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

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

             USZ    USF     TYZ    TYF     FVZ    FVF     EDX     EDZ

1230        7.28%  7.85%   3.80%  4.15%   2.36%  2.69%    N/A    16.60%

1045        7.50%  7.82%   3.84%  4.20%   2.41%  2.68%    N/A    16.15%

0930        7.58%  8.00%   3.85%  4.20%   2.46%  2.70%    N/A    17.03%

FRI OPEN    8.04%  8.10%   4.09%  4.28%   2.61%  2.72%    N/A    16.15%

THU 1500    7.95%  8.07%   4.09%  4.24%   2.61%  2.73%    N/A    17.00%

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

DEC19 10Y NOTE  131.00 C  155,807     -125   128.00 P  125,987   +2,748

JAN20 10Y NOTE  131.50 C   88,676   +4,059   127.00 P   63,607     -303

DEC19 5Y NOTE   119.50 C   92,981     +500   116.00 P  119,610     UNCH

JAN20 5Y NOTE   120.50 C   66,161   +1,012   118.75 P   67,027     UNCH

DEC19 2Y NOTE   108.00 C   29,851   +1,282   107.00 P   29,375     UNCH

JAN20 2Y NOTE   107.88 C    6,308   +3,299   107.62 P    9,076     +500

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

DEC19 EURODLR    98.25 C  580,712     -629    97.25 P1,066,055     UNCH

DEC20 1Y-MIDC    98.75 C  208,435   +1,707    98.12 P  201,993   -1,000

DEC21 2Y-MIDC    98.50 C   90,291   +1,100    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   26,829     +362   128.50 P   89,385   -4,190

DEC19 10Y NOTE  129.00 C   38,761      +29   129.00 P   67,601   -2,841

JAN20 10Y NOTE  128.50 C   17,481     -439   128.50 P   33,102   +2,566

JAN20 10Y NOTE  129.00 C   29,992   +2,440   129.00 P   31,439   +3,443

DEC19 5Y NOTE   118.25 C    3,477      +17   118.25 P   51,093   -2,000

DEC19 5Y NOTE   118.50 C   17,384   +1,355   118.50 P   25,088   -3,169

JAN20 5Y NOTE   118.50 C   31,546       -3   118.50 P   16,336     -241

JAN20 5Y NOTE   118.75 C   10,518     +430   118.75 P   67,027     UNCH

DEC19 2Y NOTE   107.50 C    1,912       -1   107.50 P   15,912   -7,954

DEC19 2Y NOTE   107.62 C    5,331     +674   107.62 P    3,069     +151

JAN20 2Y NOTE   107.75 C      274     UNCH   107.75 P    6,232   +1,737

JAN20 2Y NOTE   107.88 C    6,308   +3,299   107.88 P    4,168     UNCH

NOV19 EURODLR    98.00 C   41,486   -1,000    98.00 P  137,308     UNCH

NOV19 EURODLR    98.12 C  110,176     UNCH    98.12 P   33,739       -1

DEC19 EURODLR    98.00 C  322,008       +5    98.00 P  309,668   +2,999

DEC19 EURODLR    98.12 C  510,907   +4,747    98.12 P  226,866     -275

DEC20 1Y-MIDC    98.50 C   88,455   -1,684    98.50 P  102,142     +301

DEC20 1Y-MIDC    98.62 C  143,867   +2,095    98.62 P   52,118   -1,600

DEC21 2Y-MIDC    98.50 C   90,291   +1,100    98.50 P   61,840   +3,102

DEC21 2Y-MIDC    98.62 C   57,905   +2,367    98.62 P   22,118     UNCH

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

DEC22 3Y-MIDC    98.62 C   40,301     -793    98.62 P   18,440     UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

DEC19 10Y NOTE PUT/CALL RATIO   -- 0.83 (145,896 PUTS VS. 174,269 CALLS)

JAN20 10Y NOTE PUT/CALL RATIO   -- 0.60 (97,900 PUTS VS. 161,163 CALLS)

DEC19 5Y NOTE PUT/CALL RATIO    -- 1.09 (47,738 PUTS VS. 43,349 CALLS)

JAN20 5Y NOTE PUT/CALL RATIO    -- 0.38 (17,774 PUTS VS. 44,908 CALLS)

DEC19 2Y NOTE PUT/CALL RATIO    -- 0.59 (12,266 PUTS VS. 20,671 CALLS)

JAN20 2Y NOTE PUT/CALL RATIO    -- 2.41 (12,081 PUTS VS. 5,008 CALLS)

NOV19 EURODLRS PUT/CALL RATIO   -- 0.00 (1 PUTS VS. 5,255 CALLS)

DEC19 EURODLRS PUT/CALL RATIO   -- 0.12 (4,512 PUTS VS. 35,020 CALLS)

DEC20 1Y-MIDCRVE PUT/CALL RATIO -- 0.33 (20,458 PUTS VS. 59,220 CALLS)

DEC21 2Y-MIDCRVE PUT/CALL RATIO -- 0.49 (7,202 PUTS VS. 14,557 CALLS)

DEC22 3Y-MIDCRVE PUT/CALL RATIO -- 2.14 (30,229 PUTS VS. 14,200 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

1230        58.91    67.54    66.02    66.83    65.57     65.06

1045        58.94    67.96    66.07    66.94    65.57     65.05

0930        59.00    68.09    66.37    67.11    65.73     65.20

Fri Open    59.07    68.11    65.45    67.09    65.66     65.17

Thu 1500    58.91    68.37    66.65    67.83    65.59     64.98

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

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

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