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

WED 3:00   7.39%  7.51%   3.92%  3.92%   2.38%  2.41%   11.80%  16.90%

1:45       7.24%  7.46%   3.81%  3.88%   2.35%  2.40%   12.10%  16.40%

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

Wed 3:00     41.20    59.46    56.83    60.98    71.35    77.00

1:45         41.18    59.37    56.67    60.94    71.26    76.94

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$]