US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR NOV 8

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

            USZ    USF     TYZ    TYF     FVZ    TUF     EDX     EDZ

9:00       6.49%  7.05%   3.18%  3.55%   1.78%  2.14%    N/A    13.23%

WED OPEN   6.70%  7.25%   3.30%  3.59%   1.89%  2.14%    N/A    12.46%

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

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

DEC17 10Y NOTE  126.50 C  189,037   -2,261   124.50 P  181,062  +1,664

JAN18 10Y NOTE  125.50 C   26,122   +2,658   123.00 P   55,892    +198

DEC17 5Y NOTE   118.00 C   52,486      -93   112.25 P  104,983    UNCH

JAN18 5Y NOTE   118.00 C   21,857   +3,934   116.00 P   10,549     +45

NOV17 EURODLR    98.62 C  126,842     +988    98.50 P   93,282    +600

DEC17 EURODLR    98.62 C  701,348   +8,026    98.37 P1,075,872    UNCH

DEC18 1Y-MIDC    98.50 C  276,678     UNCH    98.00 P  644,090  -5,210

DEC19 2Y-MIDC    98.25 C  124,052     UNCH    97.75 P  310,711  -5,750

DEC20 3Y-MIDC    97.75 C   89,764   +1,000    97.75 P  132,745    +750

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

DEC17 10Y NOTE  124.50 C   42,913   -1,407   124.50 P  181,062  +1,664

DEC17 10Y NOTE  125.00 C   51,649     -295   125.00 P   77,041  +9,023

JAN18 10Y NOTE  124.00 C    8,182     +164   124.00 P   45,522    +609

JAN18 10Y NOTE  124.50 C   12,489     UNCH   124.50 P   24,493  -5,189

DEC17 5Y NOTE   117.00 C   28,227     UNCH   117.00 P   37,723  -2,783

DEC17 5Y NOTE   117.25 C   37,723     -648   117.25 P   23,728  -1,425

JAN18 5Y NOTE   116.75 C      307     UNCH   116.75 P    1,933      +1

JAN18 5Y NOTE   117.00 C    2,897      +14   117.00 P    1,567    +433

NOV17 EURODLR    98.50 C   59,843   +1,000    98.50 P   93,282    +600

NOV17 EURODLR    98.62 C  126,842     +988    98.62 P   13,100    UNCH

DEC17 EURODLR    98.50 C  432,869     +502    98.50 P  546,248  +5,238

DEC17 EURODLR    98.62 C  701,348   +8,026    98.62 P  211,426    -750

DEC18 1Y-MIDC    98.12 C  159,304  +16,976    98.12 P  308,249    -128

DEC18 1Y-MIDC    98.25 C  224,966   +4,403    98.25 P  188,574     +63

DEC19 2Y-MIDC    97.87 C   94,800   -2,399    97.88 P  209,269    -248

DEC19 2Y-MIDC    98.00 C  115,295     -404    98.00 P  235,866    UNCH

DEC20 3Y-MIDC    97.75 C   89,764   +1,000    97.75 P  132,745    +750

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 -- 1.36 (133,428 PUTS VS. 97,681 CALLS)

JAN18 10Y NOTE PUT/CALL RATIO -- 1.53 (35,043 PUTS VS. 22,862 CALLS)

DEC17 5Y NOTE PUT/CALL RATIO  -- 1.48 (18,538 PUTS VS. 12,556 CALLS)

JAN18 5Y NOTE PUT/CALL RATIO  -- 0.21 (1,842 PUTS VS. 8,569 CALLS)

NOV17 EURODLRS PUT/CALL RATIO -- 0.13 (1,620 PUTS VS. 11,800 CALLS)

DEC17 EURODLRS PUT/CALL RATIO -- 0.17 (17,895 PUTS VS. 100,838 CALLS)

DEC18 1Y-MIDCRVE PUT/CALL RATIO -- 0.82 (84,827 PUTS VS. 103,550 CALLS)

DEC19 2Y-MIDCRVE PUT/CALL RATIO -- 6.42 (45,049 PUTS VS. 7,050 CALLS)

DEC20 3Y-MIDCRVE PUT/CALL RATIO -- 1.01 (2,747 PUTS VS. 2,247 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

9:00         37.66    50.26    51.34    54.92    70.33    76.32

Wed Open     37.66    50.12    51.38    54.96    70.54    76.32

Tue 3:00     37.90    50.37    51.75    55.29    70.74    76.53

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

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

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