US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR NOV 18

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

             USZ    USF     TYZ    TYF     FVZ    FVF     EDZ     EDF

1345        7.77%  7.66%   4.38%  4.16%   2.65%  2.68%   16.44%  18.50%

1200        8.19%  7.71%   4.48%  4.20%   2.70%  2.70%   16.32%  18.20%

1015        8.40%  7.78%   4.55%  4.15%   2.81%  2.70%   16.24%  18.25%

MON OPEN    8.16%  7.80%   4.35%  4.17%   2.78%  2.72%   16.30%  17.85%

FRI 1500    6.75%  7.65%   3.57%  4.07%   2.22%  2.63%   16.38%   N/A

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

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

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

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

WED OPEN    8.40%  8.22%   4.33%  4.25%   2.75%  2.75%   16.90%   N/A

TUE 1500    8.85%  8.38%   4.62%  4.37%   2.95%  2.84%   15.76%   N/A

TUE OPEN    8.98%  8.44%   4.73%  4.43%   3.02%  2.84%   15.63%   N/A

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

DEC19 10Y NOTE  131.00 C  155,679     -128   128.00 P  125,987     -704

JAN20 10Y NOTE  131.50 C   94,143   +5,017   127.00 P   60,165   -2,992

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

JAN20 5Y NOTE   120.50 C   66,061     -100   118.75 P   67,027     UNCH

DEC19 2Y NOTE   108.00 C   29,923      +72   107.00 P   29,375     UNCH

JAN20 2Y NOTE   107.88 C    6,308     UNCH   107.62 P    8,971     -105

DEC19 EURODLR    98.25 C  584,189   +3,477    97.25 P1,066,055     UNCH

JAN20 EURODLR    99.00 C  100,356     UNCH    98.12 P  161,144     +800

DEC20 1Y-MIDC    98.75 C  210,537   +2,102    98.12 P  201,993     UNCH

DEC21 2Y-MIDC    98.50 C   89,870     -501    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   27,579     +750   128.50 P   90,044     +659

DEC19 10Y NOTE  129.00 C   38,750      -11   129.00 P   76,300   +8,699

JAN20 10Y NOTE  128.50 C   17,481     UNCH   128.50 P   32,620     -482

JAN20 10Y NOTE  129.00 C   29,620     -372   129.00 P   35,952   +4,513

DEC19 5Y NOTE   118.25 C    3,435      -42   118.25 P   51,807     +714

DEC19 5Y NOTE   118.50 C   15,908   -1,476   118.50 P   23,924   -1,164

JAN20 5Y NOTE   118.50 C   31,566      +20   118.50 P   24,031   +7,695

JAN20 5Y NOTE   118.75 C   10,717     +199   118.75 P   67,027     UNCH

DEC19 2Y NOTE   107.50 C    1,912     UNCH   107.50 P   15,820     +158

DEC19 2Y NOTE   107.62 C    4,934     -397   107.62 P    2,824     -245

JAN20 2Y NOTE   107.75 C      274     UNCH   107.75 P    7,151     +919

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

DEC19 EURODLR    98.00 C  323,782   +1,774    98.00 P  314,656   +4,988

DEC19 EURODLR    98.12 C  514,950   +4,043    98.12 P  227,416     +550

JAN20 EURODLR    98.25 C   28,840   +2,729    98.25 P  143,143   +4,126

JAN20 EURODLR    98.37 C   49,889   +5,763    98.37 P   28,738   +1,493

DEC20 1Y-MIDC    98.50 C   88,605     +150    98.50 P  102,656     +514

DEC20 1Y-MIDC    98.62 C  142,167   -1,700    98.62 P   50,618   -1,500

DEC21 2Y-MIDC    98.50 C   89,870     -501    98.50 P   62,590     +750

DEC21 2Y-MIDC    98.62 C   58,562     +657    98.62 P   22,118     UNCH

DEC22 3Y-MIDC    98.50 C   35,967     +115    98.50 P   15,476     +250

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

PUT/CALL RATIO FOR VOLUME CLEARED:

DEC19 10Y NOTE PUT/CALL RATIO   -- 1.95 (174,116 PUTS VS. 89,623 CALLS)

JAN20 10Y NOTE PUT/CALL RATIO   -- 0.70 (61,900 PUTS VS. 87,890 CALLS)

DEC19 5Y NOTE PUT/CALL RATIO    -- 2.81 (31,923 PUTS VS. 11,942 CALLS)

JAN20 5Y NOTE PUT/CALL RATIO    -- 1.27 (28,927 PUTS VS. 22,009 CALLS)

DEC19 2Y NOTE PUT/CALL RATIO    -- 1.66 (3,514 PUTS VS. 2,099 CALLS)

JAN20 2Y NOTE PUT/CALL RATIO    -- 5.29 (1,757 PUTS VS. 332 CALLS)

DEC19 EURODLRS PUT/CALL RATIO   -- 0.27 (21,356 PUTS VS. 77,618 CALLS)

JAN20 EURODLRS PUT/CALL RATIO   -- 1.01 (37,650 PUTS VS. 36,932 CALLS)

DEC20 1Y-MIDCRVE PUT/CALL RATIO -- 0.53 (22,000 PUTS VS. 41,491 CALLS)

DEC21 2Y-MIDCRVE PUT/CALL RATIO -- 0.20 (3,751 PUTS VS. 18,502 CALLS)

DEC22 3Y-MIDCRVE PUT/CALL RATIO -- 0.05 (1,948 PUTS VS. 38,286 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

1345        58.91    67.89    64.84    65.34    65.08     64.77

1200        58.74    66.74    64.84    65.35    65.10     64.82

1015        58.64    66.61    64.84    65.33    65.07     64.78

Mon Open    58.64    66.83    64.94    65.56    65.36     65.03

Fri 1500    58.51    66.60    65.15    66.11    65.49     65.13

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

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

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