US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR NOV 28

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

            USF    USH     TYF    TYH     FVF    TUH     EDZ     EDF

TUE 3:00   6.99%  7.31%   3.37%  3.55%   2.05%  2.10%   15.53%  12.09%

1:00       7.00%  7.24%   3.33%  3.51%   2.03%  2.11%   15.76%  12.79%

10:45      7.00%  7.21%   3.31%  3.51%   2.03%  2.11%   15.71%  12.40%

9:30       6.94%  7.19%   3.33%  3.50%   2.04%  2.11%   15.71%  13.25%

TUE OPEN   7.09%  7.27%   3.26%  3.53%   2.00%  2.09%   16.70%  11.86%

MON 3:00   7.21%  7.34%   3.34%  3.55%   2.02%  2.11%   14.67%  12.71%

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   93,986   +4,628   124.00 P  135,560    +759

MAR18 10Y NOTE  127.00 C   20,747      -92   114.00 P  108,127    UNCH

JAN18 5Y NOTE   118.00 C   24,208     -513   116.00 P   25,501    +121

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

JAN18 2Y NOTE   107.50 C    8,830     +230   107.00 P    2,290  +1,620

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

DEC17 EURODLR    98.62 C  746,560   -1,100    98.37 P1,074,269    -375

JAN18 EURODLR    98.62 C  245,189     UNCH    98.25 P  385,427  +2,500

DEC18 1Y-MIDC    98.50 C  276,378     UNCH    98.00 P  620,940 -11,431

DEC19 2Y-MIDC    97.87 C  152,797   +4,350    97.75 P  280,391  +2,368

DEC20 3Y-MIDC    97.75 C   92,578      +40    97.75 P  137,869    UNCH

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

JAN18 10Y NOTE  124.50 C   28,828      +88   124.50 P   56,703  +1,856

JAN18 10Y NOTE  125.00 C   53,126   +2,615   125.00 P   26,350     +26

MAR18 10Y NOTE  124.50 C   13,341     +241   124.50 P   15,831     -85

MAR18 10Y NOTE  125.00 C   12,153     +720   125.00 P   11,264     -81

JAN18 5Y NOTE   116.75 C   14,466   +4,148   116.75 P    7,435     -45

JAN18 5Y NOTE   117.00 C   19,737   +4,178   117.00 P    8,299    UNCH

MAR18 5Y NOTE   116.75 C    2,325     +712   116.75 P    3,731  +1,865

MAR18 5Y NOTE   117.00 C    3,594      +22   117.00 P    3,256    UNCH

JAN18 2Y NOTE   107.00 C        0     UNCH   107.00 P    2,290  +1,620

JAN18 2Y NOTE   107.12 C      225       +2   107.12 P    1,263    +517

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

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

DEC17 EURODLR    98.50 C  453,472   -2,748    98.50 P  510,315    -500

DEC17 EURODLR    98.62 C  746,560   -1,100    98.62 P  210,686    UNCH

JAN18 EURODLR    98.50 C  141,445     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  242,276  +14,394    98.12 P  282,637  +1,000

DEC18 1Y-MIDC    98.25 C  261,331     -500    98.25 P  169,730    UNCH

DEC19 2Y-MIDC    97.87 C  152,797   +4,350    97.88 P  167,836    UNCH

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

DEC20 3Y-MIDC    97.75 C   92,578      +40    97.75 P  137,869    UNCH

DEC20 3Y-MIDC    97.87 C   74,998     +280    97.87 P   85,190    UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

JAN18 10Y NOTE PUT/CALL RATIO -- 0.74 (91,898 PUTS VS. 122,942 CALLS)

MAR18 10Y NOTE PUT/CALL RATIO -- 1.62 (41,025 PUTS VS. 25,299 CALLS)

JAN18 5Y NOTE PUT/CALL RATIO  -- 0.59 (11,290 PUTS VS. 19,130 CALLS)

MAR18 5Y NOTE PUT/CALL RATIO  -- 4.53 (43,149 PUTS VS. 9,515 CALLS)

JAN18 2Y NOTE PUT/CALL RATIO -- 9.86 (4,230 PUTS VS. 429 CALLS)

MAR18 2Y NOTE PUT/CALL RATIO -- 1.02 (100 PUTS VS. 98 CALLS)

DEC17 EURODLRS PUT/CALL RATIO -- 0.08 (3,851 PUTS VS. 42,998 CALLS)

JAN18 EURODLRS PUT/CALL RATIO -- 0.31 (4,750 PUTS VS. 15,200 CALLS)

DEC18 1Y-MIDCRVE PUT/CALL RATIO -- 0.81 (28,350 PUTS VS. 34,750 CALLS)

DEC19 2Y-MIDCRVE PUT/CALL RATIO -- 2.38 (11,970 PUTS VS. 5,000 CALLS)

DEC20 3Y-MIDCRVE PUT/CALL RATIO -- 2.85 (5,750 PUTS VS. 2,000 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     37.48    50.36    49.14    53.25    67.61    74.03

1:00         37.52    50.36    49.35    53.28    67.63    74.01

10:45        37.79    50.74    49.49    53.35    67.76    74.15

9:15         37.78    50.74    49.65    53.46    68.01    74.13

Tue Open     37.82    50.79    49.56    53.50    68.03    74.28

Mon 3:00     37.95    51.04    50.19    54.08    68.22    74.35

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$]