US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR NOV 21

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

             USZ    USF     TYZ    TYF     FVZ    FVF     EDZ     EDF

THU 1500     N/A   7.51%    N/A   4.15%    N/A   2.65%   15.95%  24.95%

1330         N/A   7.52%    N/A   4.10%    N/A   2.65%   15.75%  24.37%

1145         N/A   7.46%    N/A   4.10%    N/A   2.66%   16.12%  25.69%

0915         N/A   7.46%    N/A   4.14%    N/A   2.69%   16.93%  25.21%

THU OPEN     N/A   7.51%    N/A   4.20%    N/A   2.70%   16.33%  26.91%

WED 1500     N/A   7.60%    N/A   4.29%    N/A   2.71%   16.20%  27.38%

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

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

DEC19 10Y NOTE  131.00 C  149,002   -5,162   128.00 P  120,702      +25

JAN20 10Y NOTE  131.50 C   90,935     +193   127.00 P   69,099   -5,619

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

JAN20 5Y NOTE   120.50 C   71,467   +6,203   118.25 P   69,259   +3,254

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

JAN20 2Y NOTE   108.00 C    9,736     UNCH   107.62 P   10,721     -249

DEC19 EURODLR    98.25 C  586,516   +1,922    97.25 P1,066,055     UNCH

JAN20 EURODLR    99.00 C  100,158     UNCH    98.12 P  159,281     -600

DEC20 1Y-MIDC    98.75 C  202,862     -196    98.12 P  167,993  -12,000

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   62,088   -5,381   129.50 P   46,659   +5,621

DEC19 10Y NOTE  130.00 C   95,770     +388   130.00 P   51,980   -2,857

JAN20 10Y NOTE  129.50 C   35,868     -522   129.50 P   27,297   +1,146

JAN20 10Y NOTE  130.00 C   66,540   +1,563   130.00 P   26,402   +2,831

DEC19 5Y NOTE   118.75 C   19,179     +605   118.75 P   34,714   -4,537

DEC19 5Y NOTE   119.00 C   43,199  -13,575   119.00 P   29,919     -592

JAN20 5Y NOTE   119.00 C   15,533     +220   119.00 P    8,579     +875

JAN20 5Y NOTE   119.25 C   29,327   +5,859   119.25 P    5,667     +283

DEC19 2Y NOTE   107.50 C    1,911       -1   107.50 P   15,846     UNCH

DEC19 2Y NOTE   107.62 C    4,759     -225   107.62 P    2,562     -212

JAN20 2Y NOTE   107.75 C      411       +1   107.75 P    6,993     -358

JAN20 2Y NOTE   107.88 C    5,843     -175   107.88 P    4,168     UNCH

DEC19 EURODLR    98.00 C  322,980     +897    98.00 P  306,900   +4,950

DEC19 EURODLR    98.12 C  542,050  +15,500    98.12 P  223,854   +1,500

JAN20 EURODLR    98.25 C   30,940     -100    98.25 P  146,278     +685

JAN20 EURODLR    98.37 C   53,093   +1,735    98.37 P   28,739       +1

DEC20 1Y-MIDC    98.50 C   88,360   -1,176    98.50 P  105,518   +2,867

DEC20 1Y-MIDC    98.62 C  127,217  -12,992    98.62 P   49,071     UNCH

DEC21 2Y-MIDC    98.50 C   83,902     -329    98.50 P   51,919   -4,650

DEC21 2Y-MIDC    98.62 C   53,017   -1,455    98.62 P   21,880     -238

DEC22 3Y-MIDC    98.50 C   36,224     +644    98.50 P   17,621   +2,145

DEC22 3Y-MIDC    98.62 C   44,921     +750    98.62 P   18,440     UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

DEC19 10Y NOTE PUT/CALL RATIO   -- 0.70 (101,758 PUTS VS. 144,701 CALLS)

JAN20 10Y NOTE PUT/CALL RATIO   -- 1.23 (130,203 PUTS VS. 105,457 CALLS)

DEC19 5Y NOTE PUT/CALL RATIO    -- 0.41 (33,165 PUTS VS. 79,351 CALLS)

JAN20 5Y NOTE PUT/CALL RATIO    -- 0.66 (34,242 PUTS VS. 51,637 CALLS)

DEC19 2Y NOTE PUT/CALL RATIO    -- 6.81 (10,960 PUTS VS. 1,604 CALLS)

JAN20 2Y NOTE PUT/CALL RATIO    -- 0.44 (1,252 PUTS VS. 2,756 CALLS)

DEC19 EURODLRS PUT/CALL RATIO   -- 12.4 (10,050 PUTS VS. 124,622 CALLS)

JAN20 EURODLRS PUT/CALL RATIO   -- 0.24 (12,399 PUTS VS. 50,424 CALLS)

DEC20 1Y-MIDCRVE PUT/CALL RATIO -- 0.76 (48,742 PUTS VS. 64,750 CALLS)

DEC21 2Y-MIDCRVE PUT/CALL RATIO -- 1.88 (34,772 PUTS VS. 18,975 CALLS)

DEC22 3Y-MIDCRVE PUT/CALL RATIO -- 0.90 (48,103 PUTS VS. 53,604 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

Thu 1500    60.05    66.03    66.85    66.83    66.39     65.66

1330        60.07    66.08    66.68    66.71    66.47     65.60

1145        60.33    66.51    66.99    66.97    65.99     65.70

0915        60.50    67.16    67.23    67.33    65.59     65.81

Thu Open    60.48    68.47    66.77    66.81    65.75     65.66

Wed 1500    60.42    69.35    66.28    66.48    65.99     65.27

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

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

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