US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR SEP 26

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

            USX    USZ     TYX    TYZ     FVX    TUZ     EDV     EDZ

TUE 3:00   7.19%  7.36%   3.84%  3.88%   2.31%  2.34%   12.40%  17.15%

1:45       7.23%  7.35%   3.79%  3.83%   2.33%  2.34%   12.15%  17.20%

12:00      7.23%  7.35%   3.79%  3.83%   2.33%  2.34%   13.15%  17.20%

10:45      7.18%  7.33%   3.78%  3.83%   2.28%  2.30%   13.18%  17.35%

9:15       7.24%  7.35%   3.83%  3.87%   2.28%  2.30%   13.30%  17.50%

TUE OPEN   7.26%  7.35%   3.83%  3.86%   2.29%  2.31%   13.40%  17.85%

MON 3:00   7.53%  7.50%   3.94%  3.95%   2.39%  2.37%   12.62%  17.80%

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

NOV17 10Y NOTE  127.00 C  115,729   +9,047   124.50 P  110,619  -2,136

DEC17 10Y NOTE  129.00 C   90,859     -725   114.00 P   90,755    UNCH

NOV17 5Y NOTE   119.00 C   23,751     -147   115.25 P   25,109    UNCH

DEC17 5Y NOTE   119.00 C   15,000      +43   112.25 P  103,190  +4,636

OCT17 EURODLR    98.62 C  119,306     UNCH    98.50 P  198,339  +5,250

DEC17 EURODLR    98.75 C  613,885   -1,934    98.37 P1,138,382  +7,144

DEC18 1Y-MIDC    98.50 C  161,722     +675    98.12 P  506,964  +1,461

DEC19 2Y-MIDC    98.50 C  137,751     -255    97.75 P  252,234  +1,318

DEC20 3Y-MIDC    98.25 C   55,157     +500    96.75 P  101,162    +100

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

NOV17 10Y NOTE  127.00 C  115,729   +9,047   127.00 P   23,900    -126

NOV17 10Y NOTE  127.50 C   82,534     -840   127.50 P   11,694    UNCH

DEC17 10Y NOTE  127.00 C   27,262   +1,385   127.00 P   21,662    UNCH

DEC17 10Y NOTE  127.50 C   28,297   +2,940   127.50 P   12,546    UNCH

NOV17 5Y NOTE   118.25 C   19,224     +948   118.25 P   15,013    UNCH

NOV17 5Y NOTE   118.50 C    9,335     -528   118.50 P    2,578    UNCH

DEC17 5Y NOTE   118.25 C   13,942      -46   118.25 P   15,979    -331

DEC17 5Y NOTE   118.50 C    7,590       -9   118.50 P   15,561     -25

OCT17 EURODLR    98.50 C   40,738      +50    98.50 P  198,339  +5,250

OCT17 EURODLR    98.62 C  119,306     UNCH    98.62 P   24,899  -1,389

DEC17 EURODLR    98.50 C  333,676   +3,210    98.50 P  585,061  -2,893

DEC17 EURODLR    98.62 C  515,633  +20,412    98.62 P  216,128  +1,322

DEC18 1Y-MIDC    98.25 C   89,094     +300    98.25 P  251,596  -2,250

DEC18 1Y-MIDC    98.37 C  147,841   +4,689    98.37 P   92,224    UNCH

DEC19 2Y-MIDC    98.00 C   66,706   +1,103    98.00 P  171,811    +519

DEC19 2Y-MIDC    98.12 C   48,401     -350    98.12 P   63,404    -671  

DEC20 3Y-MIDC    97.87 C   51,619     UNCH    97.87 P   39,547    +128

DEC20 3Y-MIDC    98.00 C   43,570     +880    98.00 P   19,255    UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

NOV17 10Y NOTE PUT/CALL RATIO -- 0.46 (72,475 PUTS VS. 154,235 CALLS)

DEC17 10Y NOTE PUT/CALL RATIO -- 0.91 (48,878 PUTS VS. 53,777 CALLS)

NOV17 5Y NOTE PUT/CALL RATIO  -- 4.54 (24,076 PUTS VS. 5,331 CALLS)

DEC17 5Y NOTE PUT/CALL RATIO  -- 10.4 (39,557 PUTS VS. 3,862 CALLS)

OCT17 EURODLRS PUT/CALL RATIO -- 305.0 (15,251 PUTS VS. 50 CALLS)

DEC17 EURODLRS PUT/CALL RATIO -- 0.32 (45,354 PUTS VS. 138,451 CALLS)

DEC18 1Y-MIDCRVE PUT/CALL RATIO -- 0.72 (13,550 PUTS VS. 18,700 CALLS)

DEC19 2Y-MIDCRVE PUT/CALL RATIO -- 0.74 (11,744 PUTS VS. 15,850 CALLS)

DEC20 3Y-MIDCRVE PUT/CALL RATIO -- 0.05 (381 PUTS VS. 7,000 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

Tue 3:00     40.46    57.67    56.02    59.99    71.10    77.01

1:45         40.52    57.74    56.12    60.07    71.11    77.03

12:00        40.56    58.06    56.30    60.29    71.21    77.12

10:45        40.58    58.17    56.27    60.29    71.27    77.24

9:15         40.56    57.95    56.24    60.28    71.34    77.29

Tue Open     40.50    57.91    56.18    60.22    71.29    77.24

Mon 3:00     40.20    57.13    55.45    59.32    71.15    77.23

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

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

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