US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR OCT 26

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

            USX    USZ     TYX    TYZ     FVX    TUZ     EDX     EDZ

12:00       N/A   7.96%    N/A   4.12%    N/A   2.61%   11.05%  13.12%

9:00        N/A   8.10%    N/A   4.22%    N/A   2.69%   10.05%  13.10%

THU OPEN    N/A   8.22%    N/A   4.22%    N/A   2.72%   10.15%  13.75%

WED 3:00    N/A   8.20%    N/A   4.29%    N/A   2.69%   10.75%  13.99%

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

NOV17 10Y NOTE  128.50 C  115,414     UNCH   124.50 P  120,068 -16,631

DEC17 10Y NOTE  126.50 C  179,606   -2,065   124.50 P  182,787  -4,106

NOV17 5Y NOTE   118.50 C   45,185     UNCH   115.25 P   31,432    UNCH

DEC17 5Y NOTE   118.25 C   42,477     -286   112.25 P  104,983    UNCH

NOV17 EURODLR    98.62 C  124,854   +2,124    98.50 P  112,946  -1,337

DEC17 EURODLR    98.75 C  671,489   -1,000    98.37 P1,079,935  +4,062

DEC18 1Y-MIDC    98.50 C  271,586     -244    98.00 P  662,314 +24,169

DEC19 2Y-MIDC    98.25 C  124,352   -6,649    97.75 P  326,485 +31,600

DEC20 3Y-MIDC    97.87 C   77,177   +1,772    97.50 P  117,267  +9,800

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

NOV17 10Y NOTE  124.50 C    7,508     +395   124.50 P  120,068 -16,631

NOV17 10Y NOTE  125.00 C   28,305   +5,252   125.00 P   74,399  -5,656

DEC17 10Y NOTE  124.50 C   28,731  +13,797   124.50 P  182,787  -4,106

DEC17 10Y NOTE  125.00 C   42,802  +17,422   125.00 P   71,336  -1,421

NOV17 5Y NOTE   117.00 C    6,734   +3,890   117.00 P   29,771  -2,162

NOV17 5Y NOTE   117.25 C   15,951     -958   117.25 P   29,143    +798

DEC17 5Y NOTE   117.00 C   16,474   +7,108   117.00 P   48,422  +3,375

DEC17 5Y NOTE   117.25 C   16,297   +4,571   117.25 P   21,144    -631

NOV17 EURODLR    98.50 C   49,371     UNCH    98.50 P  112,946  -1,337

NOV17 EURODLR    98.62 C  124,854   +2,124    98.62 P   13,100    UNCH

DEC17 EURODLR    98.50 C  354,078   -3,474    98.50 P  546,142  +2,706

DEC17 EURODLR    98.62 C  612,493     +447    98.62 P  223,253    -200

DEC18 1Y-MIDC    98.12 C  102,356   -4,255    98.12 P  350,733    -944

DEC18 1Y-MIDC    98.25 C  222,890   -6,884    98.25 P  195,563  +2,550

DEC19 2Y-MIDC    97.87 C   32,722   +1,000    97.88 P  179,441    -808

DEC19 2Y-MIDC    98.00 C  109,484   -4,305    98.00 P  220,493  +6,340  

DEC20 3Y-MIDC    97.75 C   60,855   +3,500    97.75 P  110,851 -10,134

DEC20 3Y-MIDC    97.87 C   77,177   +1,772    97.87 P   85,615    UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

NOV17 10Y NOTE PUT/CALL RATIO -- 2.56 (305,190 PUTS VS. 118,919 CALLS)

DEC17 10Y NOTE PUT/CALL RATIO -- 1.45 (320,507 PUTS VS. 220,597 CALLS)

NOV17 5Y NOTE PUT/CALL RATIO  -- 3.50 (71,442 PUTS VS. 20,428 CALLS)

DEC17 5Y NOTE PUT/CALL RATIO  -- 1.08 (54,759 PUTS VS. 50,620 CALLS)

NOV17 EURODLRS PUT/CALL RATIO -- 0.16 (1,889 PUTS VS. 11,204 CALLS)

DEC17 EURODLRS PUT/CALL RATIO -- 0.62 (39,717 PUTS VS. 63,301 CALLS)

DEC18 1Y-MIDCRVE PUT/CALL RATIO -- 6.88 (212,815 PUTS VS. 30,960 CALLS)

DEC19 2Y-MIDCRVE PUT/CALL RATIO -- 2.28 (109,898 PUTS VS. 48,250 CALLS)

DEC20 3Y-MIDCRVE PUT/CALL RATIO -- 2.76 (57,695 PUTS VS. 20,950 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

12:00        45.53    62.68    61.83    64.13    74.18    78.16

9:00         45.22    62.98    61.75    63.99    73.87    78.04

Thu Open     45.22    63.00    61.99    64.14    73.87    78.01

Wed 3:00     44.90    62.65    61.83    64.01    73.79    78.14

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

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

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