NOTE   107.12 C      223     UNCH   107.12 P      746     -60

MAR18 2Y NOTE   107.00 C        0     UNCH   107.00 P      434    +250

MAR18 2Y NOTE   107.12 C        1     UNCH   107.12 P   21,653    UNCH

DEC17 EURODLR    98.50 C  456,220     UNCH    98.50 P  510,815      -2

DEC17 EURODLR    98.62 C  747,660     UNCH    98.62 P  210,686    UNCH

JAN18 EURODLR    98.50 C  142,545     UNCH    98.50 P   18,353    UNCH

JAN18 EURODLR    98.62 C  245,189     UNCH    98.62 P        0    UNCH

DEC18 1Y-MIDC    98.12 C  227,882      -19    98.12 P  281,637    UNCH

DEC18 1Y-MIDC    98.25 C  261,831     UNCH    98.25 P  169,730    UNCH

DEC19 2Y-MIDC    97.87 C  148,447     +251    97.88 P  167,836    -420

DEC19 2Y-MIDC    98.00 C  127,037   +3,000    98.00 P  191,929    UNCH

DEC20 3Y-MIDC    97.75 C   92,538     +492    97.75 P  137,869    -235

DEC20 3Y-MIDC    97.87 C   74,718     +750    97.87 P   85,190    UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

JAN18 10Y NOTE PUT/CALL RATIO -- 1.17 (65,681 PUTS VS. 55,710 CALLS)

MAR18 10Y NOTE PUT/CALL RATIO -- 1.94 (34,874 PUTS VS. 17,967 CALLS)

JAN18 5Y NOTE PUT/CALL RATIO  -- 0.83 (4,696 PUTS VS. 5,603 CALLS)

MAR18 5Y NOTE PUT/CALL RATIO  -- 6.59 (3,455 PUTS VS. 524 CALLS)

JAN18 2Y NOTE PUT/CALL RATIO -- 0.04 (322 PUTS VS. 6,942 CALLS)

MAR18 2Y NOTE PUT/CALL RATIO -- 0.80 (534 PUTS VS. 667 CALLS)

DEC17 EURODLRS PUT/CALL RATIO -- 0.00 (7,502 PUTS VS. 0 CALLS)

JAN18 EURODLRS PUT/CALL RATIO -- 0.33 (2,188 PUTS VS. 6,376 CALLS)

DEC18 1Y-MIDCRVE PUT/CALL RATIO -- 4.33 (5,251 PUTS VS. 1,250 CALLS)

DEC19 2Y-MIDCRVE PUT/CALL RATIO -- 3.05 (17,743 PUTS VS. 5,852 CALLS)

DEC20 3Y-MIDCRVE PUT/CALL RATIO -- 0.47 (9,405 PUTS VS. 19,750 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

11:45        38.23    51.26    50.29    54.17    68.29    74.37

10:30        38.26    51.47    50.31    54.23    68.33    74.27

9:00         38.35    51.94    50.36    54.28    68.35    74.27

Mon Open     38.24    51.50    50.41    54.21    68.35    74.42

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

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