US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR SEP 21

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

            USV    USZ     TYV    TYZ     FVV    TUZ     EDV     EDZ

1:45        N/A   7.14%    N/A   3.76%    N/A   2.22%   14.17%  17.36%

10:45      8.23%  7.14%   3.77%  3.77%   2.51%  2.24%   13.54%  17.04%

9:00       7.68%  7.11%   4.18%  3.73%   2.50%  2.21%   14.35%  17.90%

THU OPEN   8.12%  7.14%   4.33%  3.75%   2.80%  2.24%   14.90%  18.13%

WED 3:00   8.66%  7.22%   5.20%  3.82%   3.51%  2.28%   15.81%  17.83%

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

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

OCT17 10Y NOTE  127.50 C   89,069   +2,931   126.00 P   62,579    +705

DEC17 10Y NOTE  129.00 C   92,737     +720   114.00 P   90,755  -4,320

OCT17 5Y NOTE   118.25 C   38,355  +18,556   118.00 P   32,268  -3,237

DEC17 5Y NOTE   119.00 C   12,247   +1,160   112.25 P   98,554  -2,996

OCT17 EURODLR    98.62 C  119,306     -300    98.50 P  145,295    +697

DEC17 EURODLR    98.75 C  739,969   +6,782    98.37 P1,134,213 +72,823

DEC18 1Y-MIDC    98.50 C  158,536   -3,344    98.12 P  497,350 +32,102

DEC19 2Y-MIDC    98.50 C  151,915     UNCH    97.75 P  227,810    +660

DEC20 3Y-MIDC    97.87 C   55,069     +772    96.75 P  100,962     +10

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

OCT17 10Y NOTE  127.00 C   71,428  -22,352   127.00 P   25,523    -440

OCT17 10Y NOTE  127.50 C   89,069   +2,931   127.50 P   14,254     -16

DEC17 10Y NOTE  127.00 C   25,892     +497   127.00 P   21,937     -16

DEC17 10Y NOTE  127.50 C   25,004      +70   127.50 P   12,540    +125

OCT17 5Y NOTE   118.25 C   38,355  +18,556   118.25 P   15,920    -234

OCT17 5Y NOTE   118.50 C   17,452   +1,408   118.50 P   11,103     -73

DEC17 5Y NOTE   118.25 C   11,999   +3,141   118.25 P   16,309     -29

DEC17 5Y NOTE   118.50 C    7,601     +909   118.50 P   15,586    UNCH

OCT17 EURODLR    98.50 C   38,038   +2,050    98.50 P  145,295    +697

OCT17 EURODLR    98.62 C  119,306     -300    98.62 P   26,288    UNCH

DEC17 EURODLR    98.50 C  343,673  +18,378    98.50 P  608,598 +13,405

DEC17 EURODLR    98.62 C  457,230  +34,180    98.62 P  213,506    -572

DEC18 1Y-MIDC    98.25 C   81,806   +3,002    98.25 P  248,442 +22,360

DEC18 1Y-MIDC    98.37 C  123,089   +4,924    98.37 P   92,224  +2,673

DEC19 2Y-MIDC    98.00 C   62,100   -1,710    98.00 P  143,445  -3,541

DEC19 2Y-MIDC    98.12 C   49,282   +3,755    98.12 P   73,375    +500  

DEC20 3Y-MIDC    97.87 C   55,069     +772    97.87 P   41,406  +1,254

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 -- 0.63 (139,768 PUTS VS. 220,867 CALLS)

DEC17 10Y NOTE PUT/CALL RATIO -- 3.44 (84,054 PUTS VS. 24,407 CALLS)

OCT17 5Y NOTE PUT/CALL RATIO  -- 0.74 (51,917 PUTS VS. 70,251 CALLS)

DEC17 5Y NOTE PUT/CALL RATIO  -- 1.86 (35,064 PUTS VS. 18,833 CALLS)

OCT17 EURODLRS PUT/CALL RATIO -- 2.14 (7,290 PUTS VS. 3,400 CALLS)

DEC17 EURODLRS PUT/CALL RATIO -- 0.68 (193,790 PUTS VS. 284,221 CALLS)

DEC18 1Y-MIDCRVE PUT/CALL RATIO -- 0.72 (13,460 PUTS VS. 18,625 CALLS)

DEC19 2Y-MIDCRVE PUT/CALL RATIO -- 0.46 (36,960 PUTS VS. 78,590 CALLS)

DEC20 3Y-MIDCRVE PUT/CALL RATIO -- 8.42 (17,772 PUTS VS. 2,100 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

1:45         39.78    52.97    54.54    58.68    71.20    77.65

10:45        39.80    53.05    54.50    58.70    71.26    77.64

9:00         40.04    55.66    55.18    59.32    71.41    77.65

Thu Open     40.13    56.01    55.33    59.52    71.43    77.65

Wed 3:00     39.98    56.67    55.08    59.42    71.74    77.40

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

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

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