US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR NOV 7

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

            USZ    USF     TYZ    TYF     FVZ    TUF     EDX     EDZ

TUE 3:00   6.67%  6.89%   3.30%  3.56%   1.85%  2.09%    N/A    11.88%

1:45       6.72%  7.20%   3.28%  3.61%   1.84%  2.129    N/A    11.48%

10:45      6.63%  7.10%   3.23%  3.52%   1.84%  2.12%    N/A    11.46%

9:30       6.63%  7.10%   3.23%  3.52%   1.84%  2.12%    N/A    11.96%

TUE OPEN   6.65%  7.25%   3.37%  3.65%   1.87%  2.19%    N/A    11.95%

MON 3:00   6.62%  7.15%   3.28%  3.57%   1.82%  2.14%    N/A    11.35%

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

DEC17 10Y NOTE  126.50 C  191,298   -1,540   124.50 P  179,398  -4,263

JAN18 10Y NOTE  125.50 C   23,464     +726   123.00 P   55,694 +25,674

DEC17 5Y NOTE   118.00 C   52,579   +1,141   112.25 P  104,983    UNCH

JAN18 5Y NOTE   118.00 C   17,923     +299   116.00 P   10,504     +17

NOV17 EURODLR    98.62 C  125,854     UNCH    98.50 P   92,682     -50

DEC17 EURODLR    98.62 C  693,322   -5,595    98.37 P1,075,872  -1,895

DEC18 1Y-MIDC    98.50 C  276,678     UNCH    98.00 P  649,300  -4,350

DEC19 2Y-MIDC    98.25 C  124,052     UNCH    97.75 P  316,461  -5,300

DEC20 3Y-MIDC    97.75 C   88,764     +300    97.75 P  131,995     +31

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

DEC17 10Y NOTE  124.50 C   44,320       -5   124.50 P  179,398  -4,263

DEC17 10Y NOTE  125.00 C   51,944   -1,083   125.00 P   68,018  +2,158

JAN18 10Y NOTE  124.00 C    8,018     -459   124.00 P   44,913 +25,674

JAN18 10Y NOTE  124.50 C   12,489       -1   124.50 P   29,682  +1,527

DEC17 5Y NOTE   117.00 C   28,227     UNCH   117.00 P   40,506  -3,166

DEC17 5Y NOTE   117.25 C   38,371      -46   117.25 P   25,153    UNCH

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

JAN18 5Y NOTE   117.00 C    2,883      -50   117.00 P    1,134     -29

NOV17 EURODLR    98.50 C   58,843   -1,809    98.50 P   92,682     -50

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

DEC17 EURODLR    98.50 C  432,367   +4,615    98.50 P  541,010  +2,818

DEC17 EURODLR    98.62 C  693,322   -5,595    98.62 P  212,176  -1,250

DEC18 1Y-MIDC    98.12 C  142,328  +14,134    98.12 P  308,377 -13,969

DEC18 1Y-MIDC    98.25 C  220,063   -1,000    98.25 P  188,511    UNCH

DEC19 2Y-MIDC    97.87 C   97,199   +2,100    97.88 P  209,517  +1,650

DEC19 2Y-MIDC    98.00 C  115,699     +350    98.00 P  235,866    UNCH

DEC20 3Y-MIDC    97.75 C   88,764     +300    97.75 P  131,995     +31

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 -- 3.08 (190,401 PUTS VS. 61,756 CALLS)

JAN18 10Y NOTE PUT/CALL RATIO -- 3.09 (23,471 PUTS VS. 7,657 CALLS)

DEC17 5Y NOTE PUT/CALL RATIO  -- 1.13 (11,838 PUTS VS. 10,400 CALLS)

JAN18 5Y NOTE PUT/CALL RATIO  -- 0.69 (768 PUTS VS. 1,108 CALLS)

NOV17 EURODLRS PUT/CALL RATIO -- 0.02 (50 PUTS VS. 2,750 CALLS)

DEC17 EURODLRS PUT/CALL RATIO -- 0.59 (34,100 PUTS VS. 57,058 CALLS)

DEC18 1Y-MIDCRVE PUT/CALL RATIO -- 4.89 (43,137 PUTS VS. 8,825 CALLS)

DEC19 2Y-MIDCRVE PUT/CALL RATIO -- 4.77 (70,638 PUTS VS. 14,800 CALLS)

DEC20 3Y-MIDCRVE PUT/CALL RATIO -- 75.3 (45,232 PUTS VS. 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

Tue 3:00     37.90    50.37    51.75    55.29    70.74    76.53

1:45         37.88    50.37    51.75    55.29    70.74    76.53

10:45        37.99    50.50    51.40    55.22    70.83    76.64

9:30         38.06    50.47    51.71    55.32    70.87    76.66

Tue Open     37.89    51.00    51.80    55.40    70.93    76.42

Mon 3:00     37.87    51.10    51.76    55.36    70.93    76.72

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

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

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