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

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

             USZ    USF     TYZ    TYF     FVZ    FVF     EDZ     EDF

MON 1500    7.67%  7.65%   4.13%  4.12%   2.59%  2.69%   16.08%  17.35%

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  154,096   -1,583   128.00 P  121,695   -3,588

JAN20 10Y NOTE  131.50 C   94,680     +537   127.00 P   63,856   +3,711

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

JAN20 5Y NOTE   120.50 C   66,061     UNCH   118.75 P   66,652     -375

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

JAN20 2Y NOTE   108.00 C    9,736   +5,263   107.62 P   10,971   +2,000

DEC19 EURODLR    98.25 C  583,138   -1,051    97.25 P1,066,055     UNCH

JAN20 EURODLR    99.00 C  100,158     UNCH    98.12 P  160,144   -1,000

DEC20 1Y-MIDC    98.75 C  205,718   +4,819    98.12 P  199,993   -2,000

DEC21 2Y-MIDC    98.50 C   90,131     +341    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   27,901     +322   128.50 P   90,461     +417

DEC19 10Y NOTE  129.00 C   37,794     -931   129.00 P   72,293   -4,007

JAN20 10Y NOTE  128.50 C   17,496      +15   128.50 P   37,438   +4,818

JAN20 10Y NOTE  129.00 C   30,588     +968   129.00 P   38,868   +2,916

DEC19 5Y NOTE   118.25 C    3,432       -3   118.25 P   54,451   +2,644

DEC19 5Y NOTE   118.50 C   16,414     +506   118.50 P   21,311   -2,613

JAN20 5Y NOTE   118.50 C   31,566     UNCH   118.50 P   24,010      -21

JAN20 5Y NOTE   118.75 C   10,717     UNCH   118.75 P   66,652     -375

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

DEC19 2Y NOTE   107.62 C    4,984      +50   107.62 P    2,824     UNCH

JAN20 2Y NOTE   107.75 C      410     +136   107.75 P    7,351     +200

JAN20 2Y NOTE   107.88 C    6,018     -290   107.88 P    4,168     UNCH

DEC19 EURODLR    98.00 C  322,093   -1,689    98.00 P  301,860  -12,796

DEC19 EURODLR    98.12 C  519,050   +4,100    98.12 P  220,834   -6,582

JAN20 EURODLR    98.25 C   31,040   +2,200    98.25 P  145,593   +2,450

JAN20 EURODLR    98.37 C   51,008   +1,119    98.37 P   28,738   +1,493

DEC20 1Y-MIDC    98.50 C   89,081     +476    98.50 P  101,999     -657

DEC20 1Y-MIDC    98.62 C  141,369     -798    98.62 P   49,071   -1,547

DEC21 2Y-MIDC    98.50 C   90,131     +341    98.50 P   61,862     -728

DEC21 2Y-MIDC    98.62 C   58,567       +5    98.62 P   22,118     UNCH

DEC22 3Y-MIDC    98.50 C   35,880      -87    98.50 P   15,476     +250

DEC22 3Y-MIDC    98.62 C   41,101     +800    98.62 P   18,440     UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

DEC19 10Y NOTE PUT/CALL RATIO   -- 1.01 (123,687 PUTS VS. 122,087 CALLS)

JAN20 10Y NOTE PUT/CALL RATIO   -- 2.63 (100,569 PUTS VS. 38,816 CALLS)

DEC19 5Y NOTE PUT/CALL RATIO    -- 0.54 (30,526 PUTS VS. 55,836 CALLS)

JAN20 5Y NOTE PUT/CALL RATIO    -- 7.04 (28,927 PUTS VS. 4,176 CALLS)

DEC19 2Y NOTE PUT/CALL RATIO    -- 2.12 (3,454 PUTS VS. 1,672 CALLS)

JAN20 2Y NOTE PUT/CALL RATIO    -- 0.29 (2,832 PUTS VS. 9,444 CALLS)

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

JAN20 EURODLRS PUT/CALL RATIO   -- 0.25 (8,706 PUTS VS. 33,496 CALLS)

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

DEC21 2Y-MIDCRVE PUT/CALL RATIO -- 0.48 (14,391 PUTS VS. 29,613 CALLS)

DEC22 3Y-MIDCRVE PUT/CALL RATIO -- 1.85 (6,556 PUTS VS. 3,556 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 1500    58.86    67.73    64.56    64.98    65.18     64.85

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$]