US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR SEP 7

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

            USV    USZ     TYV    TYZ     FVV    TUZ     EDU     EDV

11:45      8.37%  8.14%   4.20%  4.18%   2.46%  2.44%   17.95%  17.19%

10:30      8.46%  8.13%   4.45%  4.19%   2.53%  2.44%   16.73%  17.50%

9:15       8.08%  7.99%   4.15%  4.11%   2.33%  2.43%   15.80%  16.91%

THU OPEN   8.11%  7.94%   4.20%  4.15%   2.36%  2.39%   16.00%  15.97%

WED 3:00   8.35%  8.03%   4.30%  4.18%   2.35%  2.42%   17.92%  17.34%

WED OPEN   8.22%  8.11%   4.21%  4.23%   2.46%  2.43%   19.05%  18.05%

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

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

OCT17 10Y NOTE  127.50 C  104,263   -5,240   125.00 P   66,649    -475

DEC17 10Y NOTE  129.00 C   90,858      +98   114.00 P   95,075    UNCH

OCT17 5Y NOTE   119.00 C   29,496      +27   116.00 P   26,518    UNCH

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

SEP17 EURODLR    98.75 C  336,175     UNCH    98.37 P  746,921    UNCH

OCT17 EURODLR    98.62 C  128,504     -650    98.50 P  161,317    -500

SEP18 1Y-MIDC    98.37 C  107,213   -5,365    98.12 P  211,382    UNCH

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

SEP20 3Y-MIDC    98.00 C   43,481     UNCH    97.62 P   56,664    UNCH

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

OCT17 10Y NOTE  126.50 C   39,977      -42   126.50 P   52,333 +12,506

OCT17 10Y NOTE  127.00 C   89,679   -6,160   127.00 P   25,222  +1,350

DEC17 10Y NOTE  126.50 C   12,829     +288   126.50 P   22,827  +5,493

DEC17 10Y NOTE  127.00 C   21,752      +69   127.00 P   17,528  +1,654

OCT17 5Y NOTE   118.25 C   10,435       +1   118.25 P   14,186  +1,662

OCT17 5Y NOTE   118.50 C   16,343      -49   118.50 P    8,142    +425

DEC17 5Y NOTE   118.25 C    9,073     UNCH   118.25 P   15,365    UNCH

DEC17 5Y NOTE   118.50 C    5,412     UNCH   118.50 P   11,880    UNCH

SEP17 EURODLR    98.62 C  253,322     UNCH    98.62 P  267,370    UNCH

SEP17 EURODLR    98.75 C  336,175     UNCH    98.75 P  107,287    UNCH

OCT17 EURODLR    98.50 C   36,742     UNCH    98.50 P  161,317    -500

OCT17 EURODLR    98.62 C  128,504     -650    98.62 P   30,713    +400

SEP18 1Y-MIDC    98.37 C  107,213   -5,365    98.37 P   77,567  +1,924

SEP18 1Y-MIDC    98.50 C   82,567   -7,340    98.50 P   15,759    +143

SEP19 2Y-MIDC    98.00 C   62,838     UNCH    98.00 P  110,840    +500

SEP19 2Y-MIDC    98.12 C  116,023   -4,986    98.12 P   79,746  -5,515

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

SEP20 3Y-MIDC    97.87 C   22,685     UNCH    97.87 P   31,651    +100

PUT/CALL RATIO FOR VOLUME CLEARED:

OCT17 10Y NOTE PUT/CALL RATIO -- 0.83 (138,590 PUTS VS. 166,484 CALLS)

DEC17 10Y NOTE PUT/CALL RATIO -- 1.62 (60,636 PUTS VS. 37,227 CALLS)

OCT17 5Y NOTE PUT/CALL RATIO  -- 1.66 (14,081 PUTS VS. 8,484 CALLS)

DEC17 5Y NOTE PUT/CALL RATIO  -- 1.01 (11,292 PUTS VS. 11,327 CALLS)

SEP17 EURODLRS PUT/CALL RATIO -- 0.00 (0 PUTS VS. 0 CALLS)

OCT17 EURODLRS PUT/CALL RATIO -- 1.00 (1,050 PUTS VS. 1,050 CALLS)

SEP18 1Y-MIDCRVE PUT/CALL RATIO -- 0.31 (6,250 PUTS VS. 19,850 CALLS)

SEP19 2Y-MIDCRVE PUT/CALL RATIO -- 0.75 (21,200 PUTS VS. 28,200 CALLS)

SEP20 3Y-MIDCRVE PUT/CALL RATIO -- 0.28 (2,206 PUTS VS. 7,620 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

11:45        39.96    61.35    57.73    63.94    74.60    79.16

10:30        40.05    60.59    57.68    63.85    74.60    79.17

9:15         40.05    60.47    57.48    63.83    74.60    79.18

Thu Open     40.03    60.37    57.44    63.79    74.54    79.16

Wed 3:00     40.07    62.77    57.44    63.94    74.69    79.22

Wed Open     40.25    64.26    58.12    64.48    74.60    79.26

Tue 3:00     39.72    63.35    57.78    64.13    74.62    79.22

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

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

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