US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR OCT 31

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

            USZ    USF     TYZ    TYF     FVZ    TUF     EDX     EDZ

1:45       7.55%  7.58%   3.80%  4.05%   2.24%  2.35%   10.56%  12.51%

12:45      7.45%  7.79%   3.65%  4.02%   2.27%  2.35%   10.53%  13.09%

11:30      7.39%  8.03%   3.67%  4.02%   2.21%  2.42%   10.51%  13.08%

9:15       7.53%  7.85%   3.77%  4.07%   2.21%  2.46%   11.79%  13.65%

TUE OPEN   7.59%  8.00%   3.83%  3.87%   2.30%  2.39%   11.76%  13.10%

MON 3:00   7.61%  7.98%   3.86%  3.90%   2.30%  2.46%   11.63%  13.05%

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

DEC17 10Y NOTE  126.50 C  182,227     +114   124.50 P  198,404  +3,464

JAN18 10Y NOTE  125.50 C   19,767   +2,640   124.00 P   21,372    -156

DEC17 5Y NOTE   118.00 C   48,077   +1,783   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  114,361    -899

DEC17 EURODLR    98.75 C  673,489   +2,000    98.37 P1,081,522    UNCH

DEC18 1Y-MIDC    98.50 C  270,586     UNCH    98.00 P  632,653  -4,450

DEC19 2Y-MIDC    98.25 C  120,802     +100    97.75 P  328,536  +3,090

DEC20 3Y-MIDC    97.87 C   77,582   +2,905    97.50 P  121,117    +500

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

DEC17 10Y NOTE  124.50 C   45,780   -1,484   124.50 P  198,404  +3,464

DEC17 10Y NOTE  125.00 C   48,395     +986   125.00 P   63,938  -1,504

JAN18 10Y NOTE  124.00 C    8,448      -34   124.00 P   21,372    -156

JAN18 10Y NOTE  124.50 C   13,874   -1,108   124.50 P   16,127     +55

DEC17 5Y NOTE   117.00 C   25,513      +42   117.00 P   50,968  +8,456

DEC17 5Y NOTE   117.25 C   32,459   +5,861   117.25 P   19,835    +501

JAN18 5Y NOTE   116.75 C      307      +30   116.75 P    1,622    +320

JAN18 5Y NOTE   117.00 C      519     +123   117.00 P      572     +71

NOV17 EURODLR    98.50 C   58,949   +1,638    98.50 P  114,361    -899

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

DEC17 EURODLR    98.50 C  416,540   +5,600    98.50 P  539,577    -640

DEC17 EURODLR    98.62 C  682,321  +11,773    98.62 P  221,264  -1,489

DEC18 1Y-MIDC    98.12 C  161,507  +50,729    98.12 P  319,537    -515

DEC18 1Y-MIDC    98.25 C  217,562   -1,820    98.25 P  192,484    UNCH

DEC19 2Y-MIDC    97.87 C   83,046     +561    97.88 P  171,866  -5,409

DEC19 2Y-MIDC    98.00 C  116,834   +2,700    98.00 P  216,185    UNCH

DEC20 3Y-MIDC    97.75 C   60,571     +585    97.75 P  108,744    +549

DEC20 3Y-MIDC    97.87 C   77,582   +2,905    97.87 P   85,615    UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

DEC17 10Y NOTE PUT/CALL RATIO -- 0.90 (128,259 PUTS VS. 141,585 CALLS)

JAN18 10Y NOTE PUT/CALL RATIO -- 0.73 (11,570 PUTS VS. 15,759 CALLS)

DEC17 5Y NOTE PUT/CALL RATIO  -- 2.46 (86,981 PUTS VS. 35,229 CALLS)

JAN18 5Y NOTE PUT/CALL RATIO  -- 1.21 (1,221 PUTS VS. 1,069 CALLS)

NOV17 EURODLRS PUT/CALL RATIO -- 0.07 (1,010 PUTS VS. 13,050 CALLS)

DEC17 EURODLRS PUT/CALL RATIO -- 0.36 (18,696 PUTS VS. 51,108 CALLS)

DEC18 1Y-MIDCRVE PUT/CALL RATIO -- 1.51 (79,545 PUTS VS. 52,600 CALLS)

DEC19 2Y-MIDCRVE PUT/CALL RATIO -- 10.6 (92,575 PUTS VS. 8,775 CALLS)

DEC20 3Y-MIDCRVE PUT/CALL RATIO -- 3.29 (14,527 PUTS VS. 4,400 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

1:45         42.39    57.37    57.53    60.90    73.79    78.07

12:45        42.52    57.38    57.65    61.04    73.82    78.07

11:30        42.54    57.63    57.65    61.04    73.82    78.07

9:15         43.02    57.70    58.04    61.30    73.83    78.11

Tue Open     43.19    58.00    58.26    61.52    73.83    78.14

Mon 3:00     43.45    58.00    58.43    61.74    73.86    78.13

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

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

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