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

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

             USZ    USF     TYZ    TYF     FVZ    FVF     EDX     EDZ

0900        7.81%  7.55%   4.08%  4.19%   2.65%  2.69%   16.00%  20.96%

FRI OPEN    7.94%  7.74%   4.19%  4.20%   2.76%  2.75%   19.25%  22.50%

THU 1500    7.85%  7.69%   4.21%  4.25%   2.85%  2.65%   18.20%  19.95%

THU OPEN    7.77%  7.67%   4.15%  4.27%   2.72%  2.75%   17.25%  22.20%

WED 1500    8.12%  7.93%   4.44%  4.34%   2.95%  2.83%   20.95%  23.35%

WED OPEN    8.05%  7.98%   4.40%  4.30%   2.90%  2.81%   20.40%  23.35%

TUE 1500    8.11%  8.04%   4.50%  4.46%   2.93%  2.90%   22.50%  23.90%

TUE OPEN    8.30%  8.05%   4.63%  4.48%   3.00%  2.90%   20.45%  25.43%

MON 1500    8.33%  8.10%   4.55%  4.53%   2.97%  2.91%   20.50%  24.70%

MON OPEN    8.05%  7.88%   4.47%  4.41%   2.95%  2.98%   22.00%  24.15%

FRI 1500    7.86%   N/A    4.40%   N/A    2.86%   N/A    21.40%  24.65%

FRI OPEN    7.97%   N/A    4.49%   N/A    2.93%   N/A    21.25%  24.75%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

DEC19 10Y NOTE  132.00 C  143,427  -39,370   128.00 P  132,207   -1,767

JAN20 10Y NOTE  131.50 C   65,889   +3,053   127.50 P   22,260     -137

DEC19 5Y NOTE   119.50 C   78,541   -3,300   116.00 P  114,246     UNCH

JAN20 5Y NOTE   119.50 C   25,982     +517   118.00 P    8,331     -446

DEC19 2Y NOTE   108.00 C   29,165      -35   106.75 P   27,725     UNCH

JAN20 2Y NOTE   107.88 C    3,011      +11   107.62 P    4,425     +500

NOV19 EURODLR    98.25 C  196,097  +28,005    97.87 P  167,585   -8,510

DEC19 EURODLR    98.37 C  643,673  -16,571    97.25 P1,066,055     UNCH

DEC20 1Y-MIDC    98.75 C  210,318  +14,325    98.12 P  197,759     -500

DEC21 2Y-MIDC    98.50 C   92,135     +250    97.37 P  125,829     UNCH

DEC22 3Y-MIDC    97.37 C   52,101     UNCH    97.37 P   63,651     UNCH

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

DEC19 10Y NOTE  130.00 C   84,079     -261   130.00 P   85,044  +18,780

DEC19 10Y NOTE  130.50 C   56,387     +162   130.50 P   41,228   +2,399

JAN20 10Y NOTE  130.00 C   14,151   +2,467   130.00 P   14,201   +3,831

JAN20 10Y NOTE  130.50 C   23,131     +510   130.50 P    5,675   +3,599

DEC19 5Y NOTE   119.00 C   52,141   -1,390   119.00 P   30,600   -2,340

DEC19 5Y NOTE   119.25 C   49,034   +7,359   119.25 P   14,712   +1,998

JAN20 5Y NOTE   119.25 C    5,219      -22   119.25 P    5,377      +87

JAN20 5Y NOTE   119.50 C   25,982     +517   119.50 P    1,012   +1,011

DEC19 2Y NOTE   107.50 C    1,142     UNCH   107.50 P   17,683   -5,442

DEC19 2Y NOTE   107.62 C    1,676     UNCH   107.62 P    2,096     +217

JAN20 2Y NOTE   107.75 C       78     UNCH   107.75 P    3,201     +499

JAN20 2Y NOTE   107.88 C    3,011      +11   107.88 P      134      +56

NOV19 EURODLR    98.00 C   71,612   -6,016    98.00 P  142,796   +2,552

NOV19 EURODLR    98.12 C  139,443  -28,853    98.12 P   37,201      +56

DEC19 EURODLR    98.00 C  325,170   -7,922    98.00 P  365,048   -4,883

DEC19 EURODLR    98.12 C  476,389  +32,715    98.12 P  202,541   -3,319

DEC20 1Y-MIDC    98.50 C   98,382   +2,924    98.50 P   98,327   +2,020

DEC20 1Y-MIDC    98.62 C  131,773   +4,635    98.62 P   54,968   +3,250

DEC21 2Y-MIDC    98.50 C   91,135     +250    98.50 P   48,524     -900

DEC21 2Y-MIDC    98.62 C   58,830      +23    98.62 P   22,118     +778

DEC22 3Y-MIDC    98.50 C   35,701   +2,100    98.50 P   13,926     +414

DEC22 3Y-MIDC    98.62 C   30,577     UNCH    98.62 P   18,440     UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

DEC19 10Y NOTE PUT/CALL RATIO   -- 0.73 (324,944 PUTS VS. 438,345 CALLS)

JAN20 10Y NOTE PUT/CALL RATIO   -- 0.87 (61,933 PUTS VS. 70,151 CALLS)

DEC19 5Y NOTE PUT/CALL RATIO    -- 0.88 (84,104 PUTS VS. 95,861 CALLS)

JAN20 5Y NOTE PUT/CALL RATIO    -- 0.91 (11,083 PUTS VS. 12,703 CALLS)

DEC19 2Y NOTE PUT/CALL RATIO    -- 3.91 (28,263 PUTS VS. 7,183 CALLS)

JAN20 2Y NOTE PUT/CALL RATIO    -- 7.52 (1,283 PUTS VS. 175 CALLS)

NOV19 EURODLRS PUT/CALL RATIO   -- 0.17 (32,207 PUTS VS. 184,498 CALLS)

DEC19 EURODLRS PUT/CALL RATIO   -- 0.26 (113,872 PUTS VS. 429,805 CALLS)

DEC20 1Y-MIDCRVE PUT/CALL RATIO -- 0.82 (42,286 PUTS VS. 51,600 CALLS)

DEC21 2Y-MIDCRVE PUT/CALL RATIO -- 1.07 (15,127 PUTS VS. 14,125 CALLS)

DEC22 3Y-MIDCRVE PUT/CALL RATIO -- 1.27 (14,564 PUTS VS. 11,314 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

0900        66.44    66.13    68.11    68.14    65.93     65.30

Fri Open    66.55    67.12    68.17    68.16    65.91     65.26

Thu 1500    66.01    69.03    69.51    69.15    65.73     65.18

Thu Open    65.05    68.85    68.40    67.80    65.20     64.32

Wed 1500    66.34    69.65    68.46    67.93    65.31     64.43

Wed Open    65.85    69.20    68.10    67.35    65.15     64.09

Tue 1500    66.24    70.03    68.61    67.94    65.48     64.32

Tue Open    67.07    71.10    68.96    68.02    65.45     64.26

Mon 1500    67.09    70.77    68.92    68.17    65.53     65.02

Mon Open    67.85    69.45    68.55    67.55    65.90     64.94

Fri 1500    68.33    68.28    68.05    67.23    66.06     64.92

Fri Open    72.17    70.73    72.32    68.84    66.36     65.30

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

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