US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR NOV 19

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

            USZ     USH    TYZ    TYH    FVZ    FVH     EDZ      EDF

MON 3:00   7.28%   7.72%   N/A   4.81%  2.30%  2.75%   11.21%   13.13%

MON OPEN   6.67%   7.58%  3.34%  4.10%  2.46%  2.71%   10.94%   12.38%

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

FRI OPEN   6.00%   7.56%  3.23%  3.97%  2.07%  2.61%   10.54%    N/A

THU 3:00   6.09%   7.54%  3.26%  3.99%  2.16%  2.63%   10.78%    N/A

THU OPEN   6.52%   7.57%  3.58%  4.05%  2.54%  2.64%   10.32%    N/A

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%   10.56%    N/A

TUE 3:00   6.63%   7.49%  3.52%  3.98%  2.25%  2.54%    8.92%    N/A

TUE 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  230,287   -3,479   117.50 P  212,015  +7,336

MAR19 10Y NOTE  123.50 C   40,000     UNCH   118.00 P   25,493    +279

DEC18 5Y NOTE   113.00 C   58,905   -6,309   107.25 P  246,719    UNCH

MAR19 5Y NOTE   112.50 C    8,666     -433   112.25 P    5,705    +228

DEC18 2Y NOTE   105.50 C   23,904      +78   105.12 P   16,673    UNCH

MAR19 2Y NOTE   105.87 C    2,003     UNCH   105.12 P      312    +300

DEC18 EURODLR    97.62 C  483,548     -100    97.25 P  510,035  +2,825

JAN18 EURODLR    97.25 C  149,635   +5,628    97.25 P   94,347 -10,198

DEC19 1Y-MIDC    97.00 C  504,388  +22,050    96.75 P  491,724 -18,950

DEC20 2Y-MIDC    97.00 C  304,368   +1,959    96.62 P  382,872    +586

DEC21 3Y-MIDC    97.00 C   73,872   +1,300    96.50 P  155,804    +750

     NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

DEC18 10Y NOTE  120.00 C  230,287   -3,479   120.00 P   32,619     -15

DEC18 10Y NOTE  120.50 C  102,572     -904   120.50 P   19,798    UNCH

MAR19 10Y NOTE  120.00 C   14,597     +125   120.00 P       10      +2

MAR19 10Y NOTE  120.50 C   15,176     +312   120.50 P        6      +2

DEC18 5Y NOTE   113.50 C   48,144   +1,256   113.50 P    7,030    UNCH

DEC18 5Y NOTE   113.75 C   21,507     +115   113.75 P      396      -1

MAR19 5Y NOTE   113.50 C    2,180     +139   113.50 P        1    UNCH

MAR19 5Y NOTE   113.75 C    2,119     -126   113.75 P        4      +3

DEC18 2Y NOTE   105.62 C    7,203   -1,196   105.62 P      322    UNCH

DEC18 2Y NOTE   105.75 C   17,615     -689   105.75 P      247    UNCH

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

MAR19 2Y NOTE   105.75 C      361     +303   105.75 P       14    UNCH

DEC18 EURODLR    97.50 C  442,377     -621    97.50 P  325,946    UNCH

DEC18 EURODLR    97.62 C  483,548     -100    97.62 P  192,501    UNCH

JAN18 EURODLR    97.37 C  131,044   -1,902    97.12 P   86,585  -3,150

JAN18 EURODLR    97.50 C   39,586   -3,705    97.25 P   10,262    -500 

DEC19 1Y-MIDC    97.12 C  201,118  +29,082    97.12 P  111,235    UNCH

DEC19 1Y-MIDC    97.25 C  180,698  -11,721    97.25 P   84,588    -260

DEC20 2Y-MIDC    97.00 C  304,368   +1,959    97.00 P  252,429    -754

DEC20 2Y-MIDC    97.12 C  100,339     +484    97.12 P   42,287    UNCH  

DEC21 3Y-MIDC    96.87 C   61,735     -250    96.87 P   56,952    UNCH

DEC21 3Y-MIDC    97.00 C   73,872   +1,300    97.00 P  102,203    +500

     PUT/CALL RATIO FOR VOLUME CLEARED:

DEC18 10Y NOTE PUT/CALL RATIO  -- 0.85 (206,140 PUTS VS. 242,189 CALLS)

MAR19 10Y NOTE PUT/CALL RATIO  -- 1.49 (13,717 PUTS VS. 9,229 CALLS)

DEC18 5Y NOTE PUT/CALL RATIO   -- 2.01 (200,054 PUTS VS. 99,665 CALLS)

MAR19 5Y NOTE PUT/CALL RATIO   -- 0.51 (5,776 PUTS VS. 11,337 CALLS)

DEC18 2Y NOTE PUT/CALL RATIO   -- 0.09 (922 PUTS VS. 10,631 CALLS)

MAR19 2Y NOTE PUT/CALL RATIO   -- 1.03 (366 PUTS VS. 356 CALLS)

DEC18 EURODLRS PUT/CALL RATIO  -- 0.45 (63,576 PUTS VS. 141,284 CALLS)

JAN18 EURODLRS PUT/CALL RATIO  -- 1.16 (49,574 PUTS VS. 42,800 CALLS)

DEC19 1Y-MIDCRVE PUT/CALL RATIO-- 0.43 (91,950 PUTS VS. 214,058 CALLS)

DEC20 2Y-MIDCRVE PUT/CALL RATIO-- 1.53 (41,900 PUTS VS. 27,300 CALLS)

DEC21 3Y-MIDCRVE PUT/CALL RATIO-- 12.3 (12,250 PUTS VS. 1,000 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

MON 3:00    55.66   60.65    62.83   61.86    71.27     77.35

MON OPEN    53.88   60.28    62.03   61.35    71.06     77.33

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

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

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