US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR NOV 20

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

            USZ     USH    TYZ    TYH    FVZ    FVH     EDZ      EDF

TUE 3:00   6.82%   7.69%  3.03%  4.19%   N/A    N/A    10.77%   12.78%

TUE OPEN   6.76%   7.63%  3.07%  4.20%  2.57%  2.78%   11.50%   12.42%

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

     LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

DEC18 10Y NOTE  120.00 C  225,291   -4,887   117.50 P  211,490    -525

MAR19 10Y NOTE  123.50 C   40,000     UNCH   118.00 P   24,656    -837

DEC18 5Y NOTE   113.00 C   59,719     +814   107.25 P  246,719    UNCH

MAR19 5Y NOTE   112.50 C    8,516     -150   112.25 P   13,611  +7,906

DEC18 2Y NOTE   105.50 C   22,353   -1,551   105.12 P   16,673    UNCH

MAR19 2Y NOTE   105.87 C    2,003     UNCH   105.12 P      412    +100

DEC18 EURODLR    97.62 C  488,048   +4,500    97.25 P  521,081 +11,046

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

DEC19 1Y-MIDC    97.00 C  505,087     +699    96.75 P  498,907  +7,183

DEC20 2Y-MIDC    97.00 C  306,619   +2,251    96.62 P  379,509  -3,363

DEC21 3Y-MIDC    97.00 C   71,819   -2,053    96.50 P  155,804    UNCH

     NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

DEC18 10Y NOTE  120.00 C  225,291   -4,887   120.00 P   33,121    +502

DEC18 10Y NOTE  120.50 C  102,160     -412   120.50 P   19,799      +1

MAR19 10Y NOTE  120.00 C   15,591     +994   120.00 P      107     +97

MAR19 10Y NOTE  120.50 C   15,541     +365   120.50 P       58     +52

DEC18 5Y NOTE   113.50 C   49,922   +1,778   113.50 P    7,039      +9

DEC18 5Y NOTE   113.75 C   21,506       -1   113.75 P      391      -5

MAR19 5Y NOTE   113.50 C    2,823     +643   113.50 P        5      +4

MAR19 5Y NOTE   113.75 C    2,261     +142   113.75 P        4    UNCH

DEC18 2Y NOTE   105.62 C    7,297      +94   105.62 P      322    UNCH

DEC18 2Y NOTE   105.75 C   17,661      +46   105.75 P      247    UNCH

MAR19 2Y NOTE   105.62 C        9       +5   105.62 P        0    UNCH

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

DEC18 EURODLR    97.50 C  448,103   +1,726    97.50 P  325,946    UNCH

DEC18 EURODLR    97.62 C  488,048   +4,500    97.62 P  192,501    UNCH

JAN18 EURODLR    97.37 C  131,187     +143    97.12 P   87,309    +724

JAN18 EURODLR    97.50 C   39,586     UNCH    97.25 P   10,360     +98 

DEC19 1Y-MIDC    97.12 C  218,710  +16,592    97.12 P  111,235    UNCH

DEC19 1Y-MIDC    97.25 C  211,520  +30,822    97.25 P   84,588    UNCH

DEC20 2Y-MIDC    97.00 C  306,619   +2,251    97.00 P  252,107    -322

DEC20 2Y-MIDC    97.12 C  104,749   +4,410    97.12 P   42,287    UNCH  

DEC21 3Y-MIDC    96.87 C   61,735     -250    96.87 P   57,068    +116

DEC21 3Y-MIDC    97.00 C   73,872   +1,300    97.00 P  104,206  +2,003

     PUT/CALL RATIO FOR VOLUME CLEARED:

DEC18 10Y NOTE PUT/CALL RATIO  -- 0.65 (115,359 PUTS VS. 176,185 CALLS)

MAR19 10Y NOTE PUT/CALL RATIO  -- 0.86 (20,229 PUTS VS. 23,565 CALLS)

DEC18 5Y NOTE PUT/CALL RATIO   -- 0.31 (17,741 PUTS VS. 56,733 CALLS)

MAR19 5Y NOTE PUT/CALL RATIO   -- 0.83 (17,386 PUTS VS. 21,025 CALLS)

DEC18 2Y NOTE PUT/CALL RATIO   -- 0.02 (145 PUTS VS. 8,588 CALLS)

MAR19 2Y NOTE PUT/CALL RATIO   -- 4.73 (1,101 PUTS VS. 233 CALLS)

DEC18 EURODLRS PUT/CALL RATIO  -- 0.57 (96,785 PUTS VS. 169,848 CALLS)

JAN18 EURODLRS PUT/CALL RATIO  -- 0.18 (3,474 PUTS VS. 19,724 CALLS)

DEC19 1Y-MIDCRVE PUT/CALL RATIO-- 0.16 (33,700 PUTS VS. 206,560 CALLS)

DEC20 2Y-MIDCRVE PUT/CALL RATIO-- 3.81 (46,300 PUTS VS. 12,151 CALLS)

DEC21 3Y-MIDCRVE PUT/CALL RATIO-- 1.00 (1,500 PUTS VS. 1,500 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

TUE 3:00    57.73   61.47    64.65   62.46    71.70     77.93

TUE OPEN    57.09   61.46    64.29   62.34    71.58     77.58

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

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

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