US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR NOV 15

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

            USZ     USH    TYZ    TYH    FVZ    FVH     EDX     EDZ

THU 3:00   6.09%   7.54%  3.26%  3.99%  2.16%  2.63%   10.52%  10.78%

THU OPEN   6.52%   7.57%  3.58%  4.05%  2.54%  2.64%   12.09%  10.32%

WED 3:00    N/A     N/A    N/A    N/A    N/A    N/A     N/A     N/A

WED OPEN   6.28%   7.52%  3.42%  4.03%  2.25%  2.55%   12.78%  10.56%

TUE 3:00   6.63%   7.49%  3.52%  3.98%  2.25%  2.54%    6.34%   8.92%

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    N/A     N/A    N/A    N/A    N/A    N/A     N/A     N/A

FRI OPEN    N/A     N/A    N/A    N/A    N/A    N/A     N/A     N/A

     LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

DEC18 10Y NOTE  120.00 C  228,014   -3,931   117.50 P  209,675  -4,668

MAR19 10Y NOTE  123.50 C   40,000     UNCH   118.00 P   24,927    +130

DEC18 5Y NOTE   113.00 C   69,339   -2,721   107.25 P  246,719    UNCH

MAR19 5Y NOTE   112.50 C    9,244   -3,276   112.50 P    2,889    +116

DEC18 2Y NOTE   105.50 C   23,976     -274   105.12 P   16,673    -266

MAR19 2Y NOTE   105.87 C    2,003       +3   105.37 P      101    +100

NOV18 EURODLR    97.37 C  143,457     UNCH    97.25 P   94,347 -10,198

DEC18 EURODLR    97.62 C  483,648     UNCH    97.25 P  503,882    +581

DEC19 1Y-MIDC    97.00 C  442,989   -8,676    96.75 P  508,343  -8,795

DEC20 2Y-MIDC    97.00 C  300,409   +4,792    96.62 P  389,791  -2,197

DEC21 3Y-MIDC    97.00 C   72,202     +441    96.50 P  155,054    +250

     NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

DEC18 10Y NOTE  120.00 C  228,014   -3,931   120.00 P   32,634      -1

DEC18 10Y NOTE  120.50 C  105,499      +78   120.50 P   19,798      -1

MAR19 10Y NOTE  120.00 C   12,007   +1,931   120.00 P        7      -2

MAR19 10Y NOTE  120.50 C   14,322   +2,436   120.50 P        4      +1

DEC18 5Y NOTE   113.50 C   46,851   +1,208   113.50 P    7,025    +110

DEC18 5Y NOTE   113.75 C   20,754      +65   113.75 P      394      -2

MAR19 5Y NOTE   113.50 C    1,371     -102   113.50 P        0    UNCH

MAR19 5Y NOTE   113.75 C    1,210     +350   113.75 P        1    UNCH

DEC18 2Y NOTE   105.62 C   10,199     -460   105.62 P      322    UNCH

DEC18 2Y NOTE   105.75 C   19,329     UNCH   105.75 P      247    UNCH

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

MAR19 2Y NOTE   105.75 C       51     UNCH   105.75 P       14    UNCH

NOV18 EURODLR    97.37 C  143,457     UNCH    97.37 P   83,372    UNCH

NOV18 EURODLR    97.50 C   89,169     UNCH    97.50 P    1,675    UNCH 

DEC18 EURODLR    97.50 C  449,638     -255    97.50 P  325,921    +817

DEC18 EURODLR    97.62 C  483,648     UNCH    97.62 P  192,501    UNCH

DEC19 1Y-MIDC    97.12 C  172,364   +1,521    97.12 P  111,235    -250

DEC19 1Y-MIDC    97.25 C  191,357   -3,750    97.25 P   84,848    UNCH

DEC20 2Y-MIDC    97.00 C  300,409   +4,792    97.00 P  253,183    -250

DEC20 2Y-MIDC    97.12 C   98,197  -12,085    97.12 P   42,287    UNCH  

DEC21 3Y-MIDC    96.87 C   58,511      +52    96.87 P   52,833    -125

DEC21 3Y-MIDC    97.00 C   72,202     +441    97.00 P  101,703    UNCH

     PUT/CALL RATIO FOR VOLUME CLEARED:

DEC18 10Y NOTE PUT/CALL RATIO  -- 1.87 (220,536 PUTS VS. 239,620 CALLS)

MAR19 10Y NOTE PUT/CALL RATIO  -- 1.80 (26,944 PUTS VS. 19,792 CALLS)

DEC18 5Y NOTE PUT/CALL RATIO   -- 4.61 (65,826 PUTS VS. 48,966 CALLS)

MAR19 5Y NOTE PUT/CALL RATIO   -- 1.70 (1,077 PUTS VS. 12,768 CALLS)

DEC18 2Y NOTE PUT/CALL RATIO   -- 1.39 (3,691 PUTS VS. 2,580 CALLS)

MAR19 2Y NOTE PUT/CALL RATIO   -- 0.00 (123 PUTS VS. 150 CALLS)

NOV18 EURODLRS PUT/CALL RATIO  -- 0.71 (13,004 PUTS VS. 3,195 CALLS)

DEC18 EURODLRS PUT/CALL RATIO  -- 0.58 (27,532 PUTS VS. 30,519 CALLS)

DEC19 1Y-MIDCRVE PUT/CALL RATIO-- 1.16 (80,921 PUTS VS. 64,850 CALLS)

DEC20 2Y-MIDCRVE PUT/CALL RATIO-- 3.39 (28,750 PUTS VS. 48,912 CALLS)

DEC21 3Y-MIDCRVE PUT/CALL RATIO-- 6.00 (2,300 PUTS VS. 500 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    49.89   57.60    59.50   60.28    70.70     77.04

THU OPEN    48.47   56.91    58.37   59.52    70.49     76.88

WED 3:00     N/A     N/A      N/A     N/A      N/A       N/A

WED OPEN    46.26   56.65    57.25   58.73    70.44     76.87

TUE 3:00    45.55   55.77    56.83   58.34    70.31     76.77

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     N/A     N/A      N/A     N/A      N/A       N/A

FRI OPEN     N/A     N/A      N/A     N/A      N/A       N/A

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

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