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US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR OCT 6

EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
            USX    USZ     TYX    TYZ     FVX    TUZ     EDV     EDZ
10:45      7.55%  7.67%   4.04%  4.02%   2.50%  2.46%   10.50%  15.75%
9:30       7.56%  7.70%   4.10%  4.03%   2.49%  2.41%   10.40%  15.30%
FRI OPEN   7.52%  7.61%   4.08%  3.98%   2.38%  2.43%   10.20%  15.90%
THU 3:00   7.52%  7.55%   4.01%  4.00%   2.50%  2.43%   11.30%  16.15%
THU OPEN   7.45%  7.53%   3.97%  3.91%   2.43%  2.43%   12.10%  16.50%
WED 3:00   7.59%  7.59%   3.97%  3.96%   2.43%  2.41%   12.90%  15.90%
WED OPEN   7.50%  7.52%   3.89%  3.96%   2.45%  2.41%   11.90%  16.30%
TUE 3:00   7.61%  7.63%   3.93%  3.96%   2.44%  2.43%   12.25%  16.08%
TUE OPEN   7.56%  7.55%   4.00%  3.92%   2.42%  2.40%   11.85%  16.30%
MON 3:00   7.75%  7.66%   4.07%  4.04%   2.48%  2.45%   12.71%  16.60%
MON OPEN   7.62%  7.53%   3.99%  3.96%   2.47%  2.40%   12.10%  16.85%
FRI 3:00   7.31%  7.43%   3.92%  3.94%   2.41%  2.41%   11.30%  16.30%
FRI OPEN   7.17%  7.31%   3.76%  3.82%   2.28%  2.32%   12.20%  16.65%
LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE
NOV17 10Y NOTE  127.00 C  117,075   +2,042   124.50 P  174,939  +8,414
DEC17 10Y NOTE  129.00 C   90,617     +515   114.00 P   90,755    UNCH
NOV17 5Y NOTE   118.50 C   39,971   +1,911   116.75 P   46,002    +702
DEC17 5Y NOTE   119.00 C   16,931     UNCH   112.25 P  104,845    +125
OCT17 EURODLR    98.62 C  132,446     -500    98.50 P  214,973  -4,750
DEC17 EURODLR    98.75 C  627,858     UNCH    98.37 P1,149,776  -6,215
DEC18 1Y-MIDC    98.50 C  173,636     +450    98.00 P  584,442 +11,190
DEC19 2Y-MIDC    98.50 C  142,422     UNCH    97.75 P  288,572    -446
DEC20 3Y-MIDC    98.25 C   58,186     UNCH    96.75 P  101,687    UNCH
NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE
NOV17 10Y NOTE  127.00 C  117,075   +2,042   127.00 P   23,754     -12
NOV17 10Y NOTE  127.50 C   81,812   -1,693   127.50 P   11,989    UNCH
DEC17 10Y NOTE  127.00 C   47,685   +2,623   127.00 P   21,121    UNCH
DEC17 10Y NOTE  127.50 C   30,403   -1,429   127.50 P   12,487    UNCH
NOV17 5Y NOTE   118.25 C   18,044     +461   118.25 P   15,012    UNCH
NOV17 5Y NOTE   118.50 C   39,971   +1,911   118.50 P    2,578    UNCH
DEC17 5Y NOTE   118.25 C   16,460     +500   118.25 P   12,171    +195
DEC17 5Y NOTE   118.50 C   12,867     UNCH   118.50 P   15,561    UNCH
OCT17 EURODLR    98.50 C   43,260     +250    98.50 P  214,973  -4,750
OCT17 EURODLR    98.62 C  132,446     -500    98.62 P   24,899    UNCH
DEC17 EURODLR    98.50 C  330,541     -100    98.50 P  580,949  -1,098
DEC17 EURODLR    98.62 C  535,256   +3,073    98.62 P  220,422    +620
DEC18 1Y-MIDC    98.25 C   99,655  +11,750    98.25 P  208,193  -3,600
DEC18 1Y-MIDC    98.37 C  146,851   +1,500    98.37 P   86,920    UNCH
DEC19 2Y-MIDC    98.00 C   78,091   +2,257    98.00 P  184,738  -2,125
DEC19 2Y-MIDC    98.12 C   80,304  +24,017    98.12 P   57,833    UNCH  
DEC20 3Y-MIDC    97.87 C   55,237      +50    97.87 P   42,258    UNCH
DEC20 3Y-MIDC    98.00 C   45,390     +350    98.00 P   19,255    UNCH
PUT/CALL RATIO FOR VOLUME CLEARED:
NOV17 10Y NOTE PUT/CALL RATIO -- 1.49 (144,567 PUTS VS. 96,589 CALLS)
DEC17 10Y NOTE PUT/CALL RATIO -- 0.91 (40,334 PUTS VS. 44,351 CALLS)
NOV17 5Y NOTE PUT/CALL RATIO  -- 0.66 (8,024 PUTS VS. 12,103 CALLS)
DEC17 5Y NOTE PUT/CALL RATIO  -- 1.04 (4,909 PUTS VS. 4,698 CALLS)
OCT17 EURODLRS PUT/CALL RATIO -- 7.81 (5,860 PUTS VS. 750 CALLS)
DEC17 EURODLRS PUT/CALL RATIO -- 4.67 (27,117 PUTS VS. 5,800 CALLS)
DEC18 1Y-MIDCRVE PUT/CALL RATIO -- 2.84 (64,850 PUTS VS. 22,800 CALLS)
DEC19 2Y-MIDCRVE PUT/CALL RATIO -- 0.85 (68,400 PUTS VS. 80,100 CALLS)
DEC20 3Y-MIDCRVE PUT/CALL RATIO -- 0.65 (2,400 PUTS VS. 3,697 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
10:45        43.00    60.62    58.13    62.06    71.61    77.09
9:30         42.98    60.31    58.01    61.95    71.72    77.39
Fri Open     43.00    60.83    58.14    62.09    71.78    77.09
Thu 3:00     42.92    61.20    58.76    62.56    71.79    77.40
Thu Open     42.24    60.92    57.95    62.03    71.71    77.37
Wed 3:00     42.03    60.56    57.80    61.88    71.65    77.33
Wed Open     41.99    62.01    57.80    61.92    71.76    77.32
Tue 3:00     42.02    62.71    57.97    62.10    71.85    77.08
Tue Open     41.68    63.28    57.91    62.08    71.59    77.16
Mon 3:00     41.46    61.59    57.65    61.97    71.51    77.07
Mon Open     41.07    59.09    57.41    61.68    71.29    76.92
Fri 3:00     40.85    58.41    56.80    60.56    71.19    76.93
Fri Open     40.73    58.34    56.98    60.65    71.32    76.99
--MNI Chicago Bureau; tel: +1 312-431-0089; email: bill.sokolis@marketnews.com
[TOPICS: MTABLE,M$U$$$,M$$FI$,MN$FI$]

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