US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR OCT 17

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

            USX    USZ     TYX    TYZ     FVX    TUZ     EDX     EDZ

12:45      7.28%  7.02%   3.58%  3.62%   2.22%  2.29%   14.75%  16.92%

11:30      7.34%  7.09%   3.60%  3.62%   2.13%  2.27%   15.05%  16.87%

9:15       7.53%  7.18%   3.61%  3.69%   2.24%  2.30%   14.50%  16.70%

TUE OPEN   7.37%  7.07%   3.50%  3.66%   2.05%  2.26%   14.30%  16.60%

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

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     UNCH   124.50 P  154,354  -1,755

DEC17 10Y NOTE  129.00 C   95,223     +624   124.00 P  131,014  +1,248

NOV17 5Y NOTE   118.50 C   70,172     UNCH   116.75 P   44,274     -82

DEC17 5Y NOTE   118.25 C   26,468     +223   112.25 P  104,871    UNCH

NOV17 EURODLR    98.62 C   91,555   +1,870    98.50 P  113,613  +2,150

DEC17 EURODLR    98.75 C  667,728     +668    98.37 P1,105,602 -18,800

DEC18 1Y-MIDC    98.50 C  279,330   -3,745    98.00 P  742,280 +11,852

DEC19 2Y-MIDC    98.50 C  120,462   -9,385    97.75 P  309,299  -6,034

DEC20 3Y-MIDC    97.87 C   62,176     +278    97.75 P  115,564    +349

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

NOV17 10Y NOTE  125.50 C   39,244     -707   125.50 P   91,624  +1,596

NOV17 10Y NOTE  126.00 C   65,423   -1,536   126.00 P   48,128    -139

DEC17 10Y NOTE  125.50 C   23,143   -1,559   125.50 P   48,359  +2,274

DEC17 10Y NOTE  126.00 C   41,242   -1,967   126.00 P   42,507     +82

NOV17 5Y NOTE   117.50 C   15,639     +523   117.50 P   23,069  -1,174

NOV17 5Y NOTE   117.75 C   19,275     -330   117.75 P   20,194    UNCH

DEC17 5Y NOTE   117.50 C    8,233      -34   117.50 P   35,572     -25

DEC17 5Y NOTE   117.75 C   17,785     +192   117.75 P    7,707    UNCH

NOV17 EURODLR    98.50 C   39,047     +250    98.50 P  113,613  +2,150

NOV17 EURODLR    98.62 C   91,555   +1,870    98.62 P   13,100    UNCH

DEC17 EURODLR    98.50 C  317,863   +1,891    98.50 P  606,945    +225

DEC17 EURODLR    98.62 C  546,979   -2,859    98.62 P  220,213    UNCH

DEC18 1Y-MIDC    98.12 C   92,804  +12,206    98.12 P  532,536  +9,156

DEC18 1Y-MIDC    98.25 C  229,491   +1,837    98.25 P  202,197    -351

DEC19 2Y-MIDC    97.87 C   26,144   -2,530    97.88 P  193,479    +473

DEC19 2Y-MIDC    98.00 C   89,937   +6,650    98.00 P  199,237  +3,426  

DEC20 3Y-MIDC    97.75 C   50,821   +1,095    97.75 P  115,564    +349

DEC20 3Y-MIDC    97.87 C   62,176     +278    97.87 P   71,415    +571

PUT/CALL RATIO FOR VOLUME CLEARED:

NOV17 10Y NOTE PUT/CALL RATIO -- 0.46 (50,269 PUTS VS. 107,802 CALLS)

DEC17 10Y NOTE PUT/CALL RATIO -- 1.39 (81,193 PUTS VS. 58,422 CALLS)

NOV17 5Y NOTE PUT/CALL RATIO  -- 4.12 (16,513 PUTS VS. 4,039 CALLS)

DEC17 5Y NOTE PUT/CALL RATIO  -- 1.66 (10,522 PUTS VS. 6,338 CALLS)

NOV17 EURODLRS PUT/CALL RATIO -- 1.03 (10,900 PUTS VS. 10,516 CALLS)

DEC17 EURODLRS PUT/CALL RATIO -- 2.18 (65,207 PUTS VS. 29,818 CALLS)

DEC18 1Y-MIDCRVE PUT/CALL RATIO -- 8.02 (205,500 PUTS VS. 25,600 CALLS)

DEC19 2Y-MIDCRVE PUT/CALL RATIO -- 1.43 (34,600 PUTS VS. 24,100 CALLS)

DEC20 3Y-MIDCRVE PUT/CALL RATIO -- 5.71 (18,265 PUTS VS. 3,243 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

12:45        41.66    56.57    56.27    58.13    70.83    77.02

11:30        41.61    56.57    56.27    58.13    70.83    77.02

9:15         41.68    56.69    55.67    58.16    70.26    77.10

Tue Open     41.65    56.88    55.88    58.62    70.89    77.09

Mon 3:00     41.14    56.34    55.57    58.75    70.96    77.07

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$]