US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR NOV 1

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

            USZ     USH    TYZ    TYH    FVZ    FVH     EDX     EDZ

THU 3:00   7.84%   7.48%  4.11%  4.06%  2.46%  2.58%   12.23%  11.57%

THU OPEN   7.72%   7.67%  4.02%  4.07%  2.46%  2.62%   13.35%  13.94%

WED 3:00   7.88%   7.65%  4.15%  4.04%  2.58%  2.56%   13.09%  14.12%

WED OPEN   8.07%   7.52%  4.20%  3.98%  2.68%  2.58%   12.96%  13.03%

TUE 3:00   8.26%   7.63%  4.37%  4.07%  2.79%  2.64%   14.10%  12.57%

TUE OPEN    N/A     N/A    N/A    N/A    N/A    N/A     N/A     N/A

MON 3:00    N/A     N/A    N/A    N/A    N/A    N/A     N/A     N/A

MON OPEN    N/A     N/A    N/A    N/A    N/A    N/A     N/A     N/A

FRI 3:00   7.81%    N/A    N/A    N/A   2.73%   N/A    13.52%  13.25% 

FRI OPEN   7.88%    N/A    N/A    N/A   2.75%   N/A    12.70%  12.07%

     LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

DEC18 10Y NOTE  120.00 C  239,796     -751   117.50 P  260,850 +15,776

MAR19 10Y NOTE  119.50 C    7,162       -1   116.00 P   18,580     -12

DEC18 5Y NOTE   112.75 C   73,526     +597   107.25 P  246,719    UNCH

MAR19 5Y NOTE   112.50 C    2,429     UNCH   113.00 P    2,429    UNCH

DEC18 2Y NOTE   105.50 C   26,455   +4,311   105.12 P   14,691  +1,785

MAR19 2Y NOTE   105.87 C    2,000     UNCH   105.75 P       14    UNCH

NOV18 EURODLR    97.37 C  140,962   +2,316    97.25 P  142,580    +450

DEC18 EURODLR    97.62 C  480,450     UNCH    97.25 P  581,330    +444

DEC19 1Y-MIDC    97.00 C  430,784   -3,219    96.75 P  618,777  +1,150

DEC20 2Y-MIDC    97.00 C  164,083   -3,240    96.87 P  300,167    UNCH

DEC21 3Y-MIDC    97.50 C   67,098     UNCH    96.62 P  142,763    +294

     NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

DEC18 10Y NOTE  120.00 C  239,796     -751   120.00 P   33,419    -250

DEC18 10Y NOTE  120.50 C   93,377   -2,173   120.50 P   19,867      -2

MAR19 10Y NOTE  120.00 C    6,741     -148   120.00 P        6      -3

MAR19 10Y NOTE  120.50 C    5,859     +450   120.50 P        5      +4

DEC18 5Y NOTE   113.50 C   44,497     +158   113.50 P    6,819    UNCH

DEC18 5Y NOTE   113.75 C   20,824      -80   113.75 P      395      +1

MAR19 5Y NOTE   113.50 C      861     +120   113.50 P        0    UNCH

MAR19 5Y NOTE   113.75 C      860     UNCH   113.75 P        0    UNCH

DEC18 2Y NOTE   105.62 C   10,661     +375   105.62 P      322    UNCH

DEC18 2Y NOTE   105.75 C   19,331   +3,365   105.75 P      247    UNCH

MAR19 2Y NOTE   105.62 C        0     UNCH   105.62 P        0    UNCH

MAR19 2Y NOTE   105.75 C       48       +1   105.75 P       14    UNCH

NOV18 EURODLR    97.37 C  140,962   +2,316    97.37 P   84,672    UNCH

NOV18 EURODLR    97.50 C   89,169     UNCH    97.50 P    3,625    UNCH 

DEC18 EURODLR    97.50 C  464,415   +8,946    97.50 P  336,977  +2,000

DEC18 EURODLR    97.62 C  480,450     UNCH    97.62 P  193,015    UNCH

DEC19 1Y-MIDC    97.12 C  177,442     +568    97.12 P  111,527    UNCH

DEC19 1Y-MIDC    97.25 C  191,543     -762    97.25 P   84,473    UNCH

DEC20 2Y-MIDC    97.00 C  164,083   -3,240    97.00 P  253,833    UNCH

DEC20 2Y-MIDC    97.12 C  105,776   -2,212    97.12 P   42,633    UNCH  

DEC21 3Y-MIDC    96.87 C   50,783     +157    96.87 P   48,879    -265

DEC21 3Y-MIDC    97.00 C   54,192     UNCH    97.00 P  100,663    UNCH

     PUT/CALL RATIO FOR VOLUME CLEARED:

DEC18 10Y NOTE PUT/CALL RATIO  -- 1.16 (186,994 PUTS VS. 160,547 CALLS)

MAR19 10Y NOTE PUT/CALL RATIO  -- 1.89 (7,960 PUTS VS. 4,215 CALLS)

DEC18 5Y NOTE PUT/CALL RATIO   -- 5.47 (86,712 PUTS VS. 15,856 CALLS)

MAR19 5Y NOTE PUT/CALL RATIO   -- 0.50 (506 PUTS VS. 1,017 CALLS)

DEC18 2Y NOTE PUT/CALL RATIO   -- 0.30 (5,465 PUTS VS. 18,500 CALLS)

MAR19 2Y NOTE PUT/CALL RATIO   -- 3.00 (3 PUTS VS. 1 CALLS)

NOV18 EURODLRS PUT/CALL RATIO  -- 0.09 (1,060 PUTS VS. 12,463 CALLS)

DEC18 EURODLRS PUT/CALL RATIO  -- 0.75 (47,223 PUTS VS. 62,984 CALLS)

DEC19 1Y-MIDCRVE PUT/CALL RATIO-- 0.27 (7,000 PUTS VS. 26,086 CALLS)

DEC20 2Y-MIDCRVE PUT/CALL RATIO-- 0.21 (1,940 PUTS VS. 9,190 CALLS)

DEC21 3Y-MIDCRVE PUT/CALL RATIO-- 0.00 (0 PUTS VS. 0 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

THU 3:00    49.43   61.25    62.21   62.29    72.23     77.09

THU OPEN    49.79   63.08    62.72   62.55    72.41     77.05

WED 3:00    50.13   64.19    62.85   62.58    72.38     76.99

WED OPEN    52.22   65.44    63.98   63.80    72.49     77.01

TUE 3:00    51.80   64.92    63.82   63.81    72.32     76.79

TUE OPEN     N/A     N/A      N/A     N/A      N/A       N/A 

MON 3:00     N/A     N/A      N/A     N/A      N/A       N/A

MON OPEN     N/A     N/A      N/A     N/A      N/A       N/A

FRI 3:00    48.68   61.71    60.36   61.46    71.49     76.13

FRI OPEN    47.29   61.07    59.46   61.02    71.14     75.85

--MNI Chicago Bureau; +1 630-698-0154; email: ryan.martin@marketnews.com

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