US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR SEP 29

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

            USX    USZ     TYX    TYZ     FVX    TUZ     EDV     EDZ

12:30      7.33%  7.42%   3.82%  3.90%   2.33%  2.36%   11.50%  16.35%

10:45      7.28%  7.39%   3.82%  3.83%   2.24%  2.30%   12.25%  16.30%

9:00       7.28%  7.39%   3.75%  3.82%   2.30%  2.33%   11.68%  16.40%

FRI OPEN   7.17%  7.31%   3.76%  3.82%   2.28%  2.32%   12.20%  16.65%

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

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

NOV17 10Y NOTE  127.00 C  115,673     +771   124.50 P  144,879 +29,962

DEC17 10Y NOTE  129.00 C   90,920     +100   114.00 P   90,755    UNCH

NOV17 5Y NOTE   119.00 C   25,137   +1,353   116.75 P   40,813 +23,295

DEC17 5Y NOTE   119.00 C   15,575     +151   112.25 P  104,720    +205

OCT17 EURODLR    98.62 C  133,245  +14,239    98.50 P  221,684  +1,635

DEC17 EURODLR    98.75 C  616,018   -4,931    98.37 P1,138,798  +5,302

DEC18 1Y-MIDC    98.50 C  152,629   -5,583    98.12 P  489,206  -6,055

DEC19 2Y-MIDC    98.50 C  138,777   +1,026    97.75 P  281,952  +1,728

DEC20 3Y-MIDC    97.87 C   54,063   -1,100    96.75 P  101,162    UNCH

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

NOV17 10Y NOTE  127.00 C  115,673     +771   127.00 P   23,717    -142

NOV17 10Y NOTE  127.50 C   81,494     +799   127.50 P   11,989      -1

DEC17 10Y NOTE  127.00 C   38,283     +379   127.00 P   22,388     -34

DEC17 10Y NOTE  127.50 C   30,006     -440   127.50 P   12,485     -61

NOV17 5Y NOTE   118.25 C   18,245   -3,044   118.25 P   15,012    UNCH

NOV17 5Y NOTE   118.50 C   22,180  +11,011   118.50 P    2,578    UNCH

DEC17 5Y NOTE   118.25 C   14,648     +279   118.25 P   15,978    UNCH

DEC17 5Y NOTE   118.50 C   11,461      +99   118.50 P   15,561    UNCH

OCT17 EURODLR    98.50 C   40,099      +61    98.50 P  221,684  +1,635

OCT17 EURODLR    98.62 C  133,245  +14,239    98.62 P   24,899    UNCH

DEC17 EURODLR    98.50 C  331,759   +1,553    98.50 P  596,861  -2,669

DEC17 EURODLR    98.62 C  523,821   -1,087    98.62 P  221,646  +4,590

DEC18 1Y-MIDC    98.25 C   92,108   +3,222    98.25 P  232,505    +300

DEC18 1Y-MIDC    98.37 C  142,111   -3,390    98.37 P   95,584    UNCH

DEC19 2Y-MIDC    98.00 C   68,390   -1,123    98.00 P  188,990  +1,150

DEC19 2Y-MIDC    98.12 C   49,724   -1,277    98.12 P   58,404    UNCH  

DEC20 3Y-MIDC    97.87 C   54,063   -1,100    97.87 P   41,997  +2,845

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 -- 2.29 (273,202 PUTS VS. 119,204 CALLS)

DEC17 10Y NOTE PUT/CALL RATIO -- 2.39 (85,211 PUTS VS. 35,662 CALLS)

NOV17 5Y NOTE PUT/CALL RATIO  -- 1.44 (87,229 PUTS VS. 60,209 CALLS)

DEC17 5Y NOTE PUT/CALL RATIO  -- 3.25 (36,837 PUTS VS. 11,285 CALLS)

OCT17 EURODLRS PUT/CALL RATIO -- 0.11 (8,511 PUTS VS. 72,351 CALLS)

DEC17 EURODLRS PUT/CALL RATIO -- 0.63 (55,359 PUTS VS. 87,096 CALLS)

DEC18 1Y-MIDCRVE PUT/CALL RATIO -- 3.29 (82,807 PUTS VS. 25,157 CALLS)

DEC19 2Y-MIDCRVE PUT/CALL RATIO -- 3.63 (51,340 PUTS VS. 14,095 CALLS)

DEC20 3Y-MIDCRVE PUT/CALL RATIO -- 1.91 (4,600 PUTS VS. 2,450 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        40.65    58.16    56.65    60.46    71.14    76.94

10:45        40.73    58.16    56.74    60.47    71.28    76.99

9:00         40.71    58.30    56.86    60.57    71.32    76.99

Fri Open     40.73    58.34    56.98    60.65    71.32    76.99

Thu 3:00     40.75    58.46    56.93    61.28    71.31    76.95

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

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

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