US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR OCT 20

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

            USX    USZ     TYX    TYZ     FVX    TUZ     EDX     EDZ

10:45      7.71%  7.46%   4.19%  3.98%   2.77%  2.51%   13.10%  14.25%

FRI OPEN   7.88%  7.24%   4.23%  3.94%   2.67%  2.50%   13.91%  15.47%

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

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  115,331     +667   124.50 P  129,933  -6,150

DEC17 10Y NOTE  129.00 C   93,765   -1,654   124.50 P  150,865  -3,201

NOV17 5Y NOTE   118.50 C   45,185     UNCH   116.75 P   44,144  +1,656

DEC17 5Y NOTE   118.25 C   43,907  +17,850   112.25 P  104,871    UNCH

NOV17 EURODLR    98.62 C  104,279   +3,394    98.50 P  118,064    UNCH

DEC17 EURODLR    98.75 C  669,289     UNCH    98.37 P1,094,280    UNCH

DEC18 1Y-MIDC    98.50 C  273,080     UNCH    98.00 P  830,133 +12,390

DEC19 2Y-MIDC    98.25 C  112,629  +24,816    97.75 P  280,897 -21,907

DEC20 3Y-MIDC    97.87 C   67,174     UNCH    97.75 P  115,620    +500

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

NOV17 10Y NOTE  125.50 C   42,701     +992   125.50 P   86,629  -1,261

NOV17 10Y NOTE  126.00 C   60,959     +100   126.00 P   47,475     -50

DEC17 10Y NOTE  125.50 C   28,743   +5,208   125.50 P   412531  +2,982

DEC17 10Y NOTE  126.00 C   48,556   +6,660   126.00 P   42,165    -265

NOV17 5Y NOTE   117.50 C   19,282   +2,258   117.50 P   23,119    -100

NOV17 5Y NOTE   117.75 C   23,737   +3,322   117.75 P   20,195      +1

DEC17 5Y NOTE   117.50 C   22,093  +12,729   117.50 P   35,313    -259

DEC17 5Y NOTE   117.75 C   26,377   +5,343   117.75 P    8,025      -1

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

NOV17 EURODLR    98.62 C  104,279   +3,394    98.62 P   13,100    UNCH

DEC17 EURODLR    98.50 C  308,825     +681    98.50 P  578,707    -430

DEC17 EURODLR    98.62 C  558,785     +899    98.62 P  227,453     -10

DEC18 1Y-MIDC    98.12 C  109,548   +8,745    98.12 P  526,651 -12,034

DEC18 1Y-MIDC    98.25 C  232,314   +4,591    98.25 P  193,811    -550

DEC19 2Y-MIDC    97.87 C   29,672     +793    97.88 P  181,313    +781

DEC19 2Y-MIDC    98.00 C  111,522  +13,334    98.00 P  203,582    UNCH  

DEC20 3Y-MIDC    97.75 C   54,341   +1,900    97.75 P  115,620    +500

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

PUT/CALL RATIO FOR VOLUME CLEARED:

NOV17 10Y NOTE PUT/CALL RATIO -- 1.12 (168,098 PUTS VS. 149,964 CALLS)

DEC17 10Y NOTE PUT/CALL RATIO -- 0.83 (71,000 PUTS VS. 85,440 CALLS)

NOV17 5Y NOTE PUT/CALL RATIO  -- 1.33 (42,046 PUTS VS. 31,403 CALLS)

DEC17 5Y NOTE PUT/CALL RATIO  -- 0.35 (29,471 PUTS VS. 84,239 CALLS)

NOV17 EURODLRS PUT/CALL RATIO -- 0.00 (0 PUTS VS. 16,500 CALLS)

DEC17 EURODLRS PUT/CALL RATIO -- 0.09 (3,400 PUTS VS. 34,396 CALLS)

DEC18 1Y-MIDCRVE PUT/CALL RATIO -- 1.11 (30,260 PUTS VS. 27,250 CALLS)

DEC19 2Y-MIDCRVE PUT/CALL RATIO -- 2.39 (126,054 PUTS VS. 52,750 CALLS)

DEC20 3Y-MIDCRVE PUT/CALL RATIO -- 0.48 (5,900 PUTS VS. 12,100 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

10:45        43.58    58.98    58.33    59.91    71.30    76.94

Fri Open     43.70    57.32    57.77    58.71    71.13    77.18

Thu 3:00     43.64    56.95    57.32    58.82    71.05    77.14

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$]