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

1:15       7.39%  7.33%   3.59%  3.60%   2.23%  2.23%   13.24%  11.30%

11:45      7.41%  7.36%   3.51%  3.59%   2.18%  2.17%   12.29%  11.38%

9:30       7.43%  7.39%   3.47%  3.58%   2.15%  2.15%   12.30%  11.40%

THU OPEN   7.52%  7.33%   3.48%  3.59%   2.17%  2.16%   13.95%  12.12%

WED 3:00   7.24%  7.28%   3.39%  3.55%   2.05%  2.15%   12.89%  11.55%

WED NOON   7.18%  7.27%   3.41%  3.57%   2.13%  2.13%   13.85%  12.87%

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

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   96,099   -1,002   124.00 P  145,852  +3,612

MAR18 10Y NOTE  127.00 C   26,422   +1,096   114.00 P  108,428    UNCH

JAN18 5Y NOTE   117.00 C   29,608     +189   116.25 P   22,843      +6

MAR18 5Y NOTE   117.25 C   11,341       -1   108.50 P  140,106    UNCH

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

MAR18 2Y NOTE   107.50 C   11,001  +10,548   107.12 P   21,856    +198

DEC17 EURODLR    98.62 C  745,638     UNCH    98.37 P1,073,669    -600

JAN18 EURODLR    98.62 C  245,189     UNCH    98.25 P  392,877  +9,700

DEC18 1Y-MIDC    98.50 C  276,378     UNCH    98.00 P  607,493  -5,171

DEC19 2Y-MIDC    97.87 C  149,765   -1,100    97.75 P  283,041     +31

DEC20 3Y-MIDC    97.75 C   88,607   -5,884    97.75 P  132,610  -1,100

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

JAN18 10Y NOTE  124.50 C   32,119   +3,292   124.50 P   58,742  -1,660

JAN18 10Y NOTE  125.00 C   54,638     +477   125.00 P   28,211     +49

MAR18 10Y NOTE  124.50 C   14,304     +874   124.50 P   20,400  +1,039

MAR18 10Y NOTE  125.00 C   25,801   +1,897   125.00 P   18,777    +638

JAN18 5Y NOTE   116.75 C   14,434     +148   116.75 P    6,935    +122

JAN18 5Y NOTE   117.00 C   29,608     +189   117.00 P    8,299    UNCH

MAR18 5Y NOTE   116.75 C    2,627     UNCH   116.75 P    4,512      -1

MAR18 5Y NOTE   117.00 C    3,898     +304   117.00 P    3,255      -1

JAN18 2Y NOTE   107.00 C        0     UNCH   107.00 P    2,290    UNCH

JAN18 2Y NOTE   107.12 C      225     UNCH   107.12 P    1,263    UNCH

MAR18 2Y NOTE   107.00 C        0     UNCH   107.00 P      533      -1

MAR18 2Y NOTE   107.12 C        1     UNCH   107.12 P   21,856    +198

DEC17 EURODLR    98.50 C  468,813   +9,991    98.50 P  501,105  -4,610

DEC17 EURODLR    98.62 C  745,638     UNCH    98.62 P  210,686    UNCH

JAN18 EURODLR    98.50 C  142,206   +1,761    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  256,076   +4,800    98.12 P  280,886    -551

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

DEC19 2Y-MIDC    97.87 C  149,765   -1,100    97.88 P  162,856  -1,982

DEC19 2Y-MIDC    98.00 C  121,041     UNCH    98.00 P  191,929    UNCH

DEC20 3Y-MIDC    97.75 C   88,607   -5,884    97.75 P  132,610  -1,100

DEC20 3Y-MIDC    97.87 C   74,923      -75    97.87 P   85,190    UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

JAN18 10Y NOTE PUT/CALL RATIO -- 1.05 (76,807 PUTS VS. 72,636 CALLS)

MAR18 10Y NOTE PUT/CALL RATIO -- 1.07 (29,515 PUTS VS. 27,422 CALLS)

JAN18 5Y NOTE PUT/CALL RATIO  -- 0.61 (5,890 PUTS VS. 9,590 CALLS)

MAR18 5Y NOTE PUT/CALL RATIO  -- 5.86 (5,877 PUTS VS. 1,013 CALLS)

JAN18 2Y NOTE PUT/CALL RATIO -- 0.09 (15 PUTS VS. 158 CALLS)

MAR18 2Y NOTE PUT/CALL RATIO -- 0.35 (12,456 PUTS VS. 34,552 CALLS)

DEC17 EURODLRS PUT/CALL RATIO -- 0.43 (17,510 PUTS VS. 40,000 CALLS)

JAN18 EURODLRS PUT/CALL RATIO -- 0.37 (11,489 PUTS VS. 31,004 CALLS)

DEC18 1Y-MIDCRVE PUT/CALL RATIO -- 4.82 (101,250 PUTS VS. 21,000 CALLS)

DEC19 2Y-MIDCRVE PUT/CALL RATIO -- 4.15 (41,118 PUTS VS. 9,900 CALLS)

DEC20 3Y-MIDCRVE PUT/CALL RATIO -- 2.41 (24,651 PUTS VS. 10,165 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

1:15         37.69    51.58    49.88    54.25    67.82    73.96

11:45        37.68    51.36    49.87    54.22    67.80    73.96

9:30         37.68    51.34    49.84    54.12    67.84    73.98

Thu Open     37.71    51.21    49.84    54.15    67.88    73.98

Wed 3:00     37.70    50.85    50.04    54.36    67.89    74.00

Wed Noon     37.74    50.92    50.06    54.42    67.91    74.01

Tue 3:00     37.48    50.36    49.14    53.25    67.61    74.03

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$]