US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR NOV 25

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

             USZ    USF     TYZ    TYF     FVZ    FVF     EDZ     EDF

FRI 1500     N/A   7.37%    N/A   4.06%    N/A   2.62%   16.00%  25.05%

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

JAN20 10Y NOTE  131.50 C   98,703   +2,571   127.00 P   81,468  +11,710

MAR20 10Y NOTE  134.50 C   56,021      +21   117.50 P   60,137  +11,803

JAN20 5Y NOTE   120.50 C   72,481   +1,004   118.75 P   68,861     UNCH

MAR20 5Y NOTE   120.50 C   19,951     UNCH   111.00 P  250,582  +12,505

JAN20 2Y NOTE   108.00 C    9,836     +100   107.62 P   10,721     UNCH

MAR20 2Y NOTE   110.37 C    7,692   +7,692   105.75 P   55,000     UNCH

DEC19 EURODLR    98.25 C  627,821   +2,871    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  196,866   -5,089    97.50 P  171,536     UNCH

DEC21 2Y-MIDC    98.00 C   84,249     UNCH    97.37 P  125,829     UNCH

DEC22 3Y-MIDC    98.75 C   55,008   +3,934    97.37 P   63,651     UNCH

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

JAN20 10Y NOTE  129.50 C   44,084   +6,047   129.50 P   50,394   +6,666

JAN20 10Y NOTE  130.00 C   75,009     +939   130.00 P   27,309     +490

MAR20 10Y NOTE  129.50 C    8,726     +520   129.50 P    5,889     +728

MAR20 10Y NOTE  130.00 C    9,247     +351   130.00 P    4,469     -140

JAN20 5Y NOTE   119.00 C   17,098     +867   119.00 P   10,751     +950

JAN20 5Y NOTE   119.25 C   33,318   +1,381   119.25 P    5,817      +31

MAR20 5Y NOTE   119.00 C   14,780     UNCH   119.00 P    3,023      +57

MAR20 5Y NOTE   119.25 C    4,310      -38   119.25 P    4,105     UNCH

JAN20 2Y NOTE   107.75 C      823      +75   107.75 P    7,288      +20

JAN20 2Y NOTE   107.88 C    5,982      +55   107.88 P    4,323     +155

MAR20 2Y NOTE   107.75 C      175     UNCH   107.75 P      373      +20

MAR20 2Y NOTE   107.88 C      300     UNCH   107.88 P      325      +20

DEC19 EURODLR    98.00 C  326,255   +2,034    98.00 P  309,093     UNCH

DEC19 EURODLR    98.12 C  550,928     +859    98.12 P  224,981     UNCH

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

JAN20 EURODLR    98.37 C   52,373     +239    98.37 P   28,960     +245

DEC20 1Y-MIDC    98.50 C   88,013     -942    98.50 P  107,662   +1,044

DEC20 1Y-MIDC    98.62 C  131,397   +3,669    98.62 P   49,071     UNCH

DEC21 2Y-MIDC    98.50 C   79,414     UNCH    98.50 P   55,410   +4,528

DEC21 2Y-MIDC    98.62 C   59,005   +8,711    98.62 P   21,755     -125

DEC22 3Y-MIDC    98.50 C   38,474      -75    98.50 P   20,203     +157

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

PUT/CALL RATIO FOR VOLUME CLEARED:

JAN20 10Y NOTE PUT/CALL RATIO   -- 1.68 (130,561 PUTS VS. 76,900 CALLS)

MAR20 10Y NOTE PUT/CALL RATIO   -- 1.26 (48,012 PUTS VS. 38,090 CALLS)

JAN20 5Y NOTE PUT/CALL RATIO    -- 0.66 (12,575 PUTS VS. 18,850 CALLS)

MAR20 5Y NOTE PUT/CALL RATIO    -- 1.01 (21,791 PUTS VS. 20,419 CALLS)

JAN20 2Y NOTE PUT/CALL RATIO    -- 0.17 (234 PUTS VS. 1,352 CALLS)

MAR20 2Y NOTE PUT/CALL RATIO    -- 7.68 (1,024 PUTS VS. 7,692 CALLS)

DEC19 EURODLRS PUT/CALL RATIO   -- 0.23 (16,823 PUTS VS. 67,028 CALLS)

JAN20 EURODLRS PUT/CALL RATIO   -- 2.71 (19,738 PUTS VS. 7,650 CALLS)

DEC20 1Y-MIDCRVE PUT/CALL RATIO -- 0.44 (9,875 PUTS VS. 21,932 CALLS)

DEC21 2Y-MIDCRVE PUT/CALL RATIO -- 1.10 (15,971 PUTS VS. 14,471 CALLS)

DEC22 3Y-MIDCRVE PUT/CALL RATIO -- 0.48 (6,725 PUTS VS. 13,885 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 1500    58.95    66.30    66.15    66.43    66.54     65.98

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

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

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