US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR NOV 26

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

             USF    USH     TYJ    TYH     FVF    FVH     EDZ     EDF

TUE 1500    7.47%  7.65%   4.05%  4.10%   2.55%  2.64%  14.15%  23.66%

1330        7.47%  7.60%   3.96%  4.11%   2.53%  2.64%  14.50%  23.25%

0945        7.42%  7.62%   3.98%  4.13%   2.56%  2.67%  14.95%  23.57%

TUE OPEN    7.41%  7.61%   4.00%  4.12%   2.57%  2.65%  14.98%  23.99%

MON OPEN    7.42%  7.61%   4.04%  4.14%   2.62%  2.66%  15.95%  24.55%

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

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

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

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

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

WED OPEN    7.44%   N/A    4.12%   N/A    2.69%   N/A   16.72%  25.95%

TUE 1500    7.51%   N/A    4.09%   N/A    2.64%   N/A   16.28%  25.05%

TUE OPEN    7.50%   N/A    4.03%   N/A    2.65%   N/A   15.45%  23.35%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

JAN20 10Y NOTE  131.50 C   97,122   -1,581   127.00 P   80,959     -909

MAR20 10Y NOTE  134.50 C   56,021     UNCH   117.50 P   62,946   +2,809

JAN20 5Y NOTE   120.50 C   71,632     -849   118.25 P   69,523   +1,000

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

JAN20 2Y NOTE   108.00 C    9,837       +1   107.62 P   10,721     UNCH

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

DEC19 EURODLR    98.25 C  627,441     -380    97.25 P1,066,055     UNCH

JAN20 EURODLR    99.00 C   97,724     UNCH    98.12 P  159,056     -225

DEC20 1Y-MIDC    98.75 C  199,094     +228    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     UNCH    97.37 P   63,651     UNCH

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

JAN20 10Y NOTE  129.50 C   50,982   +6,898   129.50 P   53,319   +2,925

JAN20 10Y NOTE  130.00 C   73,418   -1,591   130.00 P   26,676     -633

MAR20 10Y NOTE  129.50 C   11,482   +2,756   129.50 P    6,398     +509

MAR20 10Y NOTE  130.00 C    9,552     +305   130.00 P    4,469     UNCH

JAN20 5Y NOTE   119.00 C   16,985     -113   119.00 P   13,149   +2,398

JAN20 5Y NOTE   119.25 C   31,324       +6   119.25 P    5,825       +8

MAR20 5Y NOTE   119.00 C   15,330     +550   119.00 P    3,591     +568

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

JAN20 2Y NOTE   107.75 C      843      +20   107.75 P    7,456     +168

JAN20 2Y NOTE   107.88 C    5,882     -100   107.88 P    6,674   +2,351

MAR20 2Y NOTE   107.75 C      500     +325   107.75 P      373     UNCH

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

DEC19 EURODLR    98.00 C  326,383     +128    98.00 P  309,091       -2

DEC19 EURODLR    98.12 C  549,409   -1,519    98.12 P  225,081     +100

JAN20 EURODLR    98.25 C   31,140     +250    98.25 P  145,278   -1,000

JAN20 EURODLR    98.37 C   52,493     +120    98.37 P   28,959       -1

DEC20 1Y-MIDC    98.50 C   88,927     +914    98.50 P  108,662   +1,000

DEC20 1Y-MIDC    98.62 C  140,818   +9,421    98.62 P   49,071     UNCH

DEC21 2Y-MIDC    98.50 C   79,414     UNCH    98.50 P   55,420      +10

DEC21 2Y-MIDC    98.62 C   59,005     UNCH    98.62 P   21,755     UNCH

DEC22 3Y-MIDC    98.50 C   38,474     UNCH    98.50 P   20,053     -150

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   -- 1.19 (86,663 PUTS VS. 72,066 CALLS)

MAR20 10Y NOTE PUT/CALL RATIO   -- 0.50 (12,401 PUTS VS. 24,987 CALLS)

JAN20 5Y NOTE PUT/CALL RATIO    -- 2.81 (42,487 PUTS VS. 15,527 CALLS)

MAR20 5Y NOTE PUT/CALL RATIO    -- 2.62 (13,929 PUTS VS. 5,338 CALLS)

JAN20 2Y NOTE PUT/CALL RATIO    -- 0.80 (3,413 PUTS VS. 4,201 CALLS)

MAR20 2Y NOTE PUT/CALL RATIO    -- 0.69 (1,674 PUTS VS. 2,302 CALLS)

DEC19 EURODLRS PUT/CALL RATIO   -- 0.57 (1,504 PUTS VS. 26,700 CALLS)

JAN20 EURODLRS PUT/CALL RATIO   -- 0.32 (12,219 PUTS VS. 37,950 CALLS)

DEC20 1Y-MIDCRVE PUT/CALL RATIO -- 0.61 (7,775 PUTS VS. 12,625 CALLS)

DEC21 2Y-MIDCRVE PUT/CALL RATIO -- 1.00 (10 PUTS VS. 10 CALLS)

DEC22 3Y-MIDCRVE PUT/CALL RATIO -- 2.00 (200 PUTS VS. 100 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 1500    57.46    65.08    65.57    65.16    67.30     66.88

1330        57.43    65.36    65.77    65.37    67.26     66.84

0945        57.57    65.79    65.65    65.70    67.14     66.63

Tue Open    57.99    66.01    65.98    66.13    67.15     66.55

Mon Open    59.16    66.53    66.84    66.81    67.17     66.44

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

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

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