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

1300        8.22%  8.00%   4.40%  4.33%   2.77%  2.74%  14.68%  24.25%

1100        8.17%  7.99%   4.38%  4.33%   2.76%  2.73%  14.56%  23.30%

TUE OPEN    8.05%  7.94%   4.34%  4.33%   2.74%  2.73%  14.45%  23.35%

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

1300        59.56    69.80    66.88    68.32    67.01     66.85

1100        57.45    67.10    66.01    67.35    66.88     66.75

Tue Open    54.12    63.44    64.46    64.75    66.23     66.16

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$]