US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR NOV 3

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

            USZ    USF     TYZ    TYF     FVZ    TUF     EDX     EDZ

FRI OPEN   6.77%  7.20%   3.41%  3.61%   2.02%  2.17%    N/A    10.86%

THU 3:00   6.98%  7.33%   3.48%  3.82%   2.08%  2.31%    N/A    13.60%

THU OPEN   7.06%  7.51%   3.56%  3.71%   2.07%  2.24%   12.11%  11.95%

WED 3:00   7.38%  7.75%   3.65%  3.88%   2.26%  2.26%   11.57%  13.05%

WED OPEN   7.49%  7.58%   3.85%  4.08%   2.29%  2.34%   12.84%  13.60%

TUE 3:00   7.52%  7.75%   3.80%  4.07%   2.27%  2.31%   10.58%  13.10%

TUE OPEN   7.59%  8.00%   3.83%  3.87%   2.30%  2.39%   11.76%  13.10%

MON 3:00   7.61%  7.98%   3.86%  3.90%   2.30%  2.46%   11.63%  13.05%

MON OPEN   7.67%  7:45%   3.86%  3.96%   2.46%  2.88%   12.20%  13.62%

FRI 3:00   7.44%   N/A    3.86%   N/A    2.45%   N/A    10.40%  13.20%

FRI OPEN   8.01%   N/A    4.22%   N/A    2.65%   N/A    10.53%  13.12%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

DEC17 10Y NOTE  126.50 C  193,280   +1,109   124.50 P  188,345  -2,982

JAN18 10Y NOTE  125.00 C   22,332   +3,667   123.00 P   27,280  +2,319

DEC17 5Y NOTE   118.00 C   54,494   +3,686   112.25 P  104,983    UNCH

JAN18 5Y NOTE   118.00 C   10,273     UNCH   116.00 P   10,271    UNCH

NOV17 EURODLR    98.62 C  125,854     UNCH    98.50 P   92,732      -5

DEC17 EURODLR    98.62 C  683,826     +327    98.37 P1,077,767    UNCH

DEC18 1Y-MIDC    98.50 C  276,378     UNCH    98.00 P  651,079 -15,164

DEC19 2Y-MIDC    98.37 C  123,841   +4,540    97.75 P  323,846  -2,241

DEC20 3Y-MIDC    97.75 C   83,314  +18,416    97.75 P  127,171 +18,477

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

DEC17 10Y NOTE  124.50 C   44,314     +261   124.50 P  188,345  -2,982

DEC17 10Y NOTE  125.00 C   51,973   +3,230   125.00 P   64,186  -2,523

JAN18 10Y NOTE  124.00 C    8,466     UNCH   124.00 P   24,677  +2,546

JAN18 10Y NOTE  124.50 C   12,494     +470   124.50 P   26,288 +10,042

DEC17 5Y NOTE   117.00 C   28,230   -1,390   117.00 P   51,370    +735

DEC17 5Y NOTE   117.25 C   35,134   +1,324   117.25 P   25,419  +1,145

JAN18 5Y NOTE   116.75 C      307     UNCH   116.75 P    1,722    +100

JAN18 5Y NOTE   117.00 C      612     UNCH   117.00 P      721    +148

NOV17 EURODLR    98.50 C   60,452       -2    98.50 P   92,732      -5

NOV17 EURODLR    98.62 C  125,854     UNCH    98.62 P   13,100    UNCH

DEC17 EURODLR    98.50 C  441,556   +4,515    98.50 P  537,942  +2,577

DEC17 EURODLR    98.62 C  683,826     +327    98.62 P  213,426    UNCH

DEC18 1Y-MIDC    98.12 C  130,538  -23,437    98.12 P  325,163  +6,177

DEC18 1Y-MIDC    98.25 C  213,743   +2,485    98.25 P  192,289    -250

DEC19 2Y-MIDC    97.87 C   91,724  +14,666    97.88 P  182,695 +10,829

DEC19 2Y-MIDC    98.00 C  115,421     +175    98.00 P  219,685  +3,500

DEC20 3Y-MIDC    97.75 C   83,314  +18,416    97.75 P  127,171 +18,477

DEC20 3Y-MIDC    97.87 C   80,582     UNCH    97.87 P   85,251    -364

PUT/CALL RATIO FOR VOLUME CLEARED:

DEC17 10Y NOTE PUT/CALL RATIO -- 1.55 (159,947 PUTS VS. 102,670 CALLS)

JAN18 10Y NOTE PUT/CALL RATIO -- 1.79 (52,760 PUTS VS. 29,432 CALLS)

DEC17 5Y NOTE PUT/CALL RATIO  -- 1.21 (36,758 PUTS VS. 30,320 CALLS)

JAN18 5Y NOTE PUT/CALL RATIO  -- 0.87 (1,377 PUTS VS. 1,582 CALLS)

NOV17 EURODLRS PUT/CALL RATIO -- 0.04 (735 PUTS VS. 19,426 CALLS)

DEC17 EURODLRS PUT/CALL RATIO -- 0.25 (7,787 PUTS VS. 30,260 CALLS)

DEC18 1Y-MIDCRVE PUT/CALL RATIO -- 1.03 (125,224 PUTS VS. 120,865 CALLS)

DEC19 2Y-MIDCRVE PUT/CALL RATIO -- 2.41 (103,791 PUTS VS. 42,950 CALLS)

DEC20 3Y-MIDCRVE PUT/CALL RATIO -- 2.88 (56,523 PUTS VS. 19,600 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

Fri Open     39.15    52.46    53.70    57.51    72.23    77.32

Thu 3:00     39.89    53.25    54.47    58.26    72.30    77.41

Thu Open     41.44    54.59    56.23    59.84    72.90    77.97

Wed 3:00     41.47    55.49    56.21    59.71    73.48    77.61

Wed Open     41.77    57.23    57.07    60.74    73.71    77.95

Tue 3:00     42.05    57.42    57.43    60.86    73.79    78.07

Tue Open     43.19    58.00    58.26    61.52    73.83    78.14

Mon 3:00     43.45    58.00    58.43    61.74    73.86    78.13

Mon Open     44.14    58.94    59.19    62.16    73.99    78.14

Fri 3:00     44.08    57.72    59.18    61.58    73.96    78.35

Fri Open     45.97    63.57    62.99    65.16    74.74    78.65

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

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