US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR SEP 28

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

            USX    USZ     TYX    TYZ     FVX    TUZ     EDV     EDZ

THU 3:00   7.45%  7.49%   3.78%  3.84%   2.31%  2.32%   11.20%  16.35%

1:45       7.28%  7.34%   3.75%  3.84%   2.26%  2.30%   11.95%  16.75%

11:45      7.28%  7.45%   3.76%  3.87%   2.26%  2.32%   12.45%  16.45%

THU OPEN   7.44%  7.59%   3.81%  3.96%   2.39%  2.38%   12.10%  16.90%

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

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

NOV17 10Y NOTE  127.00 C  114,902     +141   124.50 P  114,917  +4,751

DEC17 10Y NOTE  129.00 C   90,820      +54   114.00 P   90,755    UNCH

NOV17 5Y NOTE   119.00 C   23,784     +157   115.25 P   30,266    UNCH

DEC17 5Y NOTE   119.00 C   15,424     +424   112.25 P  104,720    +205

OCT17 EURODLR    98.62 C  119,006     -300    98.50 P  220,049    -500

DEC17 EURODLR    98.75 C  620,939     UNCH    98.37 P1,133,496  -4,336

DEC18 1Y-MIDC    98.50 C  158,212   +1,925    98.12 P  495,263  +1,496

DEC19 2Y-MIDC    98.50 C  137,751     UNCH    97.75 P  280,224 +32,099

DEC20 3Y-MIDC    97.87 C   55,163   +2,144    96.75 P  101,162    UNCH

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

NOV17 10Y NOTE  127.00 C  114,902     +141   127.00 P   23,859     -43

NOV17 10Y NOTE  127.50 C   80,695   -1,955   127.50 P   11,990      -4

DEC17 10Y NOTE  127.00 C   37,904   +9,138   127.00 P   22,422    +820

DEC17 10Y NOTE  127.50 C   30,446     +734   127.50 P   12,546    UNCH

NOV17 5Y NOTE   118.25 C   21,289      +41   118.25 P   15,012      -1

NOV17 5Y NOTE   118.50 C   11,169   +1,969   118.50 P    2,578    UNCH

DEC17 5Y NOTE   118.25 C   14,369     +446   118.25 P   15,978    UNCH

DEC17 5Y NOTE   118.50 C   11,362   +3,772   118.50 P   15,561    UNCH

OCT17 EURODLR    98.50 C   40,038     UNCH    98.50 P  220,049    -500

OCT17 EURODLR    98.62 C  119,006     -300    98.62 P   24,899    UNCH

DEC17 EURODLR    98.50 C  330,206   +4,617    98.50 P  599,780 +16,944

DEC17 EURODLR    98.62 C  524,908   +3,700    98.62 P  217,056    UNCH

DEC18 1Y-MIDC    98.25 C   90,886   +1,460    98.25 P  232,205 -13,153

DEC18 1Y-MIDC    98.37 C  145,501   -1,740    98.37 P   95,584  +3,450

DEC19 2Y-MIDC    98.00 C   69,513   +2,599    98.00 P  187,840 +28,806

DEC19 2Y-MIDC    98.12 C   51,001     +600    98.12 P   58,404  -5,000  

DEC20 3Y-MIDC    97.87 C   55,163   +2,144    97.87 P   39,152    -246

DEC20 3Y-MIDC    98.00 C   43,970     UNCH    98.00 P   19,255    UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

NOV17 10Y NOTE PUT/CALL RATIO -- 1.88 (307,442 PUTS VS. 163,108 CALLS)

DEC17 10Y NOTE PUT/CALL RATIO -- 2.13 (155,555 PUTS VS. 72,886 CALLS)

NOV17 5Y NOTE PUT/CALL RATIO  -- 1.12 (30,560 PUTS VS. 27,306 CALLS)

DEC17 5Y NOTE PUT/CALL RATIO  -- 1.60 (37,363 PUTS VS. 23,307 CALLS)

OCT17 EURODLRS PUT/CALL RATIO -- 3.35 (2,352 PUTS VS. 702 CALLS)

DEC17 EURODLRS PUT/CALL RATIO -- 1.25 (58,568 PUTS VS. 46,755 CALLS)

DEC18 1Y-MIDCRVE PUT/CALL RATIO -- 33.1 (149,076 PUTS VS. 4,550 CALLS)

DEC19 2Y-MIDCRVE PUT/CALL RATIO -- 2.12 (139,550 PUTS VS. 65,750 CALLS)

DEC20 3Y-MIDCRVE PUT/CALL RATIO -- 5.32 (55,900 PUTS VS. 10,534 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

Thu 3:00     40.75    58.46    56.93    61.28    71.31    76.95

1:45         40.75    58.46    56.93    61.28    71.33    76.95

11:45        40.88    58.51    56.93    61.31    71.35    76.97

Thu Open     41.04    58.91    56.89    61.06    71.40    76.95

Wed 3:00     41.20    59.46    56.83    60.98    71.35    77.00

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

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

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