US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR SEP 25

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

            USX    USZ     TYX    TYZ     FVX    TUZ     EDV     EDZ

12:00      7.34%  7.38%   3.88%  3.87%   2.33%  2.33%   13.30%  17.50%

10:30      7.18%  7.30%   3.71%  3.83%   2.27%  2.28%   13.15%  17.45%

9:15       7.24%  7.35%   3.74%  3.82%   2.27%  2.30%   13.76%  17.42%

MON OPEN   7.24%  7.27%   3.76%  3.79%   2.21%  2.28%   13.34%  16.54%

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    N/A   7.14%    N/A   3.75%    N/A   2.24%   14.90%  18.13%

WED 3:00    N/A   7.22%    N/A   3.82%    N/A   2.28%   15.81%  17.83%

WED OPEN    N/A   7.37%    N/A   3.90%    N/A   2.30%   17.86%  19.16%

TUE OPEN    N/A   7.24%    N/A   3.86%    N/A   2.28%   16.51%  17.98%

MON 3:00    N/A   7.36%    N/A   3.92%    N/A   2.32%   16.13%  18.45%

MON OPEN    N/A   7.37%    N/A   3.86%    N/A   2.25%   16.82%  18.95%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

NOV17 10Y NOTE  128.50 C  115,044     +622   124.50 P  112,755  +6,867

DEC17 10Y NOTE  129.00 C   91,584   +1,232   114.00 P   90,755    UNCH

NOV17 5Y NOTE   119.00 C   23,898       -9   115.25 P   25,109    UNCH

DEC17 5Y NOTE   119.00 C   14,957      +55   112.25 P   98,554    UNCH

OCT17 EURODLR    98.62 C  119,306     UNCH    98.50 P  193,149  +4,637

DEC17 EURODLR    98.75 C  615,819 -118,900    98.37 P1,131,238    +320

DEC18 1Y-MIDC    98.50 C  161,047   +8,956    98.12 P  505,503 +30,940

DEC19 2Y-MIDC    98.50 C  138,006   -2,159    97.75 P  250,916  +1,382

DEC20 3Y-MIDC    98.25 C   54,657     +600    96.75 P  101,062    UNCH

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

NOV17 10Y NOTE  127.00 C  106,682  +10,180   127.00 P   24,026    -208

NOV17 10Y NOTE  127.50 C   83,374   +2,704   127.50 P   11,694    UNCH

DEC17 10Y NOTE  127.00 C   25,877      +20   127.00 P   21,662    -376

DEC17 10Y NOTE  127.50 C   25,357     +452   127.50 P   12,546      +6

NOV17 5Y NOTE   118.25 C   18,276   +1,655   118.25 P   15,013      +1

NOV17 5Y NOTE   118.50 C    9,863   +1,095   118.50 P    2,578    UNCH

DEC17 5Y NOTE   118.25 C   13,988      -12   118.25 P   16,309      -1

DEC17 5Y NOTE   118.50 C    7,599       -2   118.50 P   15,586    UNCH

OCT17 EURODLR    98.50 C   40,688   +2,300    98.50 P  193,149  +4,637

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

DEC17 EURODLR    98.50 C  330,466   -9,118    98.50 P  587,954    -693

DEC17 EURODLR    98.62 C  495,221   +2,498    98.62 P  214,806  +1,400

DEC18 1Y-MIDC    98.25 C   86,794   +5,500    98.25 P  253,846 +15,704

DEC18 1Y-MIDC    98.37 C  143,152  +11,621    98.37 P   92,224    UNCH

DEC19 2Y-MIDC    98.00 C   65,603   +2,242    98.00 P  171,292 +18,562

DEC19 2Y-MIDC    98.12 C   48,751     +981    98.12 P   64,075  -9,300  

DEC20 3Y-MIDC    97.87 C   51,619   -2,400    97.87 P   39,419  -2,687

DEC20 3Y-MIDC    98.00 C   42,690     -100    98.00 P   19,255    -500

PUT/CALL RATIO FOR VOLUME CLEARED:

NOV17 10Y NOTE PUT/CALL RATIO -- 0.71 (104,964 PUTS VS. 146,516 CALLS)

DEC17 10Y NOTE PUT/CALL RATIO -- 2.59 (69,690 PUTS VS. 26,778 CALLS)

NOV17 5Y NOTE PUT/CALL RATIO  -- 1.51 (24,077 PUTS VS. 15,820 CALLS)

DEC17 5Y NOTE PUT/CALL RATIO  -- 6.76 (17,609 PUTS VS. 2,635 CALLS)

OCT17 EURODLRS PUT/CALL RATIO -- 1.47 (5,300 PUTS VS. 3,651 CALLS)

DEC17 EURODLRS PUT/CALL RATIO -- 0.37 (105,613 PUTS VS. 279,127 CALLS)

DEC18 1Y-MIDCRVE PUT/CALL RATIO -- 7.20 (124,068 PUTS VS. 17,200 CALLS)

DEC19 2Y-MIDCRVE PUT/CALL RATIO -- 3.64 (77,900 PUTS VS. 21,400 CALLS)

DEC20 3Y-MIDCRVE PUT/CALL RATIO -- 0.39 (4,200 PUTS VS. 10,700 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

12:00        39.88    56.78    55.28    59.13    70.99    77.12

10:30        40.03    56.88    55.28    59.24    70.98    77.15

9:15         40.03    56.86    55.28    59.24    70.55    76.96

Mon Open     40.03    56.18    55.28    59.24    70.65    77.12

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

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

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