US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR Oct 2

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

            USX    USZ     TYX    TYZ     FVX    TUZ     EDV     EDZ

MON OPEN   7.62%  7.53%   3.99%  3.96%   2.47%  2.40%   12.10%  16.85%

FRI 3:00   7.31%  7.43%   3.92%  3.94%   2.41%  2.41%   11.30%  16.30%

FRI OPEN   7.17%  7.31%   3.76%  3.82%   2.28%  2.32%   12.20%  16.65%

THU 3:00   7.45%  7.49%   3.78%  3.84%   2.31%  2.32%   11.20%  16.35%

THU OPEN   7.44%  7.59%   3.81%  3.96%   2.39%  2.38%   12.10%  16.90%

WED 3:00   7.39%  7.51%   3.92%  3.92%   2.38%  2.41%   11.80%  16.90%

WED OPEN   7.10%  7.30%   3.80%  3.83%   2.31%  2.32%   11.89%  17.62%

TUE 3:00   7.19%  7.36%   3.84%  3.88%   2.31%  2.34%   12.40%  17.15%

TUE OPEN   7.26%  7.35%   3.83%  3.86%   2.29%  2.31%   13.40%  17.85%

MON 3:00   7.53%  7.50%   3.94%  3.95%   2.39%  2.37%   12.62%  17.80%

MON OPEN   7.24%  7.27%   3.76%  3.79%   2.21%  2.28%   13.34%  16.54%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

NOV17 10Y NOTE  127.00 C  115,417     -256   124.50 P  164,960 +20,081

DEC17 10Y NOTE  129.00 C   89,924     -996   114.00 P   90,755    UNCH

NOV17 5Y NOTE   118.50 C   35,960  +13,780   116.75 P   41,816  +1,003

DEC17 5Y NOTE   119.00 C   15,262     -313   112.25 P  104,720    UNCH

OCT17 EURODLR    98.62 C  132,909     -336    98.50 P  224,684  +3,000

DEC17 EURODLR    98.75 C  615,858     -150    98.37 P1,155,291 +16,493

DEC18 1Y-MIDC    98.50 C  147,775   -2,354    98.12 P  483,259  -5,949

DEC19 2Y-MIDC    98.50 C  139,965   +1,188    97.75 P  280,752  -1,200

DEC20 3Y-MIDC    97.87 C   55,713   +1,650    96.75 P  101,487    +325

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

NOV17 10Y NOTE  127.00 C  115,417     -256   127.00 P   23,841    +124

NOV17 10Y NOTE  127.50 C   82,110     +616   127.50 P   11,989    UNCH

DEC17 10Y NOTE  127.00 C   42,245   +3,962   127.00 P   21,056  -1,332

DEC17 10Y NOTE  127.50 C   29,609     -397   127.50 P   12,485    UNCH

NOV17 5Y NOTE   118.25 C   18,374     +129   118.25 P   15,012    UNCH

NOV17 5Y NOTE   118.50 C   35,960  +13,780   118.50 P    2,578    UNCH

DEC17 5Y NOTE   118.25 C   14,608      -40   118.25 P   15,978    UNCH

DEC17 5Y NOTE   118.50 C   11,787     +326   118.50 P   15,561    UNCH

OCT17 EURODLR    98.50 C   41,699   +1,600    98.50 P  224,684  +3,000

OCT17 EURODLR    98.62 C  132,909     -336    98.62 P   24,899    UNCH

DEC17 EURODLR    98.50 C  339,591   +7,832    98.50 P  591,211  -5,650

DEC17 EURODLR    98.62 C  526,763   +2,942    98.62 P  221,546    -100

DEC18 1Y-MIDC    98.25 C   90,458   -1,650    98.25 P  221,990 -10,515

DEC18 1Y-MIDC    98.37 C  141,361     -750    98.37 P   87,282  -8,302

DEC19 2Y-MIDC    98.00 C   70,980   +2,590    98.00 P  185,590  -3,400

DEC19 2Y-MIDC    98.12 C   50,888   +1,164    98.12 P   58,104    -300  

DEC20 3Y-MIDC    97.87 C   55,713   +1,650    97.87 P   41,997    UNCH

DEC20 3Y-MIDC    98.00 C   43,970     UNCH    98.00 P   19,255    UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

NOV17 10Y NOTE PUT/CALL RATIO -- 2.18 (311,512 PUTS VS. 142,756 CALLS)

DEC17 10Y NOTE PUT/CALL RATIO -- 1.51 (85,829 PUTS VS. 56,603 CALLS)

NOV17 5Y NOTE PUT/CALL RATIO  -- 1.33 (87,229 PUTS VS. 65,504 CALLS)

DEC17 5Y NOTE PUT/CALL RATIO  -- 2.84 (33,842 PUTS VS. 11,923 CALLS)

OCT17 EURODLRS PUT/CALL RATIO -- 0.60 (3,150 PUTS VS. 5,100 CALLS)

DEC17 EURODLRS PUT/CALL RATIO -- 2.88 (107,506 PUTS VS. 37,214 CALLS)

DEC18 1Y-MIDCRVE PUT/CALL RATIO -- 5.43 (111,902 PUTS VS. 20,650 CALLS)

DEC19 2Y-MIDCRVE PUT/CALL RATIO -- 1.59 (14,700 PUTS VS. 9,300 CALLS)

DEC20 3Y-MIDCRVE PUT/CALL RATIO -- 1.00 (6,000 PUTS VS. 6,000 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 Open     41.07    59.09    57.41    61.68    71.29    76.92

Fri 3:00     40.85    58.41    56.80    60.56    71.19    76.93

Fri Open     40.73    58.34    56.98    60.65    71.32    76.99

Thu 3:00     40.75    58.46    56.93    61.28    71.31    76.95

Thu Open     41.04    58.91    56.89    61.06    71.40    76.95

Wed 3:00     41.20    59.46    56.83    60.98    71.35    77.00

Wed Open     40.70    58.68    56.22    60.10    71.26    76.20

Tue 3:00     40.46    57.67    56.02    59.99    71.10    77.01

Tue Open     40.50    57.91    56.18    60.22    71.29    77.24

Mon 3:00     40.20    57.13    55.45    59.32    71.15    77.23

Mon Open     40.03    56.18    55.28    59.24    70.65    77.12

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

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