US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR SEP 22

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

            USV    USZ     TYV    TYZ     FVV    TUZ     EDV     EDZ

FRI 3:00    N/A   7.38%    N/A   3.84%    N/A   2.31%   13.55%  17.16%

FRI OPEN    N/A   7.20%    N/A   3.81%    N/A   2.24%   13.81%  18.00%

THU 3:00    N/A   7.19%    N/A   3.72%    N/A   2.22%   13.54%  17.86%

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

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

OCT17 10Y NOTE  127.50 C   89,069     UNCH   125.00 P   56,153  -2,499

DEC17 10Y NOTE  129.00 C   90,352   -2,385   114.00 P   90,755    UNCH

OCT17 5Y NOTE   118.25 C   38,555     +200   118.00 P   31,251  -1,017

DEC17 5Y NOTE   119.00 C   14,902   +2,655   112.25 P   98,554    UNCH

OCT17 EURODLR    98.62 C  119,306     UNCH    98.50 P  188,512 +43,219

DEC17 EURODLR    98.75 C  734,719   -5,250    98.37 P1,130,918  -3,295

DEC18 1Y-MIDC    98.50 C  152,091   -6,445    98.12 P  476,423 -20,927

DEC19 2Y-MIDC    98.50 C  140,165  -11,750    97.75 P  249,534 +21,724

DEC20 3Y-MIDC    98.25 C   54,057     UNCH    96.75 P  101,062    +100

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

OCT17 10Y NOTE  127.00 C   70,516     -412   127.00 P   25,541    +288

OCT17 10Y NOTE  127.50 C   89,069     UNCH   127.50 P   14,234     -20

DEC17 10Y NOTE  127.00 C   25,857      -35   127.00 P   22,038    +101

DEC17 10Y NOTE  127.50 C   24,905      -99   127.50 P   12,540    UNCH

OCT17 5Y NOTE   118.25 C   38,555     +200   118.25 P   15,876     -44

OCT17 5Y NOTE   118.50 C   16,122   -1,330   118.50 P   11,103    UNCH

DEC17 5Y NOTE   118.25 C   14,001   +2,001   118.25 P   16,310      +1

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

OCT17 EURODLR    98.50 C   38,388     +350    98.50 P  188,512 +43,219

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

DEC17 EURODLR    98.50 C  339,584   -3,079    98.50 P  588,647 -19,951

DEC17 EURODLR    98.62 C  492,723  +35,493    98.62 P  213,506    UNCH

DEC18 1Y-MIDC    98.25 C   81,294     -512    98.25 P  238,142 -10,300

DEC18 1Y-MIDC    98.37 C  131,531   +8,442    98.37 P   92,224    UNCH

DEC19 2Y-MIDC    98.00 C   63,361   +1,261    98.00 P  152,730  +9,285

DEC19 2Y-MIDC    98.12 C   47,770   -1,512    98.12 P   73,375    UNCH  

DEC20 3Y-MIDC    97.87 C   54,019   -1,050    97.87 P   42,106    +700

DEC20 3Y-MIDC    98.00 C   42,790   -1,600    98.00 P   19,755    UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

OCT17 10Y NOTE PUT/CALL RATIO -- 1.75 (159,453 PUTS VS. 90,951 CALLS)

DEC17 10Y NOTE PUT/CALL RATIO -- 1.50 (70,641 PUTS VS. 46,808 CALLS)

OCT17 5Y NOTE PUT/CALL RATIO  -- 0.98 (15,506 PUTS VS. 15,820 CALLS)

DEC17 5Y NOTE PUT/CALL RATIO  -- 1.06 (26,831 PUTS VS. 25,162 CALLS)

OCT17 EURODLRS PUT/CALL RATIO -- 66.8 (67,136 PUTS VS. 1,005 CALLS)

DEC17 EURODLRS PUT/CALL RATIO -- 0.36 (89,199 PUTS VS. 241,794 CALLS)

DEC18 1Y-MIDCRVE PUT/CALL RATIO -- 1.79 (48,106 PUTS VS. 26,800 CALLS)

DEC19 2Y-MIDCRVE PUT/CALL RATIO -- 0.33 (17,250 PUTS VS. 50,750 CALLS)

DEC20 3Y-MIDCRVE PUT/CALL RATIO -- 1.13 (12,400 PUTS VS. 10,900 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     40.20    55.06    55.36    59.39    71.19    77.61

Fri Open     40.05    53.48    54.94    58.92    71.19    77.64

Thu 3:00     39.78    52.97    54.54    58.68    71.20    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

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

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