US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR OCT 30

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

            USZ    USF     TYZ    TYF     FVZ    TUF     EDX     EDZ

9:30       7.45%  7:79%   3.86%  4.04%   2.32%  2.56%   12.51%  13.50%

MON OPEN   7.67%  7:45%   3.86%  3.96%   2.46%  2.88%   12.20%  13.62%

FRI 3:00   7.44%   N/A    3.86%   N/A    2.45%   N/A    10.40%  13.20%

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

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

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

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

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

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

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

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

MON OPEN   7.63%   N/A    4.10%   N/A    2.60%   N/A    11.10%  13.90%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

DEC17 10Y NOTE  126.50 C  182,163   -1,740   124.50 P  194,940 +10,270

JAN18 10Y NOTE  125.00 C   17,622   +3,273   124.00 P   21,528  +1,917

DEC17 5Y NOTE   118.00 C   46,294   +1,856   112.25 P  104,983    UNCH

JAN18 5Y NOTE   118.00 C   10,052     UNCH   116.00 P   10,052    UNCH

NOV17 EURODLR    98.62 C  125,854     UNCH    98.50 P  115,260    +455

DEC17 EURODLR    98.75 C  671,489     UNCH    98.37 P1,081,522  -3,413

DEC18 1Y-MIDC    98.50 C  270,586   -1,000    98.00 P  637,103 +13,017

DEC19 2Y-MIDC    98.25 C  120,702     UNCH    97.75 P  325,446  -7,613

DEC20 3Y-MIDC    97.87 C   74,677     UNCH    97.50 P  120,617  +1,000

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

DEC17 10Y NOTE  124.50 C   47,264  +12,905   124.50 P  194,940 +10,270

DEC17 10Y NOTE  125.00 C   47,409   +3,041   125.00 P   65,442  -2,831

JAN18 10Y NOTE  124.00 C    8,482   +1,462   124.00 P   21,528  +1,917

JAN18 10Y NOTE  124.50 C   14,982     +156   124.50 P   16,072    +429

DEC17 5Y NOTE   117.00 C   25,471   +5,760   117.00 P   42,512    -617

DEC17 5Y NOTE   117.25 C   29,598   +9,570   117.25 P   19,334     +40

JAN18 5Y NOTE   116.75 C      277     +100   116.75 P    1,302    +623

JAN18 5Y NOTE   117.00 C      396     UNCH   117.00 P      501    UNCH

NOV17 EURODLR    98.50 C   57,311   +3,420    98.50 P  115,260    +455

NOV17 EURODLR    98.62 C  125,854     UNCH    98.62 P   13,100    UNCH

DEC17 EURODLR    98.50 C  410,940  +38,163    98.50 P  540,217  -5,425

DEC17 EURODLR    98.62 C  670,548  +52,305    98.62 P  222,753    -500

DEC18 1Y-MIDC    98.12 C  110,778   +1,082    98.12 P  320,052  -1,150

DEC18 1Y-MIDC    98.25 C  219,382     UNCH    98.25 P  193,484    +921

DEC19 2Y-MIDC    97.87 C   82,485  +30,150    97.88 P  177,275    -417

DEC19 2Y-MIDC    98.00 C  114,134   +3,450    98.00 P  216,360    UNCH

DEC20 3Y-MIDC    97.75 C   59,986   -1,124    97.75 P  108,195    -656

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

PUT/CALL RATIO FOR VOLUME CLEARED:

DEC17 10Y NOTE PUT/CALL RATIO -- 1.25 (208,592 PUTS VS. 166,645 CALLS)

JAN18 10Y NOTE PUT/CALL RATIO -- 0.47 (19,827 PUTS VS. 41,308 CALLS)

DEC17 5Y NOTE PUT/CALL RATIO  -- 0.89 (61,995 PUTS VS. 69,299 CALLS)

JAN18 5Y NOTE PUT/CALL RATIO  -- 3.76 (4,945 PUTS VS. 1,317 CALLS)

NOV17 EURODLRS PUT/CALL RATIO -- 0.62 (6,721 PUTS VS. 10,840 CALLS)

DEC17 EURODLRS PUT/CALL RATIO -- 0.47 (80,632 PUTS VS. 171,192 CALLS)

DEC18 1Y-MIDCRVE PUT/CALL RATIO -- 6.30 (87,614 PUTS VS. 13,950 CALLS)

DEC19 2Y-MIDCRVE PUT/CALL RATIO -- 1.79 (112,877 PUTS VS. 62,900 CALLS)

DEC20 3Y-MIDCRVE PUT/CALL RATIO -- 1.85 (22,858 PUTS VS. 12,300 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

9:30         43.92    58.09    58.87    61.84    73.95    77.97

Mon Open     44.14    58.94    59.19    62.16    73.99    78.14

Fri 3:00     44.08    57.72    59.18    61.58    73.96    78.35

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

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

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