US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR NOV 16

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

            USZ     USH    TYZ    TYH    FVZ    FVH     EDX     EDZ

FRI 3:00   5.96%   7.59%  3.29%  4.09%  2.39%  2.68%    N/A    10.14%

FRI OPEN   6.00%   7.56%  3.23%  3.97%  2.07%  2.61%   13.23%  10.54%

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

     LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

DEC18 10Y NOTE  120.00 C  233,766   +5,752   117.50 P  211,615  +1,940

MAR19 10Y NOTE  123.50 C   40,000     UNCH   118.00 P   25,214    +287

DEC18 5Y NOTE   113.00 C   65,214   -4,125   107.25 P  246,719    UNCH

MAR19 5Y NOTE   112.50 C    9,099     -145   112.50 P    5,477  +3,035

DEC18 2Y NOTE   105.50 C   23,826     -150   105.12 P   16,673    UNCH

MAR19 2Y NOTE   105.87 C    2,003     UNCH   105.37 P      101    UNCH

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  507,210  +3,328

DEC19 1Y-MIDC    97.00 C  482,338  +39,349    96.75 P  510,674  +2,331

DEC20 2Y-MIDC    97.00 C  302,409   +2,000    96.62 P  382,286  -7,505

DEC21 3Y-MIDC    97.00 C   72,572     +370    96.50 P  155,054    UNCH

     NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

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

DEC18 10Y NOTE  120.50 C  103,476   -2,023   120.50 P   19,798    UNCH

MAR19 10Y NOTE  120.00 C   14,472   +2,465   120.00 P        8      +1

MAR19 10Y NOTE  120.50 C   14,864     +542   120.50 P        4    UNCH

DEC18 5Y NOTE   113.50 C   46,888      +37   113.50 P    7,030      +5

DEC18 5Y NOTE   113.75 C   21,392     +638   113.75 P      397      +3

MAR19 5Y NOTE   113.50 C    2,041     +670   113.50 P        1      +1

MAR19 5Y NOTE   113.75 C    2,245   +1,035   113.75 P        1    UNCH

DEC18 2Y NOTE   105.62 C    8,399   -1,800   105.62 P      322    UNCH

DEC18 2Y NOTE   105.75 C   18,304   -1,025   105.75 P      247    UNCH

MAR19 2Y NOTE   105.62 C        4       +2   105.62 P        0    UNCH

MAR19 2Y NOTE   105.75 C       58       +7   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  442,998   -6,640    97.50 P  325,946     +25

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

DEC19 1Y-MIDC    97.12 C  172,036     -328    97.12 P  111,235    UNCH

DEC19 1Y-MIDC    97.25 C  192,419   +1,062    97.25 P   84,848    UNCH

DEC20 2Y-MIDC    97.00 C  302,409   +2,000    97.00 P  253,183    UNCH

DEC20 2Y-MIDC    97.12 C   99,855   +1,658    97.12 P   42,287    UNCH  

DEC21 3Y-MIDC    96.87 C   61,985   +3,474    96.87 P   56,952  +4,119

DEC21 3Y-MIDC    97.00 C   72,572     +370    97.00 P  101,703    UNCH

     PUT/CALL RATIO FOR VOLUME CLEARED:

DEC18 10Y NOTE PUT/CALL RATIO  -- 0.46 (172,652 PUTS VS. 373,864 CALLS)

MAR19 10Y NOTE PUT/CALL RATIO  -- 0.63 (36,257 PUTS VS. 57,884 CALLS)

DEC18 5Y NOTE PUT/CALL RATIO   -- 0.37 (35,757 PUTS VS. 97,623 CALLS)

MAR19 5Y NOTE PUT/CALL RATIO   -- 0.69 (12,802 PUTS VS. 18,557 CALLS)

DEC18 2Y NOTE PUT/CALL RATIO   -- 0.22 (1,488 PUTS VS. 6,713 CALLS)

MAR19 2Y NOTE PUT/CALL RATIO   -- 0.05 (2 PUTS VS. 41 CALLS)

NOV18 EURODLRS PUT/CALL RATIO  -- 1.64 (4,891 PUTS VS. 2,991 CALLS)

DEC18 EURODLRS PUT/CALL RATIO  -- 0.90 (89,849 PUTS VS. 99,958 CALLS)

DEC19 1Y-MIDCRVE PUT/CALL RATIO-- 1.16 (130,295 PUTS VS. 85,800 CALLS)

DEC20 2Y-MIDCRVE PUT/CALL RATIO-- 1.52 (15,750 PUTS VS. 12,500 CALLS)

DEC21 3Y-MIDCRVE PUT/CALL RATIO-- 0.57 (2,000 PUTS VS. 3,500 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

FRI 3:00    51.66   58.85    59.43   60.22    70.79     77.22

FRI OPEN    49.91   58.50    59.09   60.19    70.63     76.97

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

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

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