US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR OCT 24

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

            USX    USZ     TYX    TYZ     FVX    TUZ     EDX     EDZ

TUE 3:00    N/A   7.78%    N/A   4.21%    N/A   2.69%   10.60%  14.10%

1:45        N/A   7.84%    N/A   4.24%    N/A   2.66%   10.50%  13.40%

12:30       N/A   7.82%    N/A   4.22%    N/A   2.66%   10.25%  13.50%

10:30       N/A   7.75%    N/A   4.27%    N/A   2.65%   10.40%  12.87%

9:15        N/A   7.72%    N/A   4.23%    N/A   2.66%   10.95%  12.86%

TUE OPEN    N/A   7.71%    N/A   4.28%    N/A   2.63%   11.25%  12.86%

MON 3:00    N/A   7.62%    N/A   4.08%    N/A   2.58%   11.22%  12.77%

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     UNCH   124.50 P  152,534  +2,961

DEC17 10Y NOTE  126.50 C  182,222  +42,373   124.50 P  186,789  +2,673

NOV17 5Y NOTE   118.50 C   45,185     UNCH   116.50 P   35,048    -309

DEC17 5Y NOTE   118.25 C   42,751      -75   112.25 P  104,983    UNCH

NOV17 EURODLR    98.62 C  108,130     UNCH    98.50 P  113,047    UNCH

DEC17 EURODLR    98.75 C  671,789     +500    98.37 P1,091,072  -2,350

DEC18 1Y-MIDC    98.50 C  272,330     -750    98.00 P  834,697 -19,950

DEC19 2Y-MIDC    98.25 C  128,601     UNCH    97.75 P  283,604  +1,765

DEC20 3Y-MIDC    97.87 C   72,155     -600    97.75 P  126,329  -2,024

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

NOV17 10Y NOTE  125.50 C   41,797   -2,447   125.50 P   88,880    -101

NOV17 10Y NOTE  126.00 C   69,454  +10,370   126.00 P   47,408      -1

DEC17 10Y NOTE  125.50 C   80,917  +22,281   125.50 P   55,486    +170

DEC17 10Y NOTE  126.00 C   55,067   +4,033   126.00 P   41,488      -1

NOV17 5Y NOTE   117.50 C   22,214   +2,474   117.50 P   23,122      +3

NOV17 5Y NOTE   117.75 C   23,797      -24   117.75 P   20,195    UNCH

DEC17 5Y NOTE   117.50 C   31,786   +4,709   117.50 P   35,388    UNCH

DEC17 5Y NOTE   117.75 C   23,802   -1,866   117.75 P    8,019      +1

NOV17 EURODLR    98.50 C   48,671     UNCH    98.50 P  118,064    UNCH

NOV17 EURODLR    98.62 C  108,130     UNCH    98.62 P   13,100    UNCH

DEC17 EURODLR    98.50 C  370,499   +6,100    98.50 P  559,600  -4,957

DEC17 EURODLR    98.62 C  609,196   +1,880    98.62 P  224,503  -1,950

DEC18 1Y-MIDC    98.12 C  108,430     +659    98.12 P  529,126  -7,365

DEC18 1Y-MIDC    98.25 C  230,091     -100    98.25 P  193,289    UNCH

DEC19 2Y-MIDC    97.87 C   30,772   +1,100    97.88 P  179,541    -150

DEC19 2Y-MIDC    98.00 C  114,668   +1,566    98.00 P  207,833  +4,251  

DEC20 3Y-MIDC    97.75 C   56,580     UNCH    97.75 P  126,329  -2,024

DEC20 3Y-MIDC    97.87 C   72,155     -600    97.87 P   85,615    UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

NOV17 10Y NOTE PUT/CALL RATIO -- 0.93 (119,589 PUTS VS. 127,380 CALLS)

DEC17 10Y NOTE PUT/CALL RATIO -- 0.25 (59,249 PUTS VS. 228,947 CALLS)

NOV17 5Y NOTE PUT/CALL RATIO  -- 0.82 (15,439 PUTS VS. 18,596 CALLS)

DEC17 5Y NOTE PUT/CALL RATIO  -- 0.29 (9,487 PUTS VS. 31,696 CALLS)

NOV17 EURODLRS PUT/CALL RATIO -- 1.00 (600 PUTS VS. 600 CALLS)

DEC17 EURODLRS PUT/CALL RATIO -- 1.66 (62,364 PUTS VS. 37,418 CALLS)

DEC18 1Y-MIDCRVE PUT/CALL RATIO -- 12.6 (64,317 PUTS VS. 5,161 CALLS)

DEC19 2Y-MIDCRVE PUT/CALL RATIO -- 3.94 (59,166 PUTS VS. 15,050 CALLS)

DEC20 3Y-MIDCRVE PUT/CALL RATIO -- 4.09 (25,028 PUTS VS. 6,119 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

Tue 3:00     44.22    63.13    60.62    62.43    72.59    77.59

1:45         44.22    63.01    60.57    62.35    72.46    77.59

12:30        44.20    62.83    60.37    62.22    72.36    77.59

10:30        44.24    62.60    59.97    61.80    72.33    77.56

9:15         44.72    62.72    59.97    61.80    72.21    77.10

Tue Open     44.69    62.20    59.79    61.62    72.06    76.83

Mon 3:00     44.57    61.76    59.56    61.40    71.79    77.14

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$]