US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR OCT 27

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

            USX    USZ     TYX    TYZ     FVX    TUZ     EDX     EDZ

11:15       N/A   7.56%    N/A   3.95%    N/A   2.44%   10.89%  13.52%

9:15        N/A   7.75%    N/A   4.06%    N/A   2.56%   11.56%  14.07%

FRI OPEN    N/A   8.01%    N/A   4.22%    N/A   2.65%   10.53%  13.12%

THU 3:00    N/A   8.09%    N/A   4.18%    N/A   2.63%   11.25%  13.96%

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

NOV17 10Y NOTE  128.50 C  115,414     UNCH   124.50 P   97,507 -22,129

DEC17 10Y NOTE  126.50 C  183,903   +4,297   124.50 P  184,670  +1,883

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

DEC17 5Y NOTE   118.00 C   44,438  +12,246   112.25 P  104,983    UNCH

NOV17 EURODLR    98.62 C  125,854   +1,000    98.50 P  114,805  +1,859

DEC17 EURODLR    98.75 C  671,489     UNCH    98.37 P1,084,935  +5,000

DEC18 1Y-MIDC    98.50 C  271,586     UNCH    98.00 P  624,836 -37,478

DEC19 2Y-MIDC    98.25 C  120,702   -3,650    97.75 P  333,059  +6,574

DEC20 3Y-MIDC    97.87 C   74,677   -2,500    97.50 P  120,567  +3,300

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

NOV17 10Y NOTE  124.50 C    8,126     +618   124.50 P   97,507 -22,129

NOV17 10Y NOTE  125.00 C   41,179  +12,874   125.00 P   71,437  -2,962

DEC17 10Y NOTE  124.50 C   34,359   +5,682   124.50 P  184,670  +1,883

DEC17 10Y NOTE  125.00 C   44,368   +1,566   125.00 P   68,273  -3,063

NOV17 5Y NOTE   117.00 C    8,912   +2,178   117.00 P   29,620    -151

NOV17 5Y NOTE   117.25 C   16,228     +277   117.25 P   29,064     -29

DEC17 5Y NOTE   117.00 C   19,811   +3,337   117.00 P   43,129  -5,293

DEC17 5Y NOTE   117.25 C   17,028     +731   117.25 P   19,294  -1,850

NOV17 EURODLR    98.50 C   53,891   +4,520    98.50 P  114,805  +1,859

NOV17 EURODLR    98.62 C  125,854   +1,000    98.62 P   13,100    UNCH

DEC17 EURODLR    98.50 C  372,777  +18,699    98.50 P  545,642    -500

DEC17 EURODLR    98.62 C  618,243   +5,750    98.62 P  223,253    UNCH

DEC18 1Y-MIDC    98.12 C  109,696   +7,340    98.12 P  321,202 -29,531

DEC18 1Y-MIDC    98.25 C  219,382   -3,508    98.25 P  192,563  -3,000

DEC19 2Y-MIDC    97.87 C   52,335  +19,613    97.88 P  177,692  -1,749

DEC19 2Y-MIDC    98.00 C  110,684   +1,200    98.00 P  216,360  -4,133  

DEC20 3Y-MIDC    97.75 C   61,110     +255    97.75 P  110,851    UNCH

DEC20 3Y-MIDC    97.87 C   74,677   -2,500    97.87 P   85,615    UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

NOV17 10Y NOTE PUT/CALL RATIO -- 1.78 (128,152 PUTS VS. 71,765 CALLS)

DEC17 10Y NOTE PUT/CALL RATIO -- 1.14 (143,279 PUTS VS. 125,579 CALLS)

NOV17 5Y NOTE PUT/CALL RATIO  -- 2.97 (32,680 PUTS VS. 11,005 CALLS)

DEC17 5Y NOTE PUT/CALL RATIO  -- 0.57 (24,129 PUTS VS. 41,671 CALLS)

NOV17 EURODLRS PUT/CALL RATIO -- 0.29 (6,263 PUTS VS. 21,026 CALLS)

DEC17 EURODLRS PUT/CALL RATIO -- 0.38 (16,404 PUTS VS. 43,050 CALLS)

DEC18 1Y-MIDCRVE PUT/CALL RATIO -- 6.77 (199,976 PUTS VS. 29,500 CALLS)

DEC19 2Y-MIDCRVE PUT/CALL RATIO -- 1.84 (141,423 PUTS VS. 76,650 CALLS)

DEC20 3Y-MIDCRVE PUT/CALL RATIO -- 2.18 (15,324 PUTS VS. 7,000 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

11:15        44.69    59.26    60.21    62.36    74.19    78.46

9:15         45.94    63.94    63.09    65.32    75.01    78.70

Fri Open     45.97    63.57    62.99    65.16    74.74    78.65

Thu 3:00     45.69    62.91    62.33    64.70    74.38    78.22

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

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

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