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

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

             USZ    USF     TYZ    TYF     FVZ    FVF     EDZ     EDF

1330         N/A   7.65%    N/A   4.31%    N/A   2.77%   16.70%  26.20%

1145         N/A   7.51%    N/A   4.19%    N/A   2.71%   16.56%  26.11%

0915        8.97%  7.44%   4.75%  4.12%   2.89%  2.69%   16.45%  26.08%

WED OPEN    8.97%  7.44%   4.75%  4.12%   2.89%  2.69%   16.72%  25.95%

TUE 1500    7.80%  7.51%   3.97%  4.09%   2.40%  2.64%   16.28%  25.05%

TUE OPEN    8.13%  7.50%   4.19%  4.03%   2.75%  2.65%   15.45%  23.35%

MON 1500    7.67%  7.65%   4.13%  4.12%   2.59%  2.69%   16.08%  23.35%

MON OPEN    8.16%  7.80%   4.35%  4.17%   2.78%  2.72%   16.30%  23.85%

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

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

DEC19 10Y NOTE  131.00 C  154,164      +68   128.00 P  120,677   -1,025

JAN20 10Y NOTE  131.50 C   90,742   -3,938   127.00 P   74,718  +10,862

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

JAN20 5Y NOTE   120.50 C   65,264     -797   118.75 P   66,652     UNCH

DEC19 2Y NOTE   108.00 C   29,923     UNCH   107.00 P   29,374       -1

JAN20 2Y NOTE   108.00 C    9,736     UNCH   107.62 P   10,970       -1

DEC19 EURODLR    98.25 C  584,594   +1,456    97.25 P1,066,055     UNCH

JAN20 EURODLR    99.00 C  100,158     UNCH    98.12 P  159,881     -263

DEC20 1Y-MIDC    98.75 C  203,058   -2,660    98.12 P  179,993  -20,000

DEC21 2Y-MIDC    98.00 C   84,249     UNCH    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  129.50 C   67,469   -1,163   129.50 P   41,038   -8,061

DEC19 10Y NOTE  130.00 C   95,382   +2,542   130.00 P   54,837   -1,754

JAN20 10Y NOTE  129.50 C   30,002     -568   129.50 P   26,151   +4,926

JAN20 10Y NOTE  130.00 C   36,390   +4,583   130.00 P   23,571       +6

DEC19 5Y NOTE   118.75 C   18,574   -2,452   118.75 P   39,251   -1,135

DEC19 5Y NOTE   119.00 C   56,774   -1,222   119.00 P   29,511      -13

JAN20 5Y NOTE   119.00 C   15,313   -1,048   119.00 P    7,704     +102

JAN20 5Y NOTE   119.25 C   23,468     +911   119.25 P    5,384       +2

DEC19 2Y NOTE   107.50 C    1,912     UNCH   107.50 P   15,846      +26

DEC19 2Y NOTE   107.62 C    4,984     UNCH   107.62 P    2,774      -50

JAN20 2Y NOTE   107.75 C      410     UNCH   107.75 P    7,351     UNCH

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

DEC19 EURODLR    98.00 C  322,083      -10    98.00 P  301,950      +90

DEC19 EURODLR    98.12 C  526,550   +7,500    98.12 P  222,354   +1,520

JAN20 EURODLR    98.25 C   31,040     UNCH    98.25 P  145,593     UNCH

JAN20 EURODLR    98.37 C   51,358     +350    98.37 P   28,738     UNCH

DEC20 1Y-MIDC    98.50 C   89,536     +455    98.50 P  102,651     +652

DEC20 1Y-MIDC    98.62 C  140,209   -1,160    98.62 P   49,071     UNCH

DEC21 2Y-MIDC    98.50 C   84,231   -5,900    98.50 P   56,569   -5,293

DEC21 2Y-MIDC    98.62 C   54,472   -4,095    98.62 P   22,118     UNCH

DEC22 3Y-MIDC    98.50 C   35,580     -300    98.50 P   15,476     UNCH

DEC22 3Y-MIDC    98.62 C   44,171   +3,070    98.62 P   18,440     UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

DEC19 10Y NOTE PUT/CALL RATIO   -- 0.74 (92,078 PUTS VS. 124,702 CALLS)

JAN20 10Y NOTE PUT/CALL RATIO   -- 1.16 (87,094 PUTS VS. 75,526 CALLS)

DEC19 5Y NOTE PUT/CALL RATIO    -- 3.08 (37,984 PUTS VS. 12,394 CALLS)

JAN20 5Y NOTE PUT/CALL RATIO    -- 0.87 (21,145 PUTS VS. 24,737 CALLS)

DEC19 2Y NOTE PUT/CALL RATIO    -- 0.21 (217 PUTS VS. 977 CALLS)

JAN20 2Y NOTE PUT/CALL RATIO    -- 0.00 (2,451 PUTS VS. 0 CALLS)

DEC19 EURODLRS PUT/CALL RATIO   -- 0.06 (3,170 PUTS VS. 50,676 CALLS)

JAN20 EURODLRS PUT/CALL RATIO   -- 0.02 (883 PUTS VS. 40,274 CALLS)

DEC20 1Y-MIDCRVE PUT/CALL RATIO -- 1.16 (43,339 PUTS VS. 37,778 CALLS)

DEC21 2Y-MIDCRVE PUT/CALL RATIO -- 0.63 (14,035 PUTS VS. 22,680 CALLS)

DEC22 3Y-MIDCRVE PUT/CALL RATIO -- 1.11 (20,664 PUTS VS. 18,164 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

1330        59.22    69.01    65.60    65.88    65.70     64.87

1145        59.01    68.33    65.44    65.71    65.55     64.90

0915        58.98    67.75    65.26    65.49    65.49     64.94

Wed Open    58.84    66.78    64.78    65.03    65.51     64.99

Tue 1500    58.84    66.37    64.68    64.64    65.28     64.85

Tue Open    58.70    66.56    64.76    64.87    65.42     64.96

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

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

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