US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR OCT 18

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

            USX    USZ     TYX    TYZ     FVX    TUZ     EDX     EDZ

1:45       7.22%  7.16%   3.52%  3.72%   2.25%  2.36%   14.00%  16.50%

12:00      7.32%  7.16%   3.70%  3.78%   2.24%  2.36%   13.90%  16.75%

10:45      7.12%  7.15%   3.61%  3.77%   2.29%  2.38%   13.80%  16.75%

WED OPEN   7.28%  7.13%   3.60%  3.76%   2.32%  2.38%   14.45%  16.95%

TUE 3:00   7.07%  7.03%   3.48%  3.63%   2.15%  2.32%   14.55%  16.85%

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  114,830       -3   124.50 P  151,485  -2,869

DEC17 10Y NOTE  129.00 C   94,945     -278   124.00 P  134,060  +3,046

NOV17 5Y NOTE   118.50 C   70,671     +499   116.75 P   41,873  -2,401

DEC17 5Y NOTE   118.25 C   26,058     -410   112.25 P  104,871    UNCH

NOV17 EURODLR    98.62 C  100,885   +9,330    98.50 P  121,688  +8,075

DEC17 EURODLR    98.75 C  668,028     +300    98.37 P1,122,256  +6,654

DEC18 1Y-MIDC    98.50 C  275,330   -4,000    98.00 P  775,923 +33,643

DEC19 2Y-MIDC    98.50 C  120,712     +250    97.75 P  306,879  -2,420

DEC20 3Y-MIDC    97.87 C   62,913     +737    97.75 P  115,370    -194

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

NOV17 10Y NOTE  125.50 C   39,635     +391   125.50 P   91,379    -245

NOV17 10Y NOTE  126.00 C   65,029     -394   126.00 P   47,533    -595

DEC17 10Y NOTE  125.50 C   23,505     +362   125.50 P   46,587  -1,722

DEC17 10Y NOTE  126.00 C   41,185      -57   126.00 P   42,576     +84

NOV17 5Y NOTE   117.50 C   15,324     -315   117.50 P   23,219    +150

NOV17 5Y NOTE   117.75 C   20,839   +1,564   117.75 P   20,194    UNCH

DEC17 5Y NOTE   117.50 C    8,328      +95   117.50 P   35,572    UNCH

DEC17 5Y NOTE   117.75 C   21,034   +3,249   117.75 P    8,026    +319

NOV17 EURODLR    98.50 C   45,018   +5,971    98.50 P  121,688  +8,075

NOV17 EURODLR    98.62 C  100,885   +9,330    98.62 P   13,100    UNCH

DEC17 EURODLR    98.50 C  300,793  -16,870    98.50 P  604,831  -2,114

DEC17 EURODLR    98.62 C  550,210   +3,231    98.62 P  229,713  +9,500

DEC18 1Y-MIDC    98.12 C   98,603   +5,799    98.12 P  534,385  +1,849

DEC18 1Y-MIDC    98.25 C  228,653     -838    98.25 P  197,985  -4,212

DEC19 2Y-MIDC    97.87 C   27,812   +1,668    97.88 P  187,720  -5,759

DEC19 2Y-MIDC    98.00 C   92,532   +2,595    98.00 P  204,332  +5,095  

DEC20 3Y-MIDC    97.75 C   52,191   +1,370    97.75 P  115,370    -194

DEC20 3Y-MIDC    97.87 C   62,913     +737    97.87 P   71,415    UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

NOV17 10Y NOTE PUT/CALL RATIO -- 1.07 (66,963 PUTS VS. 62,091 CALLS)

DEC17 10Y NOTE PUT/CALL RATIO -- 2.23 (132,418 PUTS VS. 59,171 CALLS)

NOV17 5Y NOTE PUT/CALL RATIO  -- 1.12 (19,390 PUTS VS. 17,332 CALLS)

DEC17 5Y NOTE PUT/CALL RATIO  -- 6.82 (43,022 PUTS VS. 6,338 CALLS)

NOV17 EURODLRS PUT/CALL RATIO -- 0.51 (16,410 PUTS VS. 31,900 CALLS)

DEC17 EURODLRS PUT/CALL RATIO -- 0.97 (66,948 PUTS VS. 68,348 CALLS)

DEC18 1Y-MIDCRVE PUT/CALL RATIO -- 4.07 (229,810 PUTS VS. 56,394 CALLS)

DEC19 2Y-MIDCRVE PUT/CALL RATIO -- 18.6 (160,427 PUTS VS. 8,570 CALLS)

DEC20 3Y-MIDCRVE PUT/CALL RATIO -- 4.76 (36,150 PUTS VS. 7,631 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         42.85    56.20    56.88    58.46    70.95    77.17

12:00        43.29    56.20    56.89    58.52    70.93    77.15

10:45        43.29    56.06    56.82    58.46    70.91    77.10

Wed Open     42.85    55.90    56.30    58.07    70.83    77.01

Tue 3:00     42.33    56.29    56.27    58.01    70.81    77.04

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$]