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    FVH     EDZ      EDF

WED 3:00   6.24%  6.65%   3.60%  3.74%  2.37%  2.45%   10.18%   10.19%

TUE 3:00   6.35%  6.72%   3.65%  3.80%  2.44%  2.47%   10.29%   11.09% 

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

     LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

JAN18 10Y NOTE  121.00 C  181,688   +1,163   117.50 P  103,105    +244

MAR19 10Y NOTE  122.00 C   26,545     +174   106.50 P   95,762  +1,796

JAN18 5Y NOTE   113.00 C   71,164   +5,940   111.75 P   98,626    UNCH

MAR19 5Y NOTE   114.50 C   12,880     +200   103.75 P  282,852     +13

JAN18 2Y NOTE   105.50 C   15,915     UNCH   105.12 P    7,902    +100

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  505,715  +1,200

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

DEC19 1Y-MIDC    97.00 C  506,784     +411    96.75 P  528,272  +2,350

DEC20 2Y-MIDC    97.00 C  288,200     -737    96.62 P  324,569  -9,186

DEC21 3Y-MIDC    97.12 C   81,461   +4,768    96.50 P  155,604    UNCH

     NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

JAN18 10Y NOTE  120.00 C  172,511   +3,911   120.00 P      753     -21

JAN18 10Y NOTE  120.50 C   56,203      -24   120.50 P      111    UNCH

MAR19 10Y NOTE  120.00 C   14,562     -112   120.00 P      135    -101

MAR19 10Y NOTE  120.50 C   13,256     -833   120.50 P      122    +102

JAN18 5Y NOTE   113.50 C   38,843      -11   113.50 P       12      +4

JAN18 5Y NOTE   113.75 C   14,352   +1,272   113.75 P        7      -7

MAR19 5Y NOTE   113.50 C   11,847     +434   113.50 P        6    UNCH

MAR19 5Y NOTE   113.75 C    3,319     -211   113.75 P        4    UNCH

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

JAN18 2Y NOTE   105.75 C   14,375     UNCH   105.75 P        0    UNCH

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

MAR19 2Y NOTE   105.75 C      541     +180   105.75 P       14    UNCH

DEC18 EURODLR    97.50 C  411,443     -450    97.50 P  325,942      -4

DEC18 EURODLR    97.62 C  488,048     UNCH    97.62 P  186,562    UNCH

JAN18 EURODLR    97.37 C  134,072     UNCH    97.12 P   87,609  +2,500

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

DEC19 1Y-MIDC    97.12 C  238,593   +3,644    97.12 P  111,235      -1

DEC19 1Y-MIDC    97.25 C  274,877   -3,700    97.25 P   84,588    UNCH

DEC20 2Y-MIDC    97.00 C  288,200     -737    97.00 P  249,273    -149

DEC20 2Y-MIDC    97.12 C  111,545   -1,131    97.12 P   42,387    UNCH  

DEC21 3Y-MIDC    96.87 C   62,533     +350    96.87 P   58,146    +600

DEC21 3Y-MIDC    97.00 C   72,155     -975    97.00 P  101,777    UNCH

     PUT/CALL RATIO FOR VOLUME CLEARED:

JAN18 10Y NOTE PUT/CALL RATIO  -- 1.25 (142,457 PUTS VS. 81,856 CALLS)

MAR19 10Y NOTE PUT/CALL RATIO  -- 1.25 (15,312 PUTS VS. 11,014 CALLS)

JAN18 5Y NOTE PUT/CALL RATIO   -- 0.41 (23,140 PUTS VS. 34,163 CALLS)

MAR19 5Y NOTE PUT/CALL RATIO   -- 6.74 (15,051 PUTS VS. 9,919 CALLS)

JAN18 2Y NOTE PUT/CALL RATIO   -- 0.62 (505 PUTS VS. 340 CALLS)

MAR19 2Y NOTE PUT/CALL RATIO   -- 6.42 (553 PUTS VS. 1,040 CALLS)

DEC18 EURODLRS PUT/CALL RATIO  -- 1.70 (20,184 PUTS VS. 17,296 CALLS)

JAN18 EURODLRS PUT/CALL RATIO  -- 0.53 (11,250 PUTS VS. 500 CALLS)

DEC19 1Y-MIDCRVE PUT/CALL RATIO-- 0.26 (18,450 PUTS VS. 72,400 CALLS)

DEC20 2Y-MIDCRVE PUT/CALL RATIO-- 0.51 (8,889 PUTS VS. 14,816 CALLS)

DEC21 3Y-MIDCRVE PUT/CALL RATIO-- 0.00 (1,100 PUTS VS. 20,100 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

WED 3:00    53.28   53.56    59.17   58.10    70.52     78.02    

TUE 3:00    54.28   54.58    59.81   58.73    70.82     78.09

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

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

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