US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR OCT 16

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

            USX    USZ     TYX    TYZ     FVX    TUZ     EDX     EDZ

MON 3:00   7.48%  7.15%   3.62%  3.67%   2.32%  2.31%   14.40%  16.25%

1:45       7.18%  7.05%   3.58%  3.63%   2.12%  2.24%   14.65%  16.65%

12:00      7.37%  7.16%   3.59%  3.71%   2.16%  2.27%   15.10%  16.60%

10:45      7.35%  7.12%   3.50%  3.67%   2.16%  2.27%   14.70%  16.82%

9:30       7.25%  7.07%   3.58%  3.70%   2.15%  2.22%   14.50%  16.81%

MON OPEN   7.50%  7.22%   3.65%  3.71%   2.10%  2.27%   14.14%  16.85%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

NOV17 10Y NOTE  128.50 C  114,833     +457   124.50 P  156,109 -59,840

DEC17 10Y NOTE  129.00 C   94,599   +1,031   124.00 P  129,766 +22,574

NOV17 5Y NOTE   118.50 C   70,172   +3,000   116.75 P   44,356  -1,925

DEC17 5Y NOTE   118.25 C   26,245      +90   112.25 P  104,845    +125

NOV17 EURODLR    98.62 C   89,685   +1,680    98.50 P  111,463 +17,266

DEC17 EURODLR    98.75 C  667,060  +20,666    98.37 P1,124,402     -10

DEC18 1Y-MIDC    98.50 C  283,075   +5,254    98.00 P  730,428  +5,181

DEC19 2Y-MIDC    98.50 C  129,847   -8,532    97.75 P  315,333  +2,950

DEC20 3Y-MIDC    97.87 C   61,898   +3,096    97.75 P  115,215  +1,513

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

NOV17 10Y NOTE  125.50 C   40,149   -2,393   125.50 P   90,028  +1,156

NOV17 10Y NOTE  126.00 C   66,959     -733   126.00 P   48,267    -393

DEC17 10Y NOTE  125.50 C   24,702   +2,896   125.50 P   46,085  +3,253

DEC17 10Y NOTE  126.00 C   43,209     +623   126.00 P   42,425      +9

NOV17 5Y NOTE   117.50 C   15,116      -71   117.50 P   24,243    -401

NOV17 5Y NOTE   117.75 C   19,605     -328   117.75 P   20,194    UNCH

DEC17 5Y NOTE   117.50 C    8,267      -23   117.50 P   12,171    +195

DEC17 5Y NOTE   117.75 C   17,593     +330   117.75 P   15,561    UNCH

NOV17 EURODLR    98.50 C   38,797   +3,944    98.50 P  111,463 +17,266

NOV17 EURODLR    98.62 C   89,685   +1,680    98.62 P   13,100    UNCH

DEC17 EURODLR    98.50 C  315,972  +15,005    98.50 P  606,720 +21,567

DEC17 EURODLR    98.62 C  549,838   -4,860    98.62 P  220,213     +50

DEC18 1Y-MIDC    98.12 C   80,598   +7,622    98.12 P  523,380    -654

DEC18 1Y-MIDC    98.25 C  227,654  +19,282    98.25 P  202,548  -1,716

DEC19 2Y-MIDC    97.87 C   28,674   -2,700    97.88 P  193,006  +2,667

DEC19 2Y-MIDC    98.00 C   83,287   +2,100    98.00 P  195,811    -450  

DEC20 3Y-MIDC    97.75 C   49,726   +3,000    97.75 P  115,215  +1,513

DEC20 3Y-MIDC    97.87 C   61,898   +3,096    97.87 P   71,344  +2,132

PUT/CALL RATIO FOR VOLUME CLEARED:

NOV17 10Y NOTE PUT/CALL RATIO -- 2.58 (440,897 PUTS VS. 170,614 CALLS)

DEC17 10Y NOTE PUT/CALL RATIO -- 2.57 (220,361 PUTS VS. 85,619 CALLS)

NOV17 5Y NOTE PUT/CALL RATIO  -- 0.27 (8,024 PUTS VS. 29,075 CALLS)

DEC17 5Y NOTE PUT/CALL RATIO  -- 1.67 (32,905 PUTS VS. 19,723 CALLS)

NOV17 EURODLRS PUT/CALL RATIO -- 2.36 (32,739 PUTS VS. 13,839 CALLS)

DEC17 EURODLRS PUT/CALL RATIO -- 0.43 (49,030 PUTS VS. 112,023 CALLS)

DEC18 1Y-MIDCRVE PUT/CALL RATIO -- 3.33 (127,428 PUTS VS. 38,250 CALLS)

DEC19 2Y-MIDCRVE PUT/CALL RATIO -- 0.88 (25,700 PUTS VS. 29,200 CALLS)

DEC20 3Y-MIDCRVE PUT/CALL RATIO -- 1.10 (11,050 PUTS VS. 10,050 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

Mon 3:00     41.14    56.34    55.57    58.75    70.96    77.07

1:45         40.97    56.34    55.59    58.77    70.96    77.07

12:00        40.89    56.48    55.80    59.04    70.96    77.11

10:45        40.89    56.58    55.80    59.04    70.98    77.11

9:30         41.20    56.90    55.88    59.12    71.05    77.16

Mon Open     41.44    57.19    56.04    59.28    71.08    77.18

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

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