US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR NOV 9

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

            USZ    USF     TYZ    TYF     FVZ    TUF     EDX     EDZ

1:45       6.53%  6.98%   3.32%  3.57%   1.94%  2.25%    N/A    12.49%

11:30      6.81%  6.94%   3.43%  3.54%   1.96%  1.99%    N/A    11.76%

THU OPEN   6.84%  7.04%   3.34%  3.32%   1.96%  1.99%    N/A    12.56%

WED 3:00   6.49%  6.96%   3.04%  3.53%   1.84%  2.13%    N/A    12.46%

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

DEC17 10Y NOTE  126.50 C  193,785   +4,748   124.50 P  181,319    +257

JAN18 10Y NOTE  125.50 C   25,815     -307   123.00 P   54,921    -971

DEC17 5Y NOTE   118.00 C   50,881   -1,605   112.25 P  104,983    UNCH

JAN18 5Y NOTE   118.00 C   22,100     +243   116.00 P   10,549     +45

NOV17 EURODLR    98.62 C  126,842     UNCH    98.50 P   93,282    UNCH

DEC17 EURODLR    98.75 C  704,819  +15,300    98.37 P1,075,547    -325

DEC18 1Y-MIDC    98.50 C  276,678     UNCH    98.00 P  635,265  -8,825

DEC19 2Y-MIDC    98.25 C  136,652  +12,600    97.75 P  311,971  +1,260

DEC20 3Y-MIDC    97.75 C   89,964     +200    97.75 P  132,445    -300

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

DEC17 10Y NOTE  124.50 C   42,913     UNCH   124.50 P  181,319    +257

DEC17 10Y NOTE  125.00 C   51,273     -376   125.00 P   86,256  +9,215

JAN18 10Y NOTE  124.00 C    8,177       -5   124.00 P   45,206    -316

JAN18 10Y NOTE  124.50 C   12,481       -8   124.50 P   28,744  +4,251

DEC17 5Y NOTE   117.00 C   28,227     UNCH   117.00 P   41,853  +4,130

DEC17 5Y NOTE   117.25 C   38,753   +1,030   117.25 P   23,173    -555

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

JAN18 5Y NOTE   117.00 C    2,958      +61   117.00 P    1,567    +433

NOV17 EURODLR    98.50 C   59,843     UNCH    98.50 P   93,282    UNCH

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

DEC17 EURODLR    98.50 C  435,274   +2,405    98.50 P  543,959  -2,289

DEC17 EURODLR    98.62 C  703,349   +2,001    98.62 P  211,676    +250

DEC18 1Y-MIDC    98.12 C  160,728   +1,424    98.12 P  307,549    -700

DEC18 1Y-MIDC    98.25 C  226,502   +1,536    98.25 P  187,574  -1,000

DEC19 2Y-MIDC    97.87 C  135,300  +40,500    97.88 P  246,149 +36,880

DEC19 2Y-MIDC    98.00 C  112,595   -2,700    98.00 P  235,116    -750

DEC20 3Y-MIDC    97.75 C   89,964     +200    97.75 P  132,445    -300

DEC20 3Y-MIDC    97.87 C   76,582   -4,000    97.87 P   85,251    UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

DEC17 10Y NOTE PUT/CALL RATIO -- 0.45 (75,073 PUTS VS. 163,964 CALLS)

JAN18 10Y NOTE PUT/CALL RATIO -- 1.27 (45,523 PUTS VS. 35,837 CALLS)

DEC17 5Y NOTE PUT/CALL RATIO  -- 1.48 (18,538 PUTS VS. 12,549 CALLS)

JAN18 5Y NOTE PUT/CALL RATIO  -- 2.28 (17,645 PUTS VS. 7,702 CALLS)

NOV17 EURODLRS PUT/CALL RATIO -- 0.00 (0 PUTS VS. 0 CALLS)

DEC17 EURODLRS PUT/CALL RATIO -- 0.11 (16,596 PUTS VS. 144,714 CALLS)

DEC18 1Y-MIDCRVE PUT/CALL RATIO -- 0.57 (14,935 PUTS VS. 26,000 CALLS)

DEC19 2Y-MIDCRVE PUT/CALL RATIO -- 0.91 (69,574 PUTS VS. 76,150 CALLS)

DEC20 3Y-MIDCRVE PUT/CALL RATIO -- 0.32 (8,300 PUTS VS. 25,800 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

1:45         37.48    50.11    51.53    55.13    70.09    76.01

11:30        37.40    50.17    51.26    54.96    70.01    75.99

Thu Open     36.35    50.06    50.80    54.51    70.01    76.12

Wed 3:00     37.33    49.83    50.69    54.27    70.12    76.25

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

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

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