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US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR DEC 3

EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
             USF    USH     TYJ    TYH     FVF    FVH     EDZ     EDF
MON 1500    7.76%  7.77%   4.10%  4.19%   2.62%  2.65%  14.55%  22.27%
MON OPEN    7.80%  7.75%   4.15%  4.17%   2.62%  2.64%  13.85%  22.85%
WED 1500    7.22%  7.55%   3.92%  4.05%   2.48%  2.59%  13.30%  23.05%
WED OPEN    7.35%  7.62%   4.02%  4.13%   2.52%  2.63%  14.16%  23.82%
TUE 1500    7.47%  7.65%   4.05%  4.10%   2.55%  2.64%  14.15%  23.66%
TUE OPEN    7.41%  7.61%   4.00%  4.12%   2.57%  2.65%  14.98%  23.99%
LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE
JAN20 10Y NOTE  131.00 C  116,915   +5,142   128.00 P   95,260   -5,049
MAR20 10Y NOTE  134.50 C   51,434   -4,600   117.50 P   63,350     UNCH
JAN20 5Y NOTE   120.50 C   71,954      -13   118.25 P   69,033     -252
MAR20 5Y NOTE   120.50 C   19,951     UNCH   111.00 P  250,582     UNCH
JAN20 2Y NOTE   108.00 C    9,879       +1   107.62 P   15,283   +1,252
MAR20 2Y NOTE   110.37 C    7,692     UNCH   105.75 P   55,000     UNCH
DEC19 EURODLR    98.25 C  624,145   -2,544    97.25 P1,065,828      +23
JAN20 EURODLR    98.50 C  113,525   +3,000    98.12 P  165,337   +3,150
DEC20 1Y-MIDC    98.75 C  191,519      +75    97.50 P  171,536     UNCH
DEC21 2Y-MIDC    98.00 C   81,524   -2,725    97.37 P  125,829     UNCH
DEC22 3Y-MIDC    98.75 C   75,238     UNCH    97.37 P   63,651     UNCH
NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE
JAN20 10Y NOTE  129.00 C   39,214   +7,060   129.00 P   66,437   -2,015
JAN20 10Y NOTE  129.50 C   54,627   +1,609   129.50 P   56,646   -1,719
MAR20 10Y NOTE  129.00 C   11,953   +1,355   129.00 P   11,944   +1,322
MAR20 10Y NOTE  129.50 C   13,315     -508   129.50 P   10,822      +49
JAN20 5Y NOTE   119.00 C   20,482   +3,448   119.00 P   12,155      +52
JAN20 5Y NOTE   119.25 C   31,380     -362   119.25 P    6,131       +1
MAR20 5Y NOTE   119.00 C   17,330     UNCH   119.00 P    5,591     UNCH
MAR20 5Y NOTE   119.25 C    4,951       -3   119.25 P    4,550      +45
JAN20 2Y NOTE   107.75 C      964      -10   107.75 P    9,034     +301
JAN20 2Y NOTE   107.88 C    6,059     +554   107.88 P    8,175   +1,500
MAR20 2Y NOTE   107.75 C      819     +100   107.75 P      511     UNCH
MAR20 2Y NOTE   107.88 C      356      +56   107.88 P      386      +56
DEC19 EURODLR    98.00 C  324,424     -210    98.00 P  305,523   -2,017
DEC19 EURODLR    98.12 C  563,547   -2,602    98.12 P  231,763     +801
JAN20 EURODLR    98.25 C   33,001   +1,711    98.25 P  143,828   -1,450
JAN20 EURODLR    98.37 C   59,012   +5,094    98.37 P   29,193     -400
DEC20 1Y-MIDC    98.50 C   89,353   -1,865    98.50 P   99,735   -5,297
DEC20 1Y-MIDC    98.62 C  131,426  -12,681    98.62 P   49,071     UNCH
DEC21 2Y-MIDC    98.50 C   79,677     +713    98.50 P   57,994     -842
DEC21 2Y-MIDC    98.62 C   62,808     UNCH    98.62 P   22,017     +262
DEC22 3Y-MIDC    98.50 C   37,824     -650    98.50 P   19,653     +100
DEC22 3Y-MIDC    98.62 C   49,973   +6,917    98.62 P   18,440     UNCH
PUT/CALL RATIO FOR VOLUME CLEARED:
JAN20 10Y NOTE PUT/CALL RATIO   -- 1.73 (167,342 PUTS VS. 96,385 CALLS)
MAR20 10Y NOTE PUT/CALL RATIO   -- 1.32 (37,351 PUTS VS. 28,273 CALLS)
JAN20 5Y NOTE PUT/CALL RATIO    -- 1.70 (41,480 PUTS VS. 24,964 CALLS)
MAR20 5Y NOTE PUT/CALL RATIO    -- 8.95 (18,818 PUTS VS. 2,124 CALLS)
JAN20 2Y NOTE PUT/CALL RATIO    -- 3.42 (4,890 PUTS VS. 1,499 CALLS)
MAR20 2Y NOTE PUT/CALL RATIO    -- 0.46 (125 PUTS VS. 266 CALLS)
DEC19 EURODLRS PUT/CALL RATIO   -- 0.09 (3,890 PUTS VS. 38,452 CALLS)
JAN20 EURODLRS PUT/CALL RATIO   -- 1.06 (16,550 PUTS VS. 15,050 CALLS)
DEC20 1Y-MIDCRVE PUT/CALL RATIO -- 9.75 (43,945 PUTS VS. 4,500 CALLS)
DEC21 2Y-MIDCRVE PUT/CALL RATIO -- 0.76 (3,520 PUTS VS. 4,650 CALLS)
DEC22 3Y-MIDCRVE PUT/CALL RATIO -- 0.59 (7,375 PUTS VS. 12,354 CALLS)
(VOLUME, OPEN INTEREST, RATIOS 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
Mon 1500    54.50    63.20    64.82    64.92    66.45     66.46
Mon Open    54.54    61.36    64.24    64.40    66.92     67.15
Wed 1500    56.39    61.79    64.70    64.25    67.25     67.11
Wed Open    57.51    64.32    65.64    65.27    67.37     67.05
Tue 1500    57.46    65.08    65.57    65.16    67.30     66.88
Tue Open    57.99    66.01    65.98    66.13    67.15     66.55
--MNI Chicago Bureau; tel: +1 312-431-0089; email: bill.sokolis@marketnews.com
[TOPICS: MTABLE,M$U$$$,M$$FI$,MN$FI$]

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