US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR OCT 19

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

            USX    USZ     TYX    TYZ     FVX    TUZ     EDX     EDZ

THU 3:00   7.60%  7.25%   4.02%  3.83%   2.50%  2.40%   13.90%  16.25%

1:15       7.74%  7.25%   4.00%  3.84%   2.48%  2.42%   13.40%  16.50%

11:30      7.75%  7.28%   3.93%  3.87%   2.46%  2.46%   13.50%  16.80%

9:45       7.64%  7.24%   3.93%  3.87%   2.58%  2.41%   13.80%  16.50%

THU OPEN   7.60%  7.25%   3.95%  3.86%   2.41%  2.44%   14.20%  17.20%

WED 3:00   7.38%  7.25%   3.74%  3.72%   2.31%  2.36%   13.70%  16.50%

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  114,665     -165   124.50 P  136,083 -15,402

DEC17 10Y NOTE  129.00 C   95,419     +474   124.50 P  154,066 +25,765

NOV17 5Y NOTE   118.50 C   45,185  -25,486   116.75 P   42,488    +615

DEC17 5Y NOTE   118.25 C   26,057       -1   112.25 P  104,871    UNCH

NOV17 EURODLR    98.62 C  100,885     UNCH    98.50 P  118,064    UNCH

DEC17 EURODLR    98.75 C  669,289   +1,261    98.37 P1,094,280 -21,976

DEC18 1Y-MIDC    98.50 C  273,080   -2,250    98.00 P  817,743 +41,820

DEC19 2Y-MIDC    98.50 C  120,712     UNCH    97.75 P  302,804  -4,075

DEC20 3Y-MIDC    97.87 C   67,174   +4,261    97.75 P  115,120    -250

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

NOV17 10Y NOTE  125.50 C   41,709   +2,074   125.50 P   87,890  -3,489

NOV17 10Y NOTE  126.00 C   60,859   -4,170   126.00 P   47,525      -8

DEC17 10Y NOTE  125.50 C   23,535      +30   125.50 P   51,271  +4,684

DEC17 10Y NOTE  126.00 C   41,896     +711   126.00 P   42,430    -146

NOV17 5Y NOTE   117.50 C   17,024   +1,700   117.50 P   23,219    UNCH

NOV17 5Y NOTE   117.75 C   20,415     -424   117.75 P   20,194    UNCH

DEC17 5Y NOTE   117.50 C    9,364   +1,036   117.50 P   35,572    UNCH

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

NOV17 EURODLR    98.50 C   45,822     +804    98.50 P  118,064    UNCH

NOV17 EURODLR    98.62 C  100,885     UNCH    98.62 P   13,100    UNCH

DEC17 EURODLR    98.50 C  308,144   +7,351    98.50 P  579,137 -25,694

DEC17 EURODLR    98.62 C  557,886   +7,676    98.62 P  227,463  -2,250

DEC18 1Y-MIDC    98.12 C  100,803   +2,200    98.12 P  538,685  +4,300

DEC18 1Y-MIDC    98.25 C  227,723     -930    98.25 P  194,361  -3,624

DEC19 2Y-MIDC    97.87 C   28,879   +1,067    97.88 P  181,532  -6,188

DEC19 2Y-MIDC    98.00 C   98,188   +5,656    98.00 P  203,582    -750  

DEC20 3Y-MIDC    97.75 C   52,441     +250    97.75 P  115,120    -250

DEC20 3Y-MIDC    97.87 C   67,174   +4,261    97.87 P   71,415    UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

NOV17 10Y NOTE PUT/CALL RATIO -- 1.31 (159,627 PUTS VS. 121,678 CALLS)

DEC17 10Y NOTE PUT/CALL RATIO -- 1.88 (116,471 PUTS VS. 61,796 CALLS)

NOV17 5Y NOTE PUT/CALL RATIO  -- 0.34 (18,750 PUTS VS. 54,876 CALLS)

DEC17 5Y NOTE PUT/CALL RATIO  -- 1.06 (22,593 PUTS VS. 21,162 CALLS)

NOV17 EURODLRS PUT/CALL RATIO -- 0.00 (0 PUTS VS. 4,000 CALLS)

DEC17 EURODLRS PUT/CALL RATIO -- 2.76 (185,388 PUTS VS. 67,057 CALLS)

DEC18 1Y-MIDCRVE PUT/CALL RATIO -- 7.15 (130,255 PUTS VS. 18,250 CALLS)

DEC19 2Y-MIDCRVE PUT/CALL RATIO -- 5.53 (53,100 PUTS VS. 9,600 CALLS)

DEC20 3Y-MIDCRVE PUT/CALL RATIO -- 2.78 (29,850 PUTS VS. 10,750 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

Thu 3:00     43.64    56.95    57.32    58.82    71.05    77.14

1:15         43.62    56.90    57.28    58.75    71.05    77.04

11:30        43.50    56.95    57.22    58.75    71.00    77.04

9:45         43.40    56.56    56.93    58.43    70.97    77.04

Thu Open     43.53    56.31    56.88    58.34    70.91    77.05

Wed 3:00     42.43    56.44    56.85    58.38    70.91    77.11

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$]