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US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR SEP 27

EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
            USX    USZ     TYX    TYZ     FVX    TUZ     EDV     EDZ
12:30      7.35%  7.43%   3.81%  3.88%   2.34%  2.34%   12.60%  16.50%
11:45      7.18%  7.49%   3.75%  3.84%   2.31%  2.34%   12.20%  16.60%
10:30      7.25%  7.43%   3.75%  3.92%   2.34%  2.34%   11.85%  16.50%
WED OPEN   7.10%  7.30%   3.80%  3.83%   2.31%  2.32%   11.89%  17.62%
TUE 3:00   7.19%  7.36%   3.84%  3.88%   2.31%  2.34%   12.40%  17.15%
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%
LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE
NOV17 10Y NOTE  127.00 C  114,761     -968   124.50 P  110,166    -453
DEC17 10Y NOTE  129.00 C   90,766      -93   114.00 P   90,755    UNCH
NOV17 5Y NOTE   119.00 C   23,627     -124   115.25 P   30,266  +5,157
DEC17 5Y NOTE   119.00 C   15,000     UNCH   112.25 P  104,515  +1,325
OCT17 EURODLR    98.62 C  119,306     UNCH    98.50 P  220,549 +22,150
DEC17 EURODLR    98.75 C  620,939   +7,054    98.37 P1,137,832    -550
DEC18 1Y-MIDC    98.50 C  156,287   -5,435    98.12 P  493,767 -13,197
DEC19 2Y-MIDC    98.50 C  137,751     UNCH    97.75 P  248,125  -4,109
DEC20 3Y-MIDC    98.25 C   55,157     UNCH    96.75 P  101,162    UNCH
NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE
NOV17 10Y NOTE  127.00 C  114,761     -968   127.00 P   23,902      +2
NOV17 10Y NOTE  127.50 C   82,650     +116   127.50 P   11,994    +300
DEC17 10Y NOTE  127.00 C   28,766   +1,504   127.00 P   21,602     -60
DEC17 10Y NOTE  127.50 C   29,712   +1,415   127.50 P   12,546    UNCH
NOV17 5Y NOTE   118.25 C   21,248   +2,024   118.25 P   15,013    UNCH
NOV17 5Y NOTE   118.50 C    9,202     -133   118.50 P    2,578    UNCH
DEC17 5Y NOTE   118.25 C   13,923      -19   118.25 P   15,978    UNCH
DEC17 5Y NOTE   118.50 C    7,590     UNCH   118.50 P   15,561    UNCH
OCT17 EURODLR    98.50 C   40,738     UNCH    98.50 P  220,549 +22,150
OCT17 EURODLR    98.62 C  119,306     UNCH    98.62 P   24,899    UNCH
DEC17 EURODLR    98.50 C  325,589   -8,087    98.50 P  582,836  -2,225
DEC17 EURODLR    98.62 C  521,208   +5,575    98.62 P  217,056    +928
DEC18 1Y-MIDC    98.25 C   89,426   +2,332    98.25 P  245,358  -6,238
DEC18 1Y-MIDC    98.37 C  147,241     UNCH    98.37 P   92,134     -90
DEC19 2Y-MIDC    98.00 C   66,914     +208    98.00 P  159,034 -12,777
DEC19 2Y-MIDC    98.12 C   50,401   +2,000    98.12 P   63,404    UNCH  
DEC20 3Y-MIDC    97.87 C   53,019   +1,400    97.87 P   39,398    -149
DEC20 3Y-MIDC    98.00 C   43,970     +400    98.00 P   19,255    UNCH
PUT/CALL RATIO FOR VOLUME CLEARED:
NOV17 10Y NOTE PUT/CALL RATIO -- 1.13 (74,745 PUTS VS. 65,630 CALLS)
DEC17 10Y NOTE PUT/CALL RATIO -- 1.29 (51,001 PUTS VS. 39,411 CALLS)
NOV17 5Y NOTE PUT/CALL RATIO  -- 2.39 (44,335 PUTS VS. 18,536 CALLS)
DEC17 5Y NOTE PUT/CALL RATIO  -- 7.78 (31,287 PUTS VS. 3,224 CALLS)
OCT17 EURODLRS PUT/CALL RATIO -- 11.8 (23,651 PUTS VS. 2,000 CALLS)
DEC17 EURODLRS PUT/CALL RATIO -- 0.39 (36,858 PUTS VS. 92,733 CALLS)
DEC18 1Y-MIDCRVE PUT/CALL RATIO -- 9.59 (168,800 PUTS VS. 17,650 CALLS)
DEC19 2Y-MIDCRVE PUT/CALL RATIO -- 4.74 (73,050 PUTS VS. 15,850 CALLS)
DEC20 3Y-MIDCRVE PUT/CALL RATIO -- 0.04 (16,700 PUTS VS. 6,450 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
12:30        41.08    59.29    56.65    60.92    71.26    76.70
11:45        41.23    59.29    57.04    60.94    71.24    76.67
10:30        40.81    59.25    56.87    60.84    71.23    76.67
Wed Open     40.70    58.68    56.22    60.10    71.26    76.20
Tue 3:00     40.46    57.67    56.02    59.99    71.10    77.01
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
--MNI Chicago Bureau; tel: +1 312-431-0089; email: bill.sokolis@marketnews.com
[TOPICS: MTABLE,M$U$$$,M$$FI$,MN$FI$]

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