US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR SEP 1

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

            USV    USZ     TYV    TYZ     FVV    TUZ     EDU     EDV

1:30       6.49%  7.56%   3.53%  3.97%   1.98%  2.32%   13.35%  14.90%

12:45      6.61%  7.40%   3.46%  3.92%   1.91%  2.31%   14.50%  15.35%

11:15      6.48%  7.56%   3.41%  3.94%   1.91%  2.32%   14.02%  15.73%

9:45       6.64%  7.68%   3.52%  4.01%   1.97%  2.34%   12.12%  16.54%

FRI OPEN   7.06%  7.78%   3.63%  4.02%   2.19%  2.36%   13.20%  17.40%

THU 3:00   6.99%  7.83%   3.73%  4.05%   2.23%  2.39%   13.10%  16.25%

THU OPEN   6.92%  7.82%   3.62%  4.07%   2.14%  2.42%   12.80%  15.44%

WED 3:00   7.16%  7.88%   3.76%  4.05%   2.23%  2.45%   13.33%  15.85%

WED OPEN   7.27%  7.88%   3.73%  4.44%   2.20%  2.37%   13.50%  18.15%

TUE 3:00   7.35%  7.94%   3.69%  4.66%   2.19%  2.33%   12.75%  16.72%

TUE OPEN   7.82%  8.25%   3.94%  4.17%   2.31%  2.47%   12.90%  16.50%

MON 3:00   6.94%  7.92%   3.49%  4.00%   2.07%  2.36%   11.06%  16.89%

MON OPEN   7.21%  7.95%   3.64%  4.04%   2.20%  2.38%   10.07%  15.79%

FRI 3:00   7.22%   N/A    3.68%   N/A    2.21%   N/A    10.15%  16.10%

FRI OPEN   7.54%   N/A    3.88%   N/A    2.34%   N/A    10.91%  16.70%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

OCT17 10Y NOTE  127.50 C  103,460   +2,003   125.00 P   63,594  -1,097

DEC17 10Y NOTE  129.00 C   88,416     -893   114.00 P   95,075    UNCH

OCT17 5Y NOTE   119.00 C   27,122   +2,616   116.00 P   26,515     +51

DEC17 5Y NOTE   118.25 C    9,003     +348   112.25 P  101,550    UNCH

SEP17 EURODLR    98.75 C  335,525     -420    98.37 P  746,921    UNCH

OCT17 EURODLR    98.62 C  129,154     UNCH    98.50 P  160,252    +700

SEP18 1Y-MIDC    98.37 C  113,901   +2,500    98.12 P  210,992     -45

SEP19 2Y-MIDC    98.75 C  136,631     UNCH    97.12 P  192,279    UNCH

SEP20 3Y-MIDC    98.00 C   43,811     UNCH    97.62 P   56,403    UNCH

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

OCT17 10Y NOTE  126.00 C   18,116   -1,800   126.00 P   63,298 +13,123

OCT17 10Y NOTE  126.50 C   42,839     +512   126.50 P   29,486    +945

DEC17 10Y NOTE  126.00 C   15,794       +1   126.00 P   37,359    +954

DEC17 10Y NOTE  126.50 C   12,616     +380   126.50 P   10,635    +236

OCT17 5Y NOTE   118.25 C   10,464     UNCH   118.25 P   11,200    +648

OCT17 5Y NOTE   118.50 C   14,297     +383   118.50 P    6,090     +46

DEC17 5Y NOTE   118.25 C    9,003     +348   118.25 P   15,371    UNCH

DEC17 5Y NOTE   118.50 C    5,352     +950   118.50 P   11,758 +10,375

SEP17 EURODLR    98.62 C  253,645   -1,600    98.62 P  225,771  -1,094

SEP17 EURODLR    98.75 C  335,525     -420    98.75 P  107,387    UNCH

OCT17 EURODLR    98.50 C   36,742     UNCH    98.50 P  160,252    +700

OCT17 EURODLR    98.62 C  129,154     UNCH    98.62 P   30,213    UNCH

SEP18 1Y-MIDC    98.37 C  113,901   +2,500    98.37 P   79,691  -5,511

SEP18 1Y-MIDC    98.50 C   90,359   -3,750    98.50 P   15,473     +35

SEP19 2Y-MIDC    98.00 C   62,838     UNCH    98.00 P  110,286  +1,100

SEP19 2Y-MIDC    98.12 C  120,509     UNCH    98.12 P   85,350    +500

SEP20 3Y-MIDC    97.75 C   27,133     UNCH    97.75 P   39,159    UNCH

SEP20 3Y-MIDC    97.87 C   22,685     UNCH    97.87 P   31,601  +2,161

PUT/CALL RATIO FOR VOLUME CLEARED:

OCT17 10Y NOTE PUT/CALL RATIO -- 1.92 (112,036 PUTS VS. 58,373 CALLS)

DEC17 10Y NOTE PUT/CALL RATIO -- 1.39 (34,892 PUTS VS. 25,118 CALLS)

OCT17 5Y NOTE PUT/CALL RATIO  -- 1.97 (23,152 PUTS VS. 11,701 CALLS)

DEC17 5Y NOTE PUT/CALL RATIO  -- 9.35 (26,226 PUTS VS. 2,835 CALLS)

SEP17 EURODLRS PUT/CALL RATIO -- 0.59 (2,683 PUTS VS. 4,450 CALLS)

OCT17 EURODLRS PUT/CALL RATIO -- 4.32 (4,152 PUTS VS. 960 CALLS)

SEP18 1Y-MIDCRVE PUT/CALL RATIO -- 1.75 (11,915 PUTS VS. 6,835 CALLS)

SEP19 2Y-MIDCRVE PUT/CALL RATIO -- 0.77 (13,150 PUTS VS. 16,900 CALLS)

SEP20 3Y-MIDCRVE PUT/CALL RATIO -- 1.06 (12,200 PUTS VS. 11,500 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

1:30         38.49    56.04    55.54    61.80    74.25    79.17

12:45        38.61    56.30    55.62    61.94    74.31    79.22

11:15        38.61    56.64    55.77    62.11    74.33    79.23

9:45         38.96    58.01    56.37    62.66    74.32    79.32

Fri Open     39.14    59.07    56.71    62.59    74.53    79.37

Thu 3:00     39.11    59.10    56.56    62.96    74.54    79.30

Thu Open     38.99    59.96    56.81    63.37    74.49    79.05

Wed 3:00     39.06    60.03    56.69    63.30    74.52    79.00

Wed Open     39.05    60.90    56.54    63.33    73.70    78.56

Tue 3:00     39.02    60.69    56.45    63.19    74.42    79.21

Tue Open     38.96    58.74    56.09    62.70    74.25    79.18

Mon 3:00     38.71    56.67    55.38    61.90    74.18    79.20

Mon Open     38.94    56.04    56.05    62.34    74.11    79.21

Fri 3:00     38.99    56.43    56.40    62.62    74.18    79.21

Fri Open     39.88    59.51    57.57    63.97    74.63    79.37

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

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