US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR NOV 12

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

             USZ    USF     TYZ    TYF     FVZ    FVF     EDX     EDZ

FRI 1500    8.48%  8.45%   4.39%  4.40%   2.78%  2.86%   16.80%  17.50%

FRI OPEN    9.16%  8.78%   4.63%  4.53%   3.04%  2.94%   15.00%  17.35%

THU 1500    8.96%  8.54%   4.69%  4.50%   2.94%  2.94%   14.75%  17.50%

THU OPEN    8.25%  7.99%   4.15%  4.20%   2.55%  2.65%   15.05%  19.00%

WED 1500    7.98%  7.85%   4.04%  4.08%   2.51%  2.59%   14.45%  19.15%

WED OPEN    7.99%  7.70%   4.05%  4.09%   2.52%  2.54%   16.10%  19.65%

TUE 1500    8.00%  7.78%   4.11%  4.15%   2.57%  2.61%   16.80%  19.70%

TUE OPEN    7.81%  7.65%   4.06%  4.10%   2.55%  2.65%   17.73%  20.38%

MON 1500    7.74%  7.58%   3.97%  4.05%   2.57%  2.61%   15.10%  20.70%

MON OPEN    7.84%  7.67%   3.97%  4.06%   2.55%  2.61%   14.80%  19.65%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

DEC19 10Y NOTE  131.00 C  153,952   -1,029   128.00 P  126,013      +84

JAN20 10Y NOTE  131.50 C   84,115     +380   127.00 P   53,606     +821

DEC19 5Y NOTE   119.50 C   92,490     UNCH   116.00 P  119,710     +722

JAN20 5Y NOTE   120.50 C   64,599     UNCH   118.75 P   66,752     UNCH

DEC19 2Y NOTE   108.00 C   29,269     -713   107.00 P   29,375     UNCH

JAN20 2Y NOTE   108.00 C    3,529     UNCH   107.62 P    7,846     UNCH

NOV19 EURODLR    98.25 C  182,351     UNCH    97.87 P  155,863     UNCH

DEC19 EURODLR    98.25 C  589,651     -499    97.25 P1,066,055     UNCH

DEC20 1Y-MIDC    98.75 C  203,266     UNCH    98.12 P  202,993     UNCH

DEC21 2Y-MIDC    98.50 C   90,128     UNCH    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  128.00 C    2,459     -160   128.00 P  126,013      +84

DEC19 10Y NOTE  128.50 C   22,731     +755   128.50 P   95,035   -3,593

JAN20 10Y NOTE  128.00 C    3,614       +6   128.00 P   30,319       -9

JAN20 10Y NOTE  128.50 C    9,689      +13   128.50 P   28,827     -188

DEC19 5Y NOTE   118.00 C   11,245      +52   118.00 P   42,251     -466

DEC19 5Y NOTE   118.25 C    2,622     UNCH   118.25 P   52,655       +2

JAN20 5Y NOTE   118.25 C    2,450     UNCH   118.25 P   65,650     UNCH

JAN20 5Y NOTE   118.50 C   31,545     +545   118.50 P   36,965     -250

DEC19 2Y NOTE   107.50 C    1,892     UNCH   107.50 P   25,176      +49

DEC19 2Y NOTE   107.62 C    6,635     UNCH   107.62 P    3,301     +147

JAN20 2Y NOTE   107.75 C      224     UNCH   107.75 P    4,495     UNCH

JAN20 2Y NOTE   107.88 C    3,009     UNCH   107.88 P    4,168     UNCH

NOV19 EURODLR    98.00 C   42,486     UNCH    98.00 P  137,308     UNCH

NOV19 EURODLR    98.12 C  109,676     UNCH    98.12 P   33,740     UNCH

DEC19 EURODLR    98.00 C  321,275      -77    98.00 P  311,173     +115

DEC19 EURODLR    98.12 C  494,639     -200    98.12 P  227,016      +91

DEC20 1Y-MIDC    98.50 C   95,513     UNCH    98.50 P  101,841      +25

DEC20 1Y-MIDC    98.62 C  139,576     UNCH    98.62 P   53,718     UNCH

DEC21 2Y-MIDC    98.50 C   90,128     UNCH    98.50 P   58,738     UNCH

DEC21 2Y-MIDC    98.62 C   55,536     UNCH    98.62 P   22,118     UNCH

DEC22 3Y-MIDC    98.50 C   36,943     UNCH    98.50 P   15,226     UNCH

DEC22 3Y-MIDC    98.62 C   41,094     UNCh    98.62 P   18,440     UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

DEC19 10Y NOTE PUT/CALL RATIO   -- 2.09 (77,105 PUTS VS. 36,839 CALLS)

JAN20 10Y NOTE PUT/CALL RATIO   -- 0.99 (41,009 PUTS VS. 41,828 CALLS)

DEC19 5Y NOTE PUT/CALL RATIO    -- 10.3 (20,701 PUTS VS. 2,055 CALLS)

JAN20 5Y NOTE PUT/CALL RATIO    -- 1.00 (2,370 PUTS VS. 2,357 CALLS)

DEC19 2Y NOTE PUT/CALL RATIO    -- 0.65 (2,565 PUTS VS. 3,851 CALLS)

JAN20 2Y NOTE PUT/CALL RATIO    -- 0.20 (1 PUTS VS. 5 CALLS)

NOV19 EURODLRS PUT/CALL RATIO   -- 0.00 (0 PUTS VS. 0 CALLS)

DEC19 EURODLRS PUT/CALL RATIO   -- 0.03 (95 PUTS VS. 2,990 CALLS)

DEC20 1Y-MIDCRVE PUT/CALL RATIO -- 0.00 (6,346 PUTS VS. 0 CALLS)

DEC21 2Y-MIDCRVE PUT/CALL RATIO -- 0.00 (350 PUTS VS. 0 CALLS)

DEC22 3Y-MIDCRVE PUT/CALL RATIO -- 0.00 (1,750 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

Fri 1500    57.14    71.10    67.28    69.08    66.05     64.85

Fri Open    58.04    73.82    68.42    70.88    66.20     64.90

Thu 1500    57.51    73.19    69.03    71.16    66.20     64.89

Thu Open    56.80    66.55    65.55    66.60    65.40     64.90

Wed 1500    57.15    66.69    65.11    66.62    65.44     64.94

Wed Open    59.05    65.78    65.05    66.20    65.46     64.77

Tue 1500    59.55    65.80    65.20    66.28    65.52     64.88

Tue Open    60.38    63.38    64.72    65.52    65.47     65.05

Mon 1500    62.58    61.94    64.92    65.40    64.96     64.82

Mon Open    62.64    61.20    65.25    65.71    65.09     64.96

Fri 1500    64.48    60.22    64.92    65.75    65.30     64.97

Fri Open    66.55    67.12    68.17    68.16    65.91     65.26

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

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