US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR NOV 2

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

            USZ     USH    TYZ    TYH    FVZ    FVH     EDX     EDZ

FRI 3:00   8.05%   7.68%  4.20%  4.06%  2.44%  2.54%   11.87%  11.70%

FRI OPEN   7.85%   7.79%  4.09%  3.99%  2.40%  2.59%   12.70%  12.11%

THU 3:00   7.84%   7.48%  4.11%  4.06%  2.46%  2.58%   12.23%  11.57%

THU OPEN   7.72%   7.67%  4.02%  4.07%  2.46%  2.62%   13.35%  13.94%

WED 3:00   7.88%   7.65%  4.15%  4.04%  2.58%  2.56%   13.09%  14.12%

WED OPEN   8.07%   7.52%  4.20%  3.98%  2.68%  2.58%   12.96%  13.03%

TUE 3:00   8.26%   7.63%  4.37%  4.07%  2.79%  2.64%   14.10%  12.57%

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  243,892   +4,096   117.50 P  282,406 +21,556

MAR19 10Y NOTE  118.00 C   18,157  +11,592   118.00 P   21,625 +11,348

DEC18 5Y NOTE   112.75 C   72,150   -1,376   107.25 P  246,719    UNCH

MAR19 5Y NOTE   112.50 C    2,429     UNCH   112.50 P    2,570    +141

DEC18 2Y NOTE   105.50 C   26,216     -239   105.12 P   18,095  +3,404

MAR19 2Y NOTE   105.87 C    2,000     UNCH   105.00 P       15     +12

NOV18 EURODLR    97.37 C  145,179   +4,217    97.25 P  140,030  -2,550

DEC18 EURODLR    97.62 C  480,450     UNCH    97.25 P  576,652  -4,678

DEC19 1Y-MIDC    97.00 C  432,786   +2,002    96.75 P  619,777  +1,000

DEC20 2Y-MIDC    97.00 C  163,487     -596    96.87 P  300,167    UNCH

DEC21 3Y-MIDC    97.50 C   67,098     UNCH    96.50 P  146,354  +9,000

     NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

DEC18 10Y NOTE  120.00 C  243,892   +4,096   120.00 P   33,785    +366

DEC18 10Y NOTE  120.50 C   93,142     -235   120.50 P   19,867    UNCH

MAR19 10Y NOTE  120.00 C    6,790      +49   120.00 P        8      +2

MAR19 10Y NOTE  120.50 C    7,152   +1,293   120.50 P        5    UNCH

DEC18 5Y NOTE   113.50 C   44,389     -108   113.50 P    6,819    UNCH

DEC18 5Y NOTE   113.75 C   21,788     +964   113.75 P      395    UNCH

MAR19 5Y NOTE   113.50 C    1,164     +303   113.50 P        0    UNCH

MAR19 5Y NOTE   113.75 C      860     UNCH   113.75 P        0    UNCH

DEC18 2Y NOTE   105.62 C   10,661     UNCH   105.62 P      322    UNCH

DEC18 2Y NOTE   105.75 C   19,330       -1   105.75 P      247    UNCH

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

MAR19 2Y NOTE   105.75 C       51       +3   105.75 P       14    UNCH

NOV18 EURODLR    97.37 C  145,179   +4,217    97.37 P   84,672    UNCH

NOV18 EURODLR    97.50 C   89,169     UNCH    97.50 P    3,625    UNCH 

DEC18 EURODLR    97.50 C  465,079     +664    97.50 P  336,981      +4

DEC18 EURODLR    97.62 C  480,450     UNCH    97.62 P  193,015    UNCH

DEC19 1Y-MIDC    97.12 C  174,772   -2,670    97.12 P  111,527    UNCH

DEC19 1Y-MIDC    97.25 C  193,857   +2,314    97.25 P   84,473    UNCH

DEC20 2Y-MIDC    97.00 C  163,487     -596    97.00 P  253,833    UNCH

DEC20 2Y-MIDC    97.12 C  107,965   +2,189    97.12 P   42,633    UNCH  

DEC21 3Y-MIDC    96.87 C   56,759   +5,976    96.87 P   52,629  +3,750

DEC21 3Y-MIDC    97.00 C   55,542   +1,350    97.00 P  100,303    -360

     PUT/CALL RATIO FOR VOLUME CLEARED:

DEC18 10Y NOTE PUT/CALL RATIO  -- 1.59 (240,140 PUTS VS. 150,599 CALLS)

MAR19 10Y NOTE PUT/CALL RATIO  -- 0.89 (16,812 PUTS VS. 18,906 CALLS)

DEC18 5Y NOTE PUT/CALL RATIO   -- 1.43 (71,783 PUTS VS. 50,067 CALLS)

MAR19 5Y NOTE PUT/CALL RATIO   -- 0.70 (2,154 PUTS VS. 3,088 CALLS)

DEC18 2Y NOTE PUT/CALL RATIO   -- 25.8 (12,907 PUTS VS. 501 CALLS)

MAR19 2Y NOTE PUT/CALL RATIO   -- 12.0 (36 PUTS VS. 3 CALLS)

NOV18 EURODLRS PUT/CALL RATIO  -- 1.26 (11,601 PUTS VS. 9,203 CALLS)

DEC18 EURODLRS PUT/CALL RATIO  -- 0.97 (43,628 PUTS VS. 45,063 CALLS)

DEC19 1Y-MIDCRVE PUT/CALL RATIO-- 3.83 (44,000 PUTS VS. 11,500 CALLS)

DEC20 2Y-MIDCRVE PUT/CALL RATIO-- 2.06 (16,000 PUTS VS. 7,750 CALLS)

DEC21 3Y-MIDCRVE PUT/CALL RATIO-- 1.00 (6,600 PUTS VS. 6,600 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    48.74   61.88    61.23   61.78    72.46     77.27

FRI OPEN    48.79   60.77    61.54   61.44    72.20     77.00

THU 3:00    49.43   61.25    62.21   62.29    72.23     77.09

THU OPEN    49.79   63.08    62.72   62.55    72.41     77.05

WED 3:00    50.13   64.19    62.85   62.58    72.38     76.99

WED OPEN    52.22   65.44    63.98   63.80    72.49     77.01

TUE 3:00    51.80   64.92    63.82   63.81    72.32     76.79

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$]