US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR DEC 4

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

             USF    USH     TYJ    TYH     FVF    FVH     EDZ     EDF

TUE 1500    8.36%  8.00%   4.33%  4.27%   2.75%  2.72%  14.45%  23.80%

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

JAN20 10Y NOTE  131.00 C  119,585   +2,670   128.00 P   95,112     -148

MAR20 10Y NOTE  134.50 C   51,443       +9   117.50 P   64,135     +785

JAN20 5Y NOTE   120.50 C   71,697     -257   118.25 P   75,658   +6,625

MAR20 5Y NOTE   120.50 C   19,968      +17   111.00 P  250,582     UNCH

JAN20 2Y NOTE   108.00 C   10,833     +954   107.62 P   13,133   -2,150

MAR20 2Y NOTE   110.37 C    7,692     UNCH   105.75 P   55,000     UNCH

DEC19 EURODLR    98.25 C  640,631  +16,486    97.25 P1,065,828     UNCH

JAN20 EURODLR    98.50 C  122,663   +9,138    98.12 P  166,337   +1,000

DEC20 1Y-MIDC    98.75 C  196,800   +5,281    97.50 P  171,536     UNCH

DEC21 2Y-MIDC    98.00 C   81,524     UNCH    97.37 P  125,829     UNCH

DEC22 3Y-MIDC    98.75 C   75,770     +532    97.37 P   63,651     UNCH

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

JAN20 10Y NOTE  129.50 C   57,025   +2,402   129.50 P   58,643   +1,997

JAN20 10Y NOTE  130.00 C   79,861   +2,683   130.00 P   28,939   +3,043

MAR20 10Y NOTE  129.50 C   13,683     +368   129.50 P   10,830       +8

MAR20 10Y NOTE  130.00 C   20,505   +3,413   130.00 P   10,681   +5,922

JAN20 5Y NOTE   119.00 C   20,026     -456   119.00 P   16,816   +4,665

JAN20 5Y NOTE   119.25 C   37,056   +5,799   119.25 P    8,675   +2,544

MAR20 5Y NOTE   119.00 C   17,330     UNCH   119.00 P    5,589       -2

MAR20 5Y NOTE   119.25 C    5,727     +776   119.25 P    5,404     +854

JAN20 2Y NOTE   107.75 C      964     UNCH   107.75 P    9,044      +10

JAN20 2Y NOTE   107.88 C    7,069   +1,010   107.88 P    8,375     +200

MAR20 2Y NOTE   107.75 C      819     UNCH   107.75 P    2,809   +2,298

MAR20 2Y NOTE   107.88 C      356     UNCH   107.88 P    2,135   +1,749

DEC19 EURODLR    98.00 C  324,398      -26    98.00 P  305,973     +450

DEC19 EURODLR    98.12 C  550,370  -13,177    98.12 P  239,712   +7,949

JAN20 EURODLR    98.25 C   36,875   +3,875    98.25 P  147,278   +3,450

JAN20 EURODLR    98.37 C   59,294     +282    98.37 P   28,921     -272

DEC20 1Y-MIDC    98.50 C   90,658   +1,305    98.50 P   97,448   -2,287

DEC20 1Y-MIDC    98.62 C  135,693   +4,267    98.62 P   49,271     +200

DEC21 2Y-MIDC    98.50 C   79,077     -600    98.50 P   65,697   +7,703

DEC21 2Y-MIDC    98.62 C   62,608     -200    98.62 P   23,956   +1,939

DEC22 3Y-MIDC    98.50 C   37,924     +100    98.50 P   18,753     -900

DEC22 3Y-MIDC    98.62 C   48,973   -1,000    98.62 P   18,440     UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

JAN20 10Y NOTE PUT/CALL RATIO   -- 0.94 (182,111 PUTS VS. 192,364 CALLS)

MAR20 10Y NOTE PUT/CALL RATIO   -- 1.25 (54,481 PUTS VS. 43,208 CALLS)

JAN20 5Y NOTE PUT/CALL RATIO    -- 0.98 (68,243 PUTS VS. 69,261 CALLS)

MAR20 5Y NOTE PUT/CALL RATIO    -- 2.33 (21,362 PUTS VS. 9,336 CALLS)

JAN20 2Y NOTE PUT/CALL RATIO    -- 0.74 (4,674 PUTS VS. 6,214 CALLS)

MAR20 2Y NOTE PUT/CALL RATIO    -- 9.49 (15,207 PUTS VS. 1,664 CALLS)

DEC19 EURODLRS PUT/CALL RATIO   -- 0.21 (26,708 PUTS VS. 123,521 CALLS)

JAN20 EURODLRS PUT/CALL RATIO   -- 0.18 (17,500 PUTS VS. 94,854 CALLS)

DEC20 1Y-MIDCRVE PUT/CALL RATIO -- 0.54 (48,780 PUTS VS. 88,615 CALLS)

DEC21 2Y-MIDCRVE PUT/CALL RATIO -- 2.48 (34,489 PUTS VS. 13,250 CALLS)

DEC22 3Y-MIDCRVE PUT/CALL RATIO -- 0.89 (18,840 PUTS VS. 20,956 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

Tue 1500    58.95    69.07    67.14    67.46    67.00     66.73

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

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

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