US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR NOV 22

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

             USZ    USF     TYZ    TYF     FVZ    FVF     EDZ     EDF

1130         N/A   7.35%    N/A   4.00%    N/A   2.61%   15.05%  25.32%

0900         N/A   7.38%    N/A   4.06%    N/A   2.62%   16.19%  25.37%

FRI OPEN     N/A   7.41%    N/A   4.07%    N/A   2.63%   15.95%  24.95%

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

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

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

DEC19 10Y NOTE  131.00 C  148,334     -668   128.00 P  120,715       +7

JAN20 10Y NOTE  131.50 C   96,132   +5,197   127.00 P   70,079     +980

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

JAN20 5Y NOTE   120.50 C   71,477      +10   118.75 P   68,861      +50

DEC19 2Y NOTE   108.00 C   29,931       +8   107.00 P   29,374     UNCH

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

DEC19 EURODLR    98.25 C  624,950  +38,434    97.25 P1,066,055     UNCH

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

DEC20 1Y-MIDC    98.75 C  201,955     -907    97.50 P  171,536     UNCH

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   53,740   -8,618   129.50 P   39,289   -7,507

DEC19 10Y NOTE  130.00 C   88,596   -7,174   130.00 P   50,816   -1,164

JAN20 10Y NOTE  129.50 C   38,037   +2,169   129.50 P   43,728  +16,431

JAN20 10Y NOTE  130.00 C   74,070   +7,530   130.00 P   26,819     +417

DEC19 5Y NOTE   118.75 C   19,581     +402   118.75 P   29,633   -5,081

DEC19 5Y NOTE   119.00 C   42,460     -739   119.00 P   28,591     -328

JAN20 5Y NOTE   119.00 C   16,231     +698   119.00 P    9,801   +1,222

JAN20 5Y NOTE   119.25 C   29,937     +610   119.25 P    5,786     +119

DEC19 2Y NOTE   107.50 C    1,911     UNCH   107.50 P   15,938      +92

DEC19 2Y NOTE   107.62 C    4,652     -107   107.62 P    2,033     -529

JAN20 2Y NOTE   107.75 C      748     +337   107.75 P    7,268     +275

JAN20 2Y NOTE   107.88 C    5,927      +84   107.88 P    4,168     UNCH

DEC19 EURODLR    98.00 C  324,221   +1,241    98.00 P  309,093   +2,193

DEC19 EURODLR    98.12 C  550,069   +8,019    98.12 P  224,981   +1,127

JAN20 EURODLR    98.25 C   30,890      -50    98.25 P  146,278     UNCH

JAN20 EURODLR    98.37 C   52,134     -959    98.37 P   28,715      -24

DEC20 1Y-MIDC    98.50 C   88,955     +595    98.50 P  106,618   +1,100

DEC20 1Y-MIDC    98.62 C  127,728     +511    98.62 P   49,071     UNCH

DEC21 2Y-MIDC    98.50 C   79,414   -4,488    98.50 P   50,882   -1,037

DEC21 2Y-MIDC    98.62 C   50,294   -2,723    98.62 P   21,755     -125

DEC22 3Y-MIDC    98.50 C   38,549   +2,325    98.50 P   20,046   +2,425

DEC22 3Y-MIDC    98.62 C   44,796     -125    98.62 P   18,440     UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

DEC19 10Y NOTE PUT/CALL RATIO   -- 0.92 (140,200 PUTS VS. 151,962 CALLS)

JAN20 10Y NOTE PUT/CALL RATIO   -- 0.85 (154,762 PUTS VS. 181,764 CALLS)

DEC19 5Y NOTE PUT/CALL RATIO    -- 0.78 (40,656 PUTS VS. 51,092 CALLS)

JAN20 5Y NOTE PUT/CALL RATIO    -- 0.81 (12,575 PUTS VS. 15,994 CALLS)

DEC19 2Y NOTE PUT/CALL RATIO    -- 10.7 (7,277 PUTS VS. 675 CALLS)

JAN20 2Y NOTE PUT/CALL RATIO    -- 0.50 (2,307 PUTS VS. 5,628 CALLS)

DEC19 EURODLRS PUT/CALL RATIO   -- 0.05 (19,676 PUTS VS. 341,342 CALLS)

JAN20 EURODLRS PUT/CALL RATIO   -- 0.24 (4,750 PUTS VS. 19,538 CALLS)

DEC20 1Y-MIDCRVE PUT/CALL RATIO -- 0.60 (17,707 PUTS VS. 28,871 CALLS)

DEC21 2Y-MIDCRVE PUT/CALL RATIO -- 0.15 (2,157 PUTS VS. 13,533 CALLS)

DEC22 3Y-MIDCRVE PUT/CALL RATIO -- 2.87 (9,225 PUTS VS. 3,225 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

1130        58.57    65.78    65.77    66.03    66.24     65.72

0900        59.24    65.99    66.02    66.18    66.23     65.68

Fri Open    59.57    66.00    66.27    66.37    66.28     65.66

Thu 1500    60.05    66.03    66.85    66.83    66.39     65.66

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

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

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