US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR SEP 20

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

            USV    USZ     TYV    TYZ     FVV    TUZ     EDV     EDZ

WED OPEN   9.69%  7.37%   5.63%  3.90%   3.68%  2.30%   17.86%  19.16%

TUE OPEN   8.58%  7.24%   4.76%  3.86%   3.04%  2.28%   16.51%  17.98%

MON 3:00   7.81%  7.36%   4.55%  3.92%   2.92%  2.32%   16.13%  18.45%

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

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

OCT17 10Y NOTE  127.00 C   93,780   +2,161   126.00 P   61,874  -8,293

DEC17 10Y NOTE  129.00 C   92,017      +14   114.00 P   95,075    UNCH

OCT17 5Y NOTE   119.00 C   34,528     UNCH   118.00 P   35,505  -1,456

DEC17 5Y NOTE   118.25 C   11,449     -228   112.25 P   98,554  -2,996

OCT17 EURODLR    98.62 C  119,606     UNCH    98.50 P  144,598  -1,099

DEC17 EURODLR    98.75 C  733,187  +16,000    98.37 P1,061,390 +11,234

DEC18 1Y-MIDC    98.50 C  161,880   +8,869    98.12 P  465,248 +11,602

DEC19 2Y-MIDC    98.50 C  151,915     UNCH    97.75 P  227,150  +8,845

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

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

OCT17 10Y NOTE  127.00 C   93,780   +2,161   127.00 P   25,993     -74

OCT17 10Y NOTE  127.50 C   86,138   -1,142   127.50 P   14,270    +126

DEC17 10Y NOTE  127.00 C   25,395     +601   127.00 P   21,953    UNCH

DEC17 10Y NOTE  127.50 C   24,934      -12   127.50 P   12,415    UNCH

OCT17 5Y NOTE   118.25 C   19,799   +4,358   118.25 P   16,108  -4,881

OCT17 5Y NOTE   118.50 C   16,044     +390   118.50 P   11,176    -281

DEC17 5Y NOTE   118.25 C   11,449     -228   118.25 P   16,338    UNCH

DEC17 5Y NOTE   118.50 C    7,945     UNCH   118.50 P   15,586    UNCH

OCT17 EURODLR    98.50 C   35,988     -203    98.50 P  144,598  -1,099

OCT17 EURODLR    98.62 C  119,606     UNCH    98.62 P   26,288    UNCH

DEC17 EURODLR    98.50 C  325,295   +6,996    98.50 P  595,193 -11,706

DEC17 EURODLR    98.62 C  423,050   +4,737    98.62 P  214,078    +500

DEC18 1Y-MIDC    98.25 C   78,804     +300    98.25 P  227,082  +3,798

DEC18 1Y-MIDC    98.37 C  118,165     +100    98.37 P   89,551    UNCH

DEC19 2Y-MIDC    98.00 C   63,810     UNCH    98.00 P  146,986 -10,025

DEC19 2Y-MIDC    98.12 C   45,527   +3,000    98.12 P   72,875    UNCH  

DEC20 3Y-MIDC    97.87 C   54,297     UNCH    97.87 P   40,152    +251

DEC20 3Y-MIDC    98.00 C   44,390     UNCH    98.00 P   19,755    UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

OCT17 10Y NOTE PUT/CALL RATIO -- 0.72 (104,246 PUTS VS. 144,931 CALLS)

DEC17 10Y NOTE PUT/CALL RATIO -- 1.22 (44,233 PUTS VS. 36,251 CALLS)

OCT17 5Y NOTE PUT/CALL RATIO  -- 0.60 (11,558 PUTS VS. 19,148 CALLS)

DEC17 5Y NOTE PUT/CALL RATIO  -- 0.92 (9,799 PUTS VS. 8,494 CALLS)

OCT17 EURODLRS PUT/CALL RATIO -- 10.8 (10,928 PUTS VS. 1,003 CALLS)

DEC17 EURODLRS PUT/CALL RATIO -- 0.57 (51,836 PUTS VS. 89,860 CALLS)

DEC18 1Y-MIDCRVE PUT/CALL RATIO -- 8.86 (39,000 PUTS VS. 4,400 CALLS)

DEC19 2Y-MIDCRVE PUT/CALL RATIO -- 1.03 (51,300 PUTS VS. 49,250 CALLS)

DEC20 3Y-MIDCRVE PUT/CALL RATIO -- 0.00 (0 PUTS VS. 1,250 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

Wed Open     40.61    57.34    55.87    60.33    72.21    77.51

Tue Open     40.38    57.53    56.24    60.68    72.56    77.36

Mon 3:00     40.14    57.49    56.43    60.90    72.61    77.94

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

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

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