US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR NOV 6

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

            USZ    USF     TYZ    TYF     FVZ    TUF     EDX     EDZ

12:05      6.61%  7.25%   3.35%  3.57%   1.82%  2.26%    N/A    11.84%

10:30      6.74%  7.10%   3.23%  3.40%   1.83%  2.12%    N/A    11.83%

MON OPEN   6.71%  7.27%   3.27%  3.61%   1.94%  2.16%    N/A    10.91%

FRI 3:00   6.37%  7.04%   3.18%  3.54%   1.77%  2.10%    N/A    10.58%

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

DEC17 10Y NOTE  126.50 C  192,727     -442   124.50 P  183,661  -4,684

JAN18 10Y NOTE  125.00 C   23,379   +1,047   123.00 P   30,020  +2,740

DEC17 5Y NOTE   118.00 C   51,438   -3,056   112.25 P  104,983    UNCH

JAN18 5Y NOTE   118.00 C   17,624   +7,351   116.00 P   10,487    +216

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

DEC17 EURODLR    98.62 C  698,917  +15,901    98.37 P1,077,767    UNCH

DEC18 1Y-MIDC    98.50 C  276,678     +300    98.00 P  653,650  +2,571

DEC19 2Y-MIDC    98.25 C  124,052     +750    97.75 P  321,761  -2,085

DEC20 3Y-MIDC    97.75 C   88,464   +5,150    97.75 P  131,964  +4,793

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

DEC17 10Y NOTE  124.50 C   44,325      +11   124.50 P  183,661  -4,684

DEC17 10Y NOTE  125.00 C   53,027     +970   125.00 P   65,860  +1,674

JAN18 10Y NOTE  124.00 C    8,477      +11   124.00 P   24,403    -274

JAN18 10Y NOTE  124.50 C   12,490       -4   124.50 P   28,155  +1,867

DEC17 5Y NOTE   117.00 C   28,227       -3   117.00 P   43,672  -7,698

DEC17 5Y NOTE   117.25 C   38,417   +3,283   117.25 P   25,153    -266

JAN18 5Y NOTE   116.75 C      307     UNCH   116.75 P    1,932    +210

JAN18 5Y NOTE   117.00 C    2,933   +2,321   117.00 P    1,163    +442

NOV17 EURODLR    98.50 C   60,652     +200    98.50 P   92,732    UNCH

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

DEC17 EURODLR    98.50 C  427,752  -13,804    98.50 P  538,192    +250

DEC17 EURODLR    98.62 C  698,917  +15,901    98.62 P  213,426    UNCH

DEC18 1Y-MIDC    98.12 C  128,194   -2,344    98.12 P  322,346  -2,417

DEC18 1Y-MIDC    98.25 C  221,063   +7,320    98.25 P  188,511  -3,778

DEC19 2Y-MIDC    97.87 C   95,099   +3,375    97.88 P  207,867 +25,172

DEC19 2Y-MIDC    98.00 C  115,349      -72    98.00 P  235,866 +16,181

DEC20 3Y-MIDC    97.75 C   88,464   +5,150    97.75 P  131,964  +4,793

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

PUT/CALL RATIO FOR VOLUME CLEARED:

DEC17 10Y NOTE PUT/CALL RATIO -- 0.96 (104,026 PUTS VS. 107,989 CALLS)

JAN18 10Y NOTE PUT/CALL RATIO -- 1.94 (23,471 PUTS VS. 12,164 CALLS)

DEC17 5Y NOTE PUT/CALL RATIO  -- 1.58 (51,811 PUTS VS. 32,801 CALLS)

JAN18 5Y NOTE PUT/CALL RATIO  -- 0.28 (4,936 PUTS VS. 17,030 CALLS)

NOV17 EURODLRS PUT/CALL RATIO -- 0.06 (200 PUTS VS. 3,282 CALLS)

DEC17 EURODLRS PUT/CALL RATIO -- 0.10 (7,514 PUTS VS. 72,826 CALLS)

DEC18 1Y-MIDCRVE PUT/CALL RATIO -- 6.55 (108,153 PUTS VS. 16,500 CALLS)

DEC19 2Y-MIDCRVE PUT/CALL RATIO -- 5.85 (172,740 PUTS VS. 29,550 CALLS)

DEC20 3Y-MIDCRVE PUT/CALL RATIO -- 6.25 (21,891 PUTS VS. 3,500 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

12:05        37.87    51.00    51.84    55.44    70.97    76.43

10:30        37.84    50.79    51.84    55.44    71.00    76.43

Mon Open     37.82    50.79    51.84    55.44    71.02    76.68

Fri 3:00     37.84    50.72    51.48    55.14    71.10    76.70

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

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

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