US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR SEP 5

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

            USV    USZ     TYV    TYZ     FVV    TUZ     EDU     EDV

FRI 3:00   7.58%  7.86%   4.18%  4.12%   2.32%  2.40%   18.51%  17.88%

1:15       7.68%  7.79%   4.07%  4.10%   2.33%  2.39%   14.93%  16.62%

12:00      7.41%  7.75%   3.85%  4.06%   2.30%  2.40%   14.93%  16.62%

10:45      7.55%  7.88%   4.09%  4.13%   2.27%  2.41%   13.79%  17.24%

9:15       7.38%  7.75%   3.97%  4.12%   2.27%  2.41%   13.79%  16.50%

TUE OPEN   7.31%  7.72%   3.88%  4.05%   2.24%  2.37%   13.79%  16.49%

FRI 3:00   6.49%  7.51%   3.42%  3.91%   1.95%  2.29%   13.40%  14.85%

FRI OPEN   7.06%  7.78%   3.63%  4.02%   2.19%  2.36%   13.20%  17.40%

THU 3:00   6.99%  7.83%   3.73%  4.05%   2.23%  2.39%   13.10%  16.25%

THU OPEN   6.92%  7.82%   3.62%  4.07%   2.14%  2.42%   12.80%  15.44%

WED 3:00   7.16%  7.88%   3.76%  4.05%   2.23%  2.45%   13.33%  15.85%

WED OPEN   7.27%  7.88%   3.73%  4.44%   2.20%  2.37%   13.50%  18.15%

TUE 3:00   7.35%  7.94%   3.69%  4.66%   2.19%  2.33%   12.75%  16.72%

TUE OPEN   7.82%  8.25%   3.94%  4.17%   2.31%  2.47%   12.90%  16.50%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

OCT17 10Y NOTE  127.50 C  107,525   +4,065   126.00 P   64,962  +1,664

DEC17 10Y NOTE  129.00 C   88,387      -29   114.00 P   95,075    UNCH

OCT17 5Y NOTE   119.00 C   26,946     -176   116.00 P   26,515    UNCH

DEC17 5Y NOTE   118.25 C    9,073      +70   112.25 P  101,550    UNCH

SEP17 EURODLR    98.75 C  335,525     UNCH    98.37 P  746,921    UNCH

OCT17 EURODLR    98.62 C  129,154     UNCH    98.50 P  161,352  +1,100

SEP18 1Y-MIDC    98.37 C  113,401     -500    98.12 P  211,382    +390

SEP19 2Y-MIDC    98.75 C  136,631     UNCH    97.12 P  192,279    UNCH

SEP20 3Y-MIDC    98.00 C   43,561     -250    97.62 P   56,664    +261

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

OCT17 10Y NOTE  126.50 C   40,116   -2,723   126.50 P   39,772 +10,286

OCT17 10Y NOTE  127.00 C   92,656     +166   127.00 P   22,200    +833

DEC17 10Y NOTE  126.50 C   13,059     +443   126.50 P   11,183    +548

DEC17 10Y NOTE  127.00 C   22,356     +766   127.00 P    9,004    +809

OCT17 5Y NOTE   118.25 C   10,464     UNCH   118.25 P   12,416  +1,216

OCT17 5Y NOTE   118.50 C   15,182     +885   118.50 P    6,183     +93

DEC17 5Y NOTE   118.25 C    9,073      +70   118.25 P   15,289     -82

DEC17 5Y NOTE   118.50 C    5,277      -75   118.50 P   11,758    UNCH

SEP17 EURODLR    98.62 C  253,645     UNCH    98.62 P  226,320    +549

SEP17 EURODLR    98.75 C  335,525     UNCH    98.75 P  107,287    UNCH

OCT17 EURODLR    98.50 C   36,742     UNCH    98.50 P  161,352  +1,100

OCT17 EURODLR    98.62 C  129,154     UNCH    98.62 P   30,313    +100

SEP18 1Y-MIDC    98.37 C  113,401     -500    98.37 P   76,946  -2,745

SEP18 1Y-MIDC    98.50 C   90,726     +367    98.50 P   15,723    +250

SEP19 2Y-MIDC    98.00 C   62,838     UNCH    98.00 P  110,340     +54

SEP19 2Y-MIDC    98.12 C  121,009     +500    98.12 P   85,350    UNCH

SEP20 3Y-MIDC    97.75 C   27,133     UNCH    97.75 P   34,884  -4,275

SEP20 3Y-MIDC    97.87 C   22,685     UNCH    97.87 P   31,451    -150

PUT/CALL RATIO FOR VOLUME CLEARED:

OCT17 10Y NOTE PUT/CALL RATIO -- 1.92 (133,523 PUTS VS. 127,248 CALLS)

DEC17 10Y NOTE PUT/CALL RATIO -- 1.39 (42,957 PUTS VS. 16,668 CALLS)

OCT17 5Y NOTE PUT/CALL RATIO  -- 1.97 (23,682 PUTS VS. 10,297 CALLS)

DEC17 5Y NOTE PUT/CALL RATIO  -- 9.35 (16,913 PUTS VS. 996 CALLS)

SEP17 EURODLRS PUT/CALL RATIO -- 0.59 (1,526 PUTS VS. 578 CALLS)

OCT17 EURODLRS PUT/CALL RATIO -- 4.32 (1,650 PUTS VS. 1,050 CALLS)

SEP18 1Y-MIDCRVE PUT/CALL RATIO -- 1.75 (5,100 PUTS VS. 11,600 CALLS)

SEP19 2Y-MIDCRVE PUT/CALL RATIO -- 0.77 (3,600 PUTS VS. 9,600 CALLS)

SEP20 3Y-MIDCRVE PUT/CALL RATIO -- 1.06 (2,600 PUTS VS. 2,350 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

Fri 3:00     39.72    63.35    57.78    64.13    74.62    79.22

1:15         39.31    62.54    57.23    63.63    74.46    79.18

12:00        39.12    62.01    56.86    63.21    74.40    79.15

10:45        39.04    60.20    56.58    63.11    74.40    79.13

9:15         38.30    57.53    55.99    62.25    74.20    79.13

Tue Open     38.71    57.16    55.85    62.05    74.19    79.15

Fri 3:00     38.43    55.64    55.40    61.60    74.16    79.17

Fri Open     39.14    59.07    56.71    62.59    74.53    79.37

Thu 3:00     39.11    59.10    56.56    62.96    74.54    79.30

Thu Open     38.99    59.96    56.81    63.37    74.49    79.05

Wed 3:00     39.06    60.03    56.69    63.30    74.52    79.00

Wed Open     39.05    60.90    56.54    63.33    73.70    78.56

Tue 3:00     39.02    60.69    56.45    63.19    74.42    79.21

Tue Open     38.96    58.74    56.09    62.70    74.25    79.18

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

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