US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR OCT 25

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

            USX    USZ     TYX    TYZ     FVX    TUZ     EDX     EDZ

9:45        N/A   8.30%    N/A   4.31%    N/A   2.75%   11.91%  14.91%

WED OPEN    N/A   8.16%    N/A   4.32%    N/A   2.73%   11.30%  13.96%

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

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

NOV17 10Y NOTE  128.50 C  115,414     UNCH   124.50 P  136,749 -15,785

DEC17 10Y NOTE  126.50 C  181,671     -551   124.50 P  187,035    +246

NOV17 5Y NOTE   118.50 C   45,185     UNCH   116.50 P   34,199    -849

DEC17 5Y NOTE   118.25 C   42,863     +112   112.25 P  104,983    UNCH

NOV17 EURODLR    98.62 C  122,730  +14,600    98.50 P  114,283  +1,236

DEC17 EURODLR    98.75 C  672,489     +700    98.37 P1,075,873 -15,199

DEC18 1Y-MIDC    98.50 C  271,830     -500    98.00 P  638,091-196,606

DEC19 2Y-MIDC    98.25 C  131,001   +2,400    97.75 P  294,885 +11,281

DEC20 3Y-MIDC    97.87 C   75,405   +3,250    97.75 P  120,985  -5,344

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

NOV17 10Y NOTE  124.50 C    7,113     +895   124.50 P  136,749 -15,785

NOV17 10Y NOTE  125.00 C   23,053   +2,796   125.00 P   36,957  +1,627

DEC17 10Y NOTE  124.50 C   14,934   +9,670   124.50 P  187,035    +246

DEC17 10Y NOTE  125.00 C   25,380      -37   125.00 P   72,757  +1,898

NOV17 5Y NOTE   117.00 C    2,844     +179   117.00 P   31,933     +19

NOV17 5Y NOTE   117.25 C   16,909     +774   117.25 P   28,345  -1,554

DEC17 5Y NOTE   117.00 C    9,366   +8,013   117.00 P   45,047    -151

DEC17 5Y NOTE   117.25 C   11,726     +943   117.25 P   21,775     -10

NOV17 EURODLR    98.50 C   49,371     +700    98.50 P  114,283  +1,236

NOV17 EURODLR    98.62 C  122,730  +14,600    98.62 P   13,100    UNCH

DEC17 EURODLR    98.50 C  357,552  -12,487    98.50 P  543,086 -16,414

DEC17 EURODLR    98.62 C  611,696   +2,500    98.62 P  223,453  -1,050

DEC18 1Y-MIDC    98.12 C  106,611   -1,819    98.12 P  351,677-177,449

DEC18 1Y-MIDC    98.25 C  229,774     -317    98.25 P  193,013    -276

DEC19 2Y-MIDC    97.87 C   31,722     +950    97.88 P  180,249    +708

DEC19 2Y-MIDC    98.00 C  113,789     -879    98.00 P  214,153  +6,320  

DEC20 3Y-MIDC    97.75 C   57,355     +775    97.75 P  120,985  -5,344

DEC20 3Y-MIDC    97.87 C   75,405   +3,250    97.87 P   85,615    UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

NOV17 10Y NOTE PUT/CALL RATIO -- 1.45 (166,266 PUTS VS. 114,651 CALLS)

DEC17 10Y NOTE PUT/CALL RATIO -- 1.35 (117,194 PUTS VS. 86,832 CALLS)

NOV17 5Y NOTE PUT/CALL RATIO  -- 3.01 (23,442 PUTS VS. 7,781 CALLS)

DEC17 5Y NOTE PUT/CALL RATIO  -- 0.93 (35,529 PUTS VS. 37,889 CALLS)

NOV17 EURODLRS PUT/CALL RATIO -- 0.15 (5,901 PUTS VS. 38,500 CALLS)

DEC17 EURODLRS PUT/CALL RATIO -- 1.13 (74,800 PUTS VS. 65,800 CALLS)

DEC18 1Y-MIDCRVE PUT/CALL RATIO -- 13.8 (590,622 PUTS VS. 42,500 CALLS)

DEC19 2Y-MIDCRVE PUT/CALL RATIO -- 6.31 (101,080 PUTS VS. 16,000 CALLS)

DEC20 3Y-MIDCRVE PUT/CALL RATIO -- 6.25 (63,260 PUTS VS. 10,100 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

9:45         45.62    64.81    61.51    65.42    74.00    78.28

Wed Open     45.22    63.27    61.52    63.27    72.71    77.67

Tue 3:00     44.22    63.13    60.62    62.43    72.59    77.59

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

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

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