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    FVH     EDZ      EDF

TUE OPEN   6.49%  6.82%   3.76%  3.82%  2.53%  2.56%   10.90%   11.60%

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  180,425   +3,957   117.50 P  102,861    -499

MAR19 10Y NOTE  122.00 C   26,371      +89   106.50 P   93,966    UNCH

JAN18 5Y NOTE   113.00 C   65,224   +1,170   111.75 P   98,626  +2,137

MAR19 5Y NOTE   114.50 C   12,680   +2,770   103.75 P  282,839    UNCH

JAN18 2Y NOTE   105.50 C   15,915   +9,104   105.12 P    7,802  +4,950

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  504,515  -2,154

JAN18 EURODLR    97.25 C  149,802     -250    97.12 P   85,109    UNCH

DEC19 1Y-MIDC    97.00 C  506,373   +8,420    96.75 P  525,922    UNCH

DEC20 2Y-MIDC    97.00 C  288,937  -23,420    96.62 P  333,755  -9,808

DEC21 3Y-MIDC    97.12 C   76,693   +5,919    96.50 P  155,604    UNCH

     NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

JAN18 10Y NOTE  120.00 C  168,600  +25,401   120.00 P      774     +39

JAN18 10Y NOTE  120.50 C   56,227   +9,558   120.50 P      111      +1

MAR19 10Y NOTE  120.00 C   14,674     -519   120.00 P      236     +50

MAR19 10Y NOTE  120.50 C   14,089     UNCH   120.50 P       20     +10

JAN18 5Y NOTE   113.50 C   38,854   -3,030   113.50 P        8      -4

JAN18 5Y NOTE   113.75 C   13,080   +1,014   113.75 P       14      -4

MAR19 5Y NOTE   113.50 C   11,613   +2,997   113.50 P        6      +2

MAR19 5Y NOTE   113.75 C    3,530     UNCH   113.75 P        4      +1

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

JAN18 2Y NOTE   105.75 C   14,375  +11,455   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  411,893      -25    97.50 P  325,946    UNCH

DEC18 EURODLR    97.62 C  488,048     UNCH    97.62 P  186,562  -5,940

JAN18 EURODLR    97.37 C  134,072   -2,000    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  234,949   +2,216    97.12 P  111,236    UNCH

DEC19 1Y-MIDC    97.25 C  278,577  +45,518    97.25 P   84,588    UNCH

DEC20 2Y-MIDC    97.00 C  288,937  -23,420    97.00 P  249,422    UNCH

DEC20 2Y-MIDC    97.12 C  112,676   -1,217    97.12 P   42,387    UNCH  

DEC21 3Y-MIDC    96.87 C   62,234     +350    96.87 P   57,546    +678

DEC21 3Y-MIDC    97.00 C   73,130     +826    97.00 P  101,777    +660

     PUT/CALL RATIO FOR VOLUME CLEARED:

JAN18 10Y NOTE PUT/CALL RATIO  -- 1.25 (153,397 PUTS VS. 122,634 CALLS)

MAR19 10Y NOTE PUT/CALL RATIO  -- 1.25 (25,106 PUTS VS. 20,074 CALLS)

JAN18 5Y NOTE PUT/CALL RATIO   -- 0.41 (28,751 PUTS VS. 70,815 CALLS)

MAR19 5Y NOTE PUT/CALL RATIO   -- 6.74 (115,379 PUTS VS. 17,112 CALLS)

JAN18 2Y NOTE PUT/CALL RATIO   -- 0.62 (14,953 PUTS VS. 24,021 CALLS)

MAR19 2Y NOTE PUT/CALL RATIO   -- 6.42 (2,438 PUTS VS. 380 CALLS)

DEC18 EURODLRS PUT/CALL RATIO  -- 1.70 (31,061 PUTS VS. 18,239 CALLS)

JAN18 EURODLRS PUT/CALL RATIO  -- 0.53 (2,250 PUTS VS. 4,250 CALLS)

DEC19 1Y-MIDCRVE PUT/CALL RATIO-- 0.26 (11,618 PUTS VS. 45,558 CALLS)

DEC20 2Y-MIDCRVE PUT/CALL RATIO-- 0.51 (20,250 PUTS VS. 39,590 CALLS)

DEC21 3Y-MIDCRVE PUT/CALL RATIO-- 0.00 (0 PUTS VS. 0 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

TUE OPEN    54.93   55.49    59.94   59.09    70.99     78.04

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$]