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    FVZ     EDX     EDZ

WED 3:00   6.95%   7.04%  3.08%  3.34%  1.96%  2.01%   8.60%   8.70%

WED OPEN   7.09%   7.11%  3.48%  3.44%  1.94%  2.11%   7.30%   8.17% 

TUE 3:00    N/A     N/A    N/A    N/A    N/A    N/A     N/A     N/A

TUE OPEN   7.51%   7.37%  3.64%  3.59%  2.06%  2.17%   9.91%   9.16%

MON 3:00   7.34%   7.25%  3.63%  3.58%  1.97%  2.14%   8.45%   9.98%

MON 11:30  7.41%   7.35%  3.68%  3.56%  2.06%  2.19%   8.85%  10.29%

FRI 3:00   7.74%   7.65%  3.86%  3.81%  2.28%  2.31%    N/A    9.89%

FRI OPEN   7.96%   7.85%  3.75%  3.80%  2.23%  2.33%    N/A    9.56%

THU 3:00   7.94%   7.99%  3.98%  3.88%  2.35%  2.39%    N/A    9.82%

THU OPEN   8.61%   8.27%  4.14%  4.01%  2.40%  2.46%    N/A   10.10%

     LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

NOV18 10Y NOTE  119.00 C  131,758   -4,263   117.00 P  104,819  -2,800

DEC18 10Y NOTE  119.00 C   85,592     +880   116.50 P  139,729 +11,299

NOV18 5Y NOTE   112.75 C   35,018     -211   112.50 P   23,466    -543

DEC18 5Y NOTE   112.75 C   56,201     -197   107.25 P  249,219    UNCH

NOV18 2Y NOTE   105.75 C   28,041     UNCH   105.00 P   16,527    UNCH

DEC18 2Y NOTE   105.75 C   14,943     UNCH   104.87 P   13,167    UNCH

NOV18 EURODLR    97.37 C  101,279     +117    97.37 P   84,672  -8,625

DEC18 EURODLR    97.62 C  469,783     UNCH    97.25 P  644,350 -10,026

DEC19 1Y-MIDC    97.00 C  299,815  +11,378    96.75 P  581,717  +5,050

DEC20 2Y-MIDC    97.00 C  135,507     -485    96.62 P  342,037  -2,500

DEC21 3Y-MIDC    97.50 C   66,097     UNCH    96.50 P  136,354    UNCH

     NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

NOV18 10Y NOTE  120.00 C   85,124   -1,699   120.00 P   21,203    +343

NOV18 10Y NOTE  120.50 C   54,277     -251   120.50 P    7,923      +6

DEC18 10Y NOTE  120.00 C   78,163   +2,421   120.00 P   35,170  +1,571

DEC18 10Y NOTE  120.50 C   54,099     -430   120.50 P   19,921    UNCH

NOV18 5Y NOTE   113.50 C   24,616     -252   113.50 P    3,125    UNCH

NOV18 5Y NOTE   113.75 C   11,748     -170   113.75 P    1,913    UNCH

DEC18 5Y NOTE   113.50 C   54,967     -332   113.50 P    6,633    UNCH

DEC18 5Y NOTE   113.75 C   18,854     -423   113.75 P      389    UNCH

NOV18 2Y NOTE   105.62 C   19,784     UNCH   105.62 P      108    UNCH

NOV18 2Y NOTE   105.75 C   28,041     UNCH   105.75 P      255    UNCH

DEC18 2Y NOTE   105.62 C    4,630     UNCH   105.62 P      322    UNCH

DEC18 2Y NOTE   106.75 C   14,943     UNCH   106.75 P      251    UNCH

NOV18 EURODLR    97.37 C  101,279     +117    97.37 P   84,672  -8,625

NOV18 EURODLR    97.50 C   90,756     UNCH    97.50 P    3,625    UNCH 

DEC18 EURODLR    97.50 C  397,037   +3,665    97.50 P  334,532    UNCH

DEC18 EURODLR    97.62 C  469,783     UNCH    97.62 P  193,083    UNCH

DEC19 1Y-MIDC    97.12 C  143,173     +600    97.12 P  111,765    UNCH

DEC19 1Y-MIDC    97.25 C  198,168      -26    97.25 P   85,010    UNCH

DEC20 2Y-MIDC    97.00 C  135,507     -485    97.00 P  252,146    -100

DEC20 2Y-MIDC    97.12 C   65,591     +100    97.12 P   42,633    UNCH  

DEC21 3Y-MIDC    96.87 C   50,795     +443    96.87 P   38,049    +809

DEC21 3Y-MIDC    97.00 C   54,141     +350    97.00 P  100,665    UNCH

     PUT/CALL RATIO FOR VOLUME CLEARED:

NOV18 10Y NOTE PUT/CALL RATIO  -- 1.23 (84,770 PUTS VS. 68,942 CALLS)

DEC18 10Y NOTE PUT/CALL RATIO  -- 1.78 (140,090 PUTS VS. 78,808 CALLS)

NOV18 5Y NOTE PUT/CALL RATIO   -- 1.03 (8,268 PUTS VS. 8,055 CALLS)

DEC18 5Y NOTE PUT/CALL RATIO   -- 1.26 (26,630 PUTS VS. 21,132 CALLS)

NOV18 2Y NOTE PUT/CALL RATIO   -- 0.03 (262 PUTS VS. 8,763 CALLS)

DEC18 2Y NOTE PUT/CALL RATIO   -- 1.49 (6,122 PUTS VS. 4,122 CALLS)

NOV18 EURODLRS PUT/CALL RATIO  -- 21.9 (24,500 PUTS VS. 1,117 CALLS)

DEC18 EURODLRS PUT/CALL RATIO  -- 1.41 (59,390 PUTS VS. 41,983 CALLS)

DEC19 1Y-MIDCRVE PUT/CALL RATIO-- 0.42 (10,700 PUTS VS. 25,700 CALLS)

DEC20 2Y-MIDCRVE PUT/CALL RATIO-- 1.82 (14,442 PUTS VS. 7,942 CALLS)

DEC21 3Y-MIDCRVE PUT/CALL RATIO-- 1.92 (6,900 PUTS VS. 3,600 CALLS)

     (VOLUME, OPEN INTEREST, RATIOS 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

WED 3:00    42.19   53.50    54.03   71.59    70.27     75.39

WED OPEN    43.17   54.30    54.96   57.95    70.55     75.45

TUE 3:00     N/A     N/A      N/A     N/A      N/A       N/A

TUE OPEN    44.48   57.13    56.56   59.21    70.77     75.52

MON 3:00    44.74   57.33    56.93   59.39    70.66     75.40

MON 11:30   44.89   57.58    57.24   59.56    70.68     75.43

FRI 3:00    45.65   59.62    58.07   60.27    70.66     75.19

FRI OPEN    45.18   60.66    58.39   60.69    70.70     75.33

THU 3:00    45.56   59.92    58.95   61.13    70.62     75.19

THU OPEN    45.49   61.54    59.66   61.68    70.87     75.31

--MNI Chicago Bureau; +1 630-698-0154; email: ryan.martin@marketnews.com

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