US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR NOV 14

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

             USZ    USF     TYZ    TYF     FVZ    FVF     EDX     EDZ

1000        7.79%  7.95%   4.16%  4.15%   2.58%  2.68%    N/A    17.16%

THU OPEN    8.06%  8.00%   4.16%  4.17%   2.57%  2.67%    N/A    16.62%

WED 1500    8.08%  8.15%   4.12%  4.24%   2.65%  2.74%    N/A    16.35%

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

DEC19 10Y NOTE  131.00 C  155,932     -102   128.00 P  123,698   +3,155

JAN20 10Y NOTE  131.50 C   84,617     +337   127.00 P   63,910   +1,454

DEC19 5Y NOTE   119.50 C   92,481     UNCH   116.00 P  119,610     -100

JAN20 5Y NOTE   120.50 C   65,149     +250   118.75 P   67,027     -100

DEC19 2Y NOTE   108.00 C   28,569     -700   107.00 P   29,375     UNCH

JAN20 2Y NOTE   108.00 C    4,240       +1   107.62 P    8,576     +720

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

DEC19 EURODLR    98.25 C  581,341   -7,767    97.25 P1,066,055     UNCH

DEC20 1Y-MIDC    98.75 C  206,728   +3,462    98.12 P  202,993     UNCH

DEC21 2Y-MIDC    98.50 C   89,191     -912    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   26,467     -538   128.50 P   93,575   -3,796

DEC19 10Y NOTE  129.00 C   38,695      -27   129.00 P   70,442     -417

JAN20 10Y NOTE  128.50 C   17,944     -273   128.50 P   30,536   +2,071

JAN20 10Y NOTE  129.00 C   27,552   +5,374   129.00 P   27,996   +2,799

DEC19 5Y NOTE   118.25 C    3,460     +588   118.25 P   53,093     +393

DEC19 5Y NOTE   118.50 C   16,029     +667   118.50 P   28,257   -1,456

JAN20 5Y NOTE   118.50 C   31,549     UNCH   118.50 P   16,577   +3,877

JAN20 5Y NOTE   118.75 C   10,088      -36   118.75 P   67,027     -100

DEC19 2Y NOTE   107.50 C    1,913     UNCH   107.50 P   23,866     -606

DEC19 2Y NOTE   107.62 C    4,657     -770   107.62 P    2,918     -124

JAN20 2Y NOTE   107.75 C      274      +50   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     UNCH    98.12 P   33,740     UNCH

DEC19 EURODLR    98.00 C  322,003     +800    98.00 P  306,669     +194

DEC19 EURODLR    98.12 C  506,160  +20,696    98.12 P  227,141      +25

DEC20 1Y-MIDC    98.50 C   90,139   -9,624    98.50 P  101,841     UNCH

DEC20 1Y-MIDC    98.62 C  141,772     +848    98.62 P   53,718     UNCH

DEC21 2Y-MIDC    98.50 C   89,191     -912    98.50 P   58,738     UNCH

DEC21 2Y-MIDC    98.62 C   55,538       +2    98.62 P   22,118     UNCH

DEC22 3Y-MIDC    98.50 C   35,852     -591    98.50 P   15,476     +250

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   -- 0.50 (131,306 PUTS VS. 260,638 CALLS)

JAN20 10Y NOTE PUT/CALL RATIO   -- 0.94 (53,652 PUTS VS. 56,596 CALLS)

DEC19 5Y NOTE PUT/CALL RATIO    -- 3.09 (62,592 PUTS VS. 20,189 CALLS)

JAN20 5Y NOTE PUT/CALL RATIO    -- 1.96 (49,094 PUTS VS. 25,378 CALLS)

DEC19 2Y NOTE PUT/CALL RATIO    -- 0.60 (2,876 PUTS VS. 4,600 CALLS)

JAN20 2Y NOTE PUT/CALL RATIO    -- 2.99 (889 PUTS VS. 332 CALLS)

NOV19 EURODLRS PUT/CALL RATIO   -- 0.00 (0 PUTS VS. 1,500 CALLS)

DEC19 EURODLRS PUT/CALL RATIO   -- 0.20 (16,576 PUTS VS. 79,506 CALLS)

DEC20 1Y-MIDCRVE PUT/CALL RATIO -- 0.29 (20,772 PUTS VS. 70,856 CALLS)

DEC21 2Y-MIDCRVE PUT/CALL RATIO -- 2.65 (31,149 PUTS VS. 11,705 CALLS)

DEC22 3Y-MIDCRVE PUT/CALL RATIO -- 0.08 (2,132 PUTS VS. 26,132 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

1000        58.65    69.42    66.24    68.46    65.51     64.93

Thu Open    58.34    70.10    66.84    68.54    65.55     64.74

Wed 1500    57.50    73.17    66.77    69.06    65.51     64.78

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

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

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