US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR OCT 23

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

            USX    USZ     TYX    TYZ     FVX    TUZ     EDX     EDZ

9:00        N/A   7.45%    N/A   4.10%    N/A   2.59%   11.20%  13.81%

MON OPEN   8.78%  7.63%   4.88%  4.10%   3.05%  2.60%   11.10%  13.90%

FRI 3:00   7.55%  7.30%   4.09%  3.98%   2.78%  2.53%   12.00%  13.90%

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

NOV17 10Y NOTE  128.50 C  115,414      +83   124.50 P  149,573 +19,640

DEC17 10Y NOTE  126.50 C  139,849  +79,032   124.50 P  184,116 +33,251

NOV17 5Y NOTE   118.50 C   45,185     UNCH   116.50 P   35,357  +1,299

DEC17 5Y NOTE   118.25 C   42,826   -1,081   112.25 P  104,983    +112

NOV17 EURODLR    98.62 C  108,130   +3,851    98.50 P  113,047  -5,017

DEC17 EURODLR    98.75 C  671,289   +2,000    98.37 P1,093,422    +142

DEC18 1Y-MIDC    98.50 C  273,080     UNCH    98.00 P  854,647 +24,514

DEC19 2Y-MIDC    98.25 C  128,601  +15,975    97.75 P  281,839    +942

DEC20 3Y-MIDC    97.87 C   72,755   +5,581    97.75 P  128,353 +12,733

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

NOV17 10Y NOTE  125.50 C   44,244   +1,543   125.50 P   88,981  +2,352

NOV17 10Y NOTE  126.00 C   59,084   -1,875   126.00 P   47,409     -66

DEC17 10Y NOTE  125.50 C   58,636  +29,893   125.50 P   55,316  +1,063

DEC17 10Y NOTE  126.00 C   51,034   +4,478   126.00 P   41,489    -676

NOV17 5Y NOTE   117.50 C   19,740     +458   117.50 P   23,119    UNCH

NOV17 5Y NOTE   117.75 C   23,821      +84   117.75 P   20,195    UNCH

DEC17 5Y NOTE   117.50 C   27,077   +4,984   117.50 P   35,388     +75

DEC17 5Y NOTE   117.75 C   25,668     -709   117.75 P    8,018      -7

NOV17 EURODLR    98.50 C   48,671   +2,849    98.50 P  118,064    UNCH

NOV17 EURODLR    98.62 C  108,130   +3,851    98.62 P   13,100    UNCH

DEC17 EURODLR    98.50 C  364,399  +55,574    98.50 P  564,557 -12,150

DEC17 EURODLR    98.62 C  607,316  +48,531    98.62 P  226,453    UNCH

DEC18 1Y-MIDC    98.12 C  107,771   -1,777    98.12 P  536,491  +9,840

DEC18 1Y-MIDC    98.25 C  230,191   -2,123    98.25 P  193,289    -522

DEC19 2Y-MIDC    97.87 C   29,672     UNCH    97.88 P  179,691  -2,622

DEC19 2Y-MIDC    98.00 C  113,102   +1,580    98.00 P  203,582    UNCH  

DEC20 3Y-MIDC    97.75 C   56,580   +2,239    97.75 P  128,353 +12,733

DEC20 3Y-MIDC    97.87 C   72,755   +5,581    97.87 P   85,615 +14,200

PUT/CALL RATIO FOR VOLUME CLEARED:

NOV17 10Y NOTE PUT/CALL RATIO -- 2.17 (245,305 PUTS VS. 112,770 CALLS)

DEC17 10Y NOTE PUT/CALL RATIO -- 0.58 (193,366 PUTS VS. 329,426 CALLS)

NOV17 5Y NOTE PUT/CALL RATIO  -- 3.98 (86,832 PUTS VS. 21,864 CALLS)

DEC17 5Y NOTE PUT/CALL RATIO  -- 1.20 (46,327 PUTS VS. 38,474 CALLS)

NOV17 EURODLRS PUT/CALL RATIO -- 0.21 (7,222 PUTS VS. 33,432 CALLS)

DEC17 EURODLRS PUT/CALL RATIO -- 0.35 (108,638 PUTS VS. 309,312 CALLS)

DEC18 1Y-MIDCRVE PUT/CALL RATIO -- 116.7 (291,800 PUTS VS. 2,500 CALLS)

DEC19 2Y-MIDCRVE PUT/CALL RATIO -- 2.80 (146,951 PUTS VS. 52,400 CALLS)

DEC20 3Y-MIDCRVE PUT/CALL RATIO -- 8.44 (73,560 PUTS VS. 8,750 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

9:00         44.64    61.42    59.34    61.25    71.92    77.27

Mon Open     44.02    60.35    59.07    60.92    71.90    77.31

Fri 3:00     43.58    60.28    58.58    60.43    71.67    77.31

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

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

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