US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR SEP 18

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

            USV    USZ     TYV    TYZ     FVV    TUZ     EDV     EDZ

9:15       7.69%  7.31%   4.40%  3.88%   2.68%  2.27%   16.99%  18.50%

MON OPEN   7.67%  7.37%   4.16%  3.86%   2.52%  2.25%   16.82%  18.95%

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

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

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

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

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

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

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

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

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

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

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

OCT17 10Y NOTE  127.50 C   91,685   +1,727   126.00 P   71,706    +884

DEC17 10Y NOTE  129.00 C   91,982     +209   114.00 P   95,075    UNCH

OCT17 5Y NOTE   119.00 C   34,570     -320   118.00 P   28,824  +1,737

DEC17 5Y NOTE   118.25 C   12,243     +100   112.25 P  101,550    UNCH

OCT17 EURODLR    98.62 C  117,120       +1    98.50 P  175,610  -1,000

DEC17 EURODLR    98.75 C  706,187  +51,100    98.37 P1,052,825 +42,599

DEC18 1Y-MIDC    98.50 C  155,011  -15,457    98.12 P  436,284 -15,838

DEC19 2Y-MIDC    98.75 C  187,304     UNCH    97.75 P  218,401  +1,350

DEC20 3Y-MIDC    97.87 C   54,297     +472    96.75 P  100,952    UNCH

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

OCT17 10Y NOTE  127.00 C   89,225     +482   127.00 P   29,882    -179

OCT17 10Y NOTE  127.50 C   91,685   +1,727   127.50 P   14,847    +349

DEC17 10Y NOTE  127.00 C   24,683     +406   127.00 P   21,953      -3

DEC17 10Y NOTE  127.50 C   24,338     -125   127.50 P   12,415      +2

OCT17 5Y NOTE   118.25 C    9,131   -1,032   118.25 P   20,989  -1,720

OCT17 5Y NOTE   118.50 C   15,919     -335   118.50 P   11,457    -680

DEC17 5Y NOTE   118.25 C   12,243     +100   118.25 P   15,988    +328

DEC17 5Y NOTE   118.50 C    8,015     UNCH   118.50 P   15,586    UNCH

OCT17 EURODLR    98.50 C   36,191     UNCH    98.50 P  175,610  -1,000

OCT17 EURODLR    98.62 C  117,120       +1    98.62 P   26,288    UNCH

DEC17 EURODLR    98.50 C  291,739   +1,197    98.50 P  607,600  +9,579

DEC17 EURODLR    98.62 C  401,700  +18,406    98.62 P  213,672     +50

DEC18 1Y-MIDC    98.25 C   77,694     +461    98.25 P  234,406 -15,838

DEC18 1Y-MIDC    98.37 C  117,165   +9,109    98.37 P   89,551     -21

DEC19 2Y-MIDC    98.00 C   63,810     UNCH    98.00 P  158,661  -3,250

DEC19 2Y-MIDC    98.12 C   42,277   +1,176    98.12 P   72,875    -255  

DEC20 3Y-MIDC    97.87 C   54,297     +472    97.87 P   39,901  +1,555

DEC20 3Y-MIDC    98.00 C   44,390     +263    98.00 P   19,755     +98

PUT/CALL RATIO FOR VOLUME CLEARED:

OCT17 10Y NOTE PUT/CALL RATIO -- 0.81 (65,141 PUTS VS. 80,158 CALLS)

DEC17 10Y NOTE PUT/CALL RATIO -- 0.99 (20,428 PUTS VS. 20,616 CALLS)

OCT17 5Y NOTE PUT/CALL RATIO  -- 2.93 (27,017 PUTS VS. 9,179 CALLS)

DEC17 5Y NOTE PUT/CALL RATIO  -- 1.12 (7,289 PUTS VS. 6,540 CALLS)

OCT17 EURODLRS PUT/CALL RATIO -- 12.1 (8,500 PUTS VS. 750 CALLS)

DEC17 EURODLRS PUT/CALL RATIO -- 1.87 (209,027 PUTS VS. 111,309 CALLS)

DEC18 1Y-MIDCRVE PUT/CALL RATIO -- 2.14 (117,536 PUTS VS. 54,750 CALLS)

DEC19 2Y-MIDCRVE PUT/CALL RATIO -- 1.79 (32,220 PUTS VS. 17,900 CALLS)

DEC20 3Y-MIDCRVE PUT/CALL RATIO -- 1.03 (5,450 PUTS VS. 5,250 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

9:15         39.65    56.86    56.41    61.01    72.72    77.34

Mon Open     39.75    56.58    56.48    61.08    72.75    77.92

Fri 3:00     39.73    56.27    56.47    61.18    72.70    77.84

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

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

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