US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR SEP 15

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

            USV    USZ     TYV    TYZ     FVV    TUZ     EDU     EDV

FRI 3:00   6.40%  7.29%   3.45%  3.81%   2.06%  2.22%    N/A    16.30%

1:45       6.57%  7.35%   3.56%  3.89%   2.15%  2.26%    N/A    16.35%

11:30      6.70%  7.34%   3.52%  3.88%   2.21%  2.26%    N/A    16.70%

10:15      6.74%  7.31%   3.71%  3.89%   2.08%  2.23%    N/A    16.25%

9:30       6.74%  7.31%   3.71%  3.89%   2.08%  2.23%    N/A    16.25%

FRI OPEN   7.52%  7.45%   4.06%  3.91%   2.40%  2.29%    N/A    15.80%

THU 3:00   7.35%  7.47%   3.94%  3.90%   2.42%  2.27%    N/A    16.50%

THU OPEN   7.46%  7.51%   4.17%  3.97%   2.49%  2.35%    N/A    17.52%

WED 3:00   7.46%  7.53%   4.10%  3.95%   2.34%  2.32%    N/A    17.25%

WED OPEN   7.40%  7.41%   4.06%  3.93%   2.57%  2.37%    N/A    16.51%

TUE 3:00   7.38%  7.41%   3.78%  3.95%   2.45%  2.32%    N/A    16.85%

TUE OPEN   7.47%  7.49%   4.05%  3.94%   2.41%  2.35%    N/A    16.50%

MON 3:00   7.74%  7.70%   4.18%  4.02%   2.52%  2.35%    N/A    17.45%

MON OPEN   7.88%  7.87%   4.19%  4.03%   2.34%  2.38%    N/A    16.02%

FRI 3:00   8.46%  8.04%   4.40%  4.16%   2.59%  2.48%   21.33%  16.21%

FRI OPEN   8.41%  8.16%   4.35%  4.12%   2.40%  2.44%   23.45%  17.62%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

OCT17 10Y NOTE  127.50 C   89,958   +4,423   126.00 P   70,822    -366

DEC17 10Y NOTE  129.00 C   91,773     -159   114.00 P   95,075    UNCH

OCT17 5Y NOTE   119.00 C   34,890     -556   118.00 P   27,087  -1,284

DEC17 5Y NOTE   118.25 C   12,143      -75   112.25 P  101,550    UNCH

SEP17 EURODLR    98.75 C  333,845   -1,500    98.37 P  746,921    UNCH

OCT17 EURODLR    98.62 C  117,119     +365    98.50 P  176,610 +20,725

SEP18 1Y-MIDC    98.37 C   99,236     +543    98.12 P  213,307     -75

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

SEP20 3Y-MIDC    98.12 C   39,705     +251    97.62 P   56,664    UNCH

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

OCT17 10Y NOTE  127.00 C   88,743   -1,977   127.00 P   30,061  -2,622

OCT17 10Y NOTE  127.50 C   89,958   +4,423   127.50 P   14,498    +227

DEC17 10Y NOTE  127.00 C   24,227     -483   127.00 P   21,956     -74

DEC17 10Y NOTE  127.50 C   24,463     +395   127.50 P   12,413    UNCH

OCT17 5Y NOTE   118.25 C   10,163     +537   118.25 P   22,709  -1,999

OCT17 5Y NOTE   118.50 C   16,254   +2,102   118.50 P   12,137    -110

DEC17 5Y NOTE   118.25 C   12,143      -75   118.25 P   15,660  -1,201

DEC17 5Y NOTE   118.50 C    8,015   +1,451   118.50 P   15,586     +25

SEP17 EURODLR    98.62 C  251,624     -849    98.62 P  261,417    UNCH

SEP17 EURODLR    98.75 C  333,845   -1,500    98.75 P  107,287    UNCH

OCT17 EURODLR    98.50 C   36,191   -1,251    98.50 P  176,610 +20,725

OCT17 EURODLR    98.62 C  117,119     +365    98.62 P   26,288    UNCH

SEP18 1Y-MIDC    98.37 C   99,236     +543    98.37 P   86,237  -2,583

SEP18 1Y-MIDC    98.50 C   63,648   +2,788    98.50 P   14,881     +26

SEP19 2Y-MIDC    98.00 C   62,592     -426    98.00 P  100,569  -9,421

SEP19 2Y-MIDC    98.12 C  112,353   -4,220    98.12 P   83,942  -8,689  

SEP20 3Y-MIDC    97.75 C   27,133     UNCH    97.75 P   34,884    UNCH

SEP20 3Y-MIDC    97.87 C   22,685     UNCH    97.87 P   31,072    -300

PUT/CALL RATIO FOR VOLUME CLEARED:

OCT17 10Y NOTE PUT/CALL RATIO -- 1.04 (132,181 PUTS VS. 126,343 CALLS)

DEC17 10Y NOTE PUT/CALL RATIO -- 1.07 (36,605 PUTS VS. 34,273 CALLS)

OCT17 5Y NOTE PUT/CALL RATIO  -- 2.61 (50,753 PUTS VS. 19,420 CALLS)

DEC17 5Y NOTE PUT/CALL RATIO  -- 2.71 (28,513 PUTS VS. 10,538 CALLS)

SEP17 EURODLRS PUT/CALL RATIO -- 0.12 (500 PUTS VS. 4,200 CALLS)

OCT17 EURODLRS PUT/CALL RATIO -- 8.50 (37,433 PUTS VS. 4,450 CALLS)

SEP18 1Y-MIDCRVE PUT/CALL RATIO -- 1.08 (4,900 PUTS VS. 4,525 CALLS)

SEP19 2Y-MIDCRVE PUT/CALL RATIO -- 0.93 (12,960 PUTS VS. 13,862 CALLS)

SEP20 3Y-MIDCRVE PUT/CALL RATIO -- 0.82 (4,800 PUTS VS. 5,800 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

Fri 3:00     39.73    56.27    56.47    61.18    72.70    77.84

1:45         39.73    56.27    56.47    61.20    72.70    77.84

11:30        39.73    57.18    56.65    61.51    72.57    78.04

10:15        39.73    57.22    56.65    61.58    72.64    78.02

9:30         39.75    57.30    56.65    61.60    72.79    78.01

Fri Open     39.68    57.66    56.69    61.58    72.80    78.02

Thu 3:00     39.64    57.36    56.61    61.52    72.86    78.00

Thu Open     39.29    58.79    56.38    61.75    73.07    78.25

Wed 3:00     39.00    59.48    56.03    61.48    73.13    78.26

Wed Open     38.95    59.68    56.13    61.74    73.42    78.45

Tue 3:00     39.06    59.79    56.12    61.99    73.27    78.58

Tue Open     38.86    59.63    56.19    62.21    73.52    78.76

Mon 3:00     39.26    59.89    56.59    63.01    73.67    78.90

Mon Open     39.70    61.39    57.66    64.00    74.32    79.18

Fri 3:00     39.86    61.73    57.95    64.37    74.34    79.16

Fri Open     40.12    62.27    58.29    64.48    74.68    79.20

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

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