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EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
             USZ    USF     TYZ    TYF     FVZ    FVF     EDX     EDZ
1145        8.42%  8.23%   4.27%  4.26%   2.76%  2.75%    N/A    16.05%
1030        8.38%  8.17%   4.26%  4.23%   2.71%  2.74%    N/A    16.70%
WED OPEN    8.40%  8.22%   4.33%  4.25%   2.75%  2.75%    N/A    16.90%
TUE 1500    8.85%  8.38%   4.62%  4.37%   2.95%  2.84%    N/A    15.76%
TUE OPEN    8.98%  8.44%   4.73%  4.43%   3.02%  2.84%    N/A    15.63%
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%
LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE
DEC19 10Y NOTE  131.00 C  156,034   +2,082   128.00 P  120,543   -5,470
JAN20 10Y NOTE  131.50 C   84,280     +165   127.00 P   62,456   +8,850
DEC19 5Y NOTE   119.50 C   92,481       -9   116.00 P  119,710     UNCH
JAN20 5Y NOTE   120.50 C   64,899     +300   118.75 P   67,127     +375
DEC19 2Y NOTE   108.00 C   29,269     UNCH   107.00 P   29,375     UNCH
JAN20 2Y NOTE   108.00 C    4,239     +710   107.62 P    7,856      +10
NOV19 EURODLR    98.25 C  182,351     UNCH    97.87 P  155,863     UNCH
DEC19 EURODLR    98.25 C  589,108     -543    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   90,103      -25    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  128.50 C   27,005   +4,474   128.50 P   97,371   +2,169
DEC19 10Y NOTE  129.00 C   38,722   +4,877   129.00 P   70,859   -1,445
JAN20 10Y NOTE  128.50 C   18,197   +8,508   128.50 P   28,465     -362
JAN20 10Y NOTE  129.00 C   22,180   +1,680   129.00 P   25,197      +32
DEC19 5Y NOTE   118.25 C    2,872     +250   118.25 P   52,700      +45
DEC19 5Y NOTE   118.50 C   15,362     +602   118.50 P   29,713     -409
JAN20 5Y NOTE   118.50 C   31,549       +4   118.50 P   12,700  -24,265
JAN20 5Y NOTE   118.75 C   10,124     +564   118.75 P   67,127     +375
DEC19 2Y NOTE   107.50 C    1,913      +21   107.50 P   24,472     -704
DEC19 2Y NOTE   107.62 C    5,427   -1,208   107.62 P    3,042     -259
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  110,176     +500    98.12 P   33,740     UNCH
DEC19 EURODLR    98.00 C  321,203      -72    98.00 P  306,475   -4,698
DEC19 EURODLR    98.12 C  485,464   -9,175    98.12 P  227,116     +100
DEC20 1Y-MIDC    98.50 C   99,763   +4,250    98.50 P  101,841     UNCH
DEC20 1Y-MIDC    98.62 C  140,924   +1,348    98.62 P   53,718     UNCH
DEC21 2Y-MIDC    98.50 C   90,103      -25    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   36,443     -500    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   -- 2.24 (173,292 PUTS VS. 77,431 CALLS)
JAN20 10Y NOTE PUT/CALL RATIO   -- 0.91 (76,765 PUTS VS. 83,137 CALLS)
DEC19 5Y NOTE PUT/CALL RATIO    -- 1.31 (20,554 PUTS VS. 15,646 CALLS)
JAN20 5Y NOTE PUT/CALL RATIO    -- 10.4 (104,317 PUTS VS. 10,634 CALLS)
DEC19 2Y NOTE PUT/CALL RATIO    -- 5.27 (9,566 PUTS VS. 1,873 CALLS)
JAN20 2Y NOTE PUT/CALL RATIO    -- 1.01 (1,044 PUTS VS. 1,006 CALLS)
NOV19 EURODLRS PUT/CALL RATIO   -- 0.00 (0 PUTS VS. 1,000 CALLS)
DEC19 EURODLRS PUT/CALL RATIO   -- 0.25 (17,477 PUTS VS. 67,768 CALLS)
DEC20 1Y-MIDCRVE PUT/CALL RATIO -- 0.52 (6,670 PUTS VS. 12,500 CALLS)
DEC21 2Y-MIDCRVE PUT/CALL RATIO -- 4.91 (4,907 PUTS VS. 1,025 CALLS)
DEC22 3Y-MIDCRVE PUT/CALL RATIO -- 2.87 (2,350 PUTS VS. 850 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
1145        58.35    74.36    66.92    69.42    65.54     64.67
1030        58.07    74.36    66.94    69.37    65.48     64.65
Wed Open    58.12    75.01    67.05    69.45    65.50     64.66
Tue 1500    57.70    76.07    66.55    68.98    65.57     64.57
Tue Open    57.92    72.77    67.28    69.08    66.05     64.85
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
--MNI Chicago Bureau; tel: +1 312-431-0089; email: bill.sokolis@marketnews.com
[TOPICS: MTABLE,M$U$$$,M$$FI$,MN$FI$]

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