US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR NOV 4

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

             USZ    USF     TYZ    TYF     FVZ    FVF     EDX     EDZ

FRI 1500    7.67%  7.55%   3.90%  4.06%   2.54%  2.60%   15.15%  20.10%

FRI OPEN    7.94%  7.74%   4.19%  4.20%   2.76%  2.75%   19.25%  22.50%

THU 1500    7.85%  7.69%   4.21%  4.25%   2.85%  2.65%   18.20%  19.95%

THU OPEN    7.77%  7.67%   4.15%  4.27%   2.72%  2.75%   17.25%  22.20%

WED 1500    8.12%  7.93%   4.44%  4.34%   2.95%  2.83%   20.95%  23.35%

WED OPEN    8.05%  7.98%   4.40%  4.30%   2.90%  2.81%   20.40%  23.35%

TUE 1500    8.11%  8.04%   4.50%  4.46%   2.93%  2.90%   22.50%  23.90%

TUE OPEN    8.30%  8.05%   4.63%  4.48%   3.00%  2.90%   20.45%  25.43%

MON 1500    8.33%  8.10%   4.55%  4.53%   2.97%  2.91%   20.50%  24.70%

MON OPEN    8.05%  7.88%   4.47%  4.41%   2.95%  2.98%   22.00%  24.15%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

DEC19 10Y NOTE  132.00 C  143,003     -424   128.00 P  125,741   -2,266

JAN20 10Y NOTE  131.50 C   69,430   +3,541   128.50 P   33,779  +19,038

DEC19 5Y NOTE   119.50 C   92,203  +13,662   116.00 P  114,246     UNCH

JAN20 5Y NOTE   120.50 C   62,091  +40,020   118.75 P   41,782  +39,219

DEC19 2Y NOTE   108.00 C   26,926   -2,239   106.75 P   27,725     UNCH

JAN20 2Y NOTE   107.88 C    3,010       -1   107.62 P    4,425     UNCH

NOV19 EURODLR    98.25 C  193,527   -2,570    97.87 P  159,954   -7,631

DEC19 EURODLR    98.37 C  611,053  -32,420    97.25 P1,066,055     UNCH

DEC20 1Y-MIDC    98.75 C  206,718   -3,600    98.12 P  196,259   -1,500

DEC21 2Y-MIDC    98.50 C   91,635     -500    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  130.00 C   72,062  -12,017   130.00 P   86,026     +982

DEC19 10Y NOTE  130.50 C   53,830   -2,557   130.50 P   40,693     -535

JAN20 10Y NOTE  130.00 C   25,824  +11,673   130.00 P   26,063  +19,038

JAN20 10Y NOTE  130.50 C   23,678     +547   130.50 P    5,673       -2

DEC19 5Y NOTE   119.00 C   48,498   -3,643   119.00 P   32,459   +1,859

DEC19 5Y NOTE   119.25 C   49,245     +211   119.25 P   14,796      +84

JAN20 5Y NOTE   119.25 C    5,219     UNCH   119.25 P    5,377     UNCH

JAN20 5Y NOTE   119.50 C   25,571     -411   119.50 P    1,181     +169

DEC19 2Y NOTE   107.50 C    1,262     +120   107.50 P   18,160     +477

DEC19 2Y NOTE   107.62 C    1,677       +1   107.62 P    2,301     +205

JAN20 2Y NOTE   107.75 C       78     UNCH   107.75 P    3,202       +1

JAN20 2Y NOTE   107.88 C    3,010       -1   107.88 P      130       -4

NOV19 EURODLR    98.00 C   71,237     -375    98.00 P  143,057     +261

NOV19 EURODLR    98.12 C  139,193     -250    98.12 P   35,951   -1,250

DEC19 EURODLR    98.00 C  312,230  -12,940    98.00 P  352,548  -12,500

DEC19 EURODLR    98.12 C  469,475   -6,714    98.12 P  211,055   +8,514

DEC20 1Y-MIDC    98.50 C   97,482     -900    98.50 P  101,777   +3,450

DEC20 1Y-MIDC    98.62 C  137,024   +5,251    98.62 P   54,218     -750

DEC21 2Y-MIDC    98.50 C   91,635     -500    98.50 P   58,659  +10,135

DEC21 2Y-MIDC    98.62 C   64,246   +5,416    98.62 P   22,118     UNCH

DEC22 3Y-MIDC    98.50 C   36,476     +775    98.50 P   15,226   +1,300

DEC22 3Y-MIDC    98.62 C   30,321     -250    98.62 P   18,440     UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

DEC19 10Y NOTE PUT/CALL RATIO   -- 0.87 (210,646 PUTS VS. 241,301 CALLS)

JAN20 10Y NOTE PUT/CALL RATIO   -- 1.32 (86,450 PUTS VS. 65,440 CALLS)

DEC19 5Y NOTE PUT/CALL RATIO    -- 0.47 (37,622 PUTS VS. 78,774 CALLS)

JAN20 5Y NOTE PUT/CALL RATIO    -- 0.98 (63,505 PUTS VS. 64,588 CALLS)

DEC19 2Y NOTE PUT/CALL RATIO    -- 1.10 (9,364 PUTS VS. 8,408 CALLS)

JAN20 2Y NOTE PUT/CALL RATIO    -- 0.02 (27 PUTS VS. 1,019 CALLS)

NOV19 EURODLRS PUT/CALL RATIO   -- 1.13 (26,737 PUTS VS. 23,242 CALLS)

DEC19 EURODLRS PUT/CALL RATIO   -- 0.09 (37,173 PUTS VS. 409,715 CALLS)

DEC20 1Y-MIDCRVE PUT/CALL RATIO -- 0.77 (35,860 PUTS VS. 45,890 CALLS)

DEC21 2Y-MIDCRVE PUT/CALL RATIO -- 1.22 (38,799 PUTS VS. 31,599 CALLS)

DEC22 3Y-MIDCRVE PUT/CALL RATIO -- 0.11 (1,650 PUTS VS. 13,900 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    64.48    60.22    64.92    65.75    65.30     64.97

Fri Open    66.55    67.12    68.17    68.16    65.91     65.26

Thu 1500    66.01    69.03    69.51    69.15    65.73     65.18

Thu Open    65.05    68.85    68.40    67.80    65.20     64.32

Wed 1500    66.34    69.65    68.46    67.93    65.31     64.43

Wed Open    65.85    69.20    68.10    67.35    65.15     64.09

Tue 1500    66.24    70.03    68.61    67.94    65.48     64.32

Tue Open    67.07    71.10    68.96    68.02    65.45     64.26

Mon 1500    67.09    70.77    68.92    68.17    65.53     65.02

Mon Open    67.85    69.45    68.55    67.55    65.90     64.94

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

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