US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR NOV 5

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

            USZ     USH    TYZ    TYH    FVZ    FVH     EDX     EDZ

MON 3:00   8.48%   7.66%  4.39%  4.01%  2.55%  2.51%   10.29%  10.71%

MON OPEN   8.52%   7.75%  4.42%  4.15%  2.61%  2.55%   12.57%  11.95%

FRI 3:00   8.05%   7.68%  4.20%  4.06%  2.44%  2.54%   11.87%  11.70%

FRI OPEN   7.85%   7.79%  4.09%  3.99%  2.40%  2.59%   12.70%  12.11%

THU 3:00   7.84%   7.48%  4.11%  4.06%  2.46%  2.58%   12.23%  11.57%

THU OPEN   7.72%   7.67%  4.02%  4.07%  2.46%  2.62%   13.35%  13.94%

WED 3:00   7.88%   7.65%  4.15%  4.04%  2.58%  2.56%   13.09%  14.12%

WED OPEN   8.07%   7.52%  4.20%  3.98%  2.68%  2.58%   12.96%  13.03%

TUE 3:00   8.26%   7.63%  4.37%  4.07%  2.79%  2.64%   14.10%  12.57%

TUE OPEN    N/A     N/A    N/A    N/A    N/A    N/A     N/A     N/A

     LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

DEC18 10Y NOTE  120.00 C  240,013   -3,879   117.50 P  273,021  -9,385

MAR19 10Y NOTE  118.00 C   20,528   +2,371   118.00 P   23,932  +2,307

DEC18 5Y NOTE   112.75 C   72,292     +142   107.25 P  246,719    UNCH

MAR19 5Y NOTE   112.50 C    2,478      +49   112.50 P    2,783    +213

DEC18 2Y NOTE   105.50 C   25,440     -776   105.12 P   17,845    -250

MAR19 2Y NOTE   105.87 C    2,000     UNCH   105.00 P       15    UNCH

NOV18 EURODLR    97.37 C  145,179   +4,217    97.25 P  141,059  +1,029

DEC18 EURODLR    97.62 C  480,450     UNCH    97.25 P  531,180 -45,472

DEC19 1Y-MIDC    97.00 C  439,646   +6,860    96.75 P  569,762 -50,015

DEC20 2Y-MIDC    97.00 C  161,191   -2,296    96.62 P  300,110 +12,553

DEC21 3Y-MIDC    97.50 C   66,598     -500    96.50 P  146,354    UNCH

     NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

DEC18 10Y NOTE  120.00 C  240,013   -3,879   120.00 P   32,756  -1,029

DEC18 10Y NOTE  120.50 C   93,382     +240   120.50 P   19,870      +3

MAR19 10Y NOTE  120.00 C    6,818      +28   120.00 P        8      +2

MAR19 10Y NOTE  120.50 C    8,252   +1,100   120.50 P        5    UNCH

DEC18 5Y NOTE   113.50 C   44,576     +187   113.50 P    7,025    +206

DEC18 5Y NOTE   113.75 C   21,788     UNCH   113.75 P      392      -3

MAR19 5Y NOTE   113.50 C    1,571     +407   113.50 P        0    UNCH

MAR19 5Y NOTE   113.75 C      860     UNCH   113.75 P        0    UNCH

DEC18 2Y NOTE   105.62 C   10,661     UNCH   105.62 P      322    UNCH

DEC18 2Y NOTE   105.75 C   19,329       -1   105.75 P      247    UNCH

MAR19 2Y NOTE   105.62 C        0     UNCH   105.62 P        0    UNCH

MAR19 2Y NOTE   105.75 C       51     UNCH   105.75 P       14    UNCH

NOV18 EURODLR    97.37 C  146,079     +900    97.37 P   84,672    UNCH

NOV18 EURODLR    97.50 C   89,169     UNCH    97.50 P    3,625    UNCH 

DEC18 EURODLR    97.50 C  465,750     +671    97.50 P  336,981    UNCH

DEC18 EURODLR    97.62 C  480,450     UNCH    97.62 P  193,015    UNCH

DEC19 1Y-MIDC    97.12 C  176,168   +1,396    97.12 P  111,527    UNCH

DEC19 1Y-MIDC    97.25 C  193,857     UNCH    97.25 P   84,473    UNCH

DEC20 2Y-MIDC    97.00 C  161,191   -2,296    97.00 P  253,833    UNCH

DEC20 2Y-MIDC    97.12 C  110,345   +2,380    97.12 P   42,633    UNCH  

DEC21 3Y-MIDC    96.87 C   57,009     +250    96.87 P   52,879    +250

DEC21 3Y-MIDC    97.00 C   56,852   +1,310    97.00 P  100,303    UNCH

     PUT/CALL RATIO FOR VOLUME CLEARED:

DEC18 10Y NOTE PUT/CALL RATIO  -- 1.43 (365,215 PUTS VS. 255,542 CALLS)

MAR19 10Y NOTE PUT/CALL RATIO  -- 1.35 (11,940 PUTS VS. 8,861 CALLS)

DEC18 5Y NOTE PUT/CALL RATIO   -- 4.76 (194,419 PUTS VS. 40,866 CALLS)

MAR19 5Y NOTE PUT/CALL RATIO   -- 1.46 (1,578 PUTS VS. 1,080 CALLS)

DEC18 2Y NOTE PUT/CALL RATIO   -- 0.35 (2,855 PUTS VS. 8,142 CALLS)

MAR19 2Y NOTE PUT/CALL RATIO   -- 0.00 (0 PUTS VS. 0 CALLS)

NOV18 EURODLRS PUT/CALL RATIO  -- 3.40 (36,925 PUTS VS. 10,850 CALLS)

DEC18 EURODLRS PUT/CALL RATIO  -- 1.93 (144,462 PUTS VS. 74,822 CALLS)

DEC19 1Y-MIDCRVE PUT/CALL RATIO-- 5.81 (391,300 PUTS VS. 67,325 CALLS)

DEC20 2Y-MIDCRVE PUT/CALL RATIO-- 1.41 (41,100 PUTS VS. 29,225 CALLS)

DEC21 3Y-MIDCRVE PUT/CALL RATIO-- 0.00 (2,000 PUTS VS. 0 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

MON 3:00    49.24   63.97    61.46   61.49    72.24     77.09

MON OPEN    48.67   63.22    61.81   62.17    72.46     76.99

FRI 3:00    48.74   61.88    61.23   61.78    72.46     77.27

FRI OPEN    48.79   60.77    61.54   61.44    72.20     77.00

THU 3:00    49.43   61.25    62.21   62.29    72.23     77.09

THU OPEN    49.79   63.08    62.72   62.55    72.41     77.05

WED 3:00    50.13   64.19    62.85   62.58    72.38     76.99

WED OPEN    52.22   65.44    63.98   63.80    72.49     77.01

TUE 3:00    51.80   64.92    63.82   63.81    72.32     76.79

TUE OPEN     N/A     N/A      N/A     N/A      N/A       N/A 

--MNI Chicago Bureau; +1 630-698-0154; email: ryan.martin@marketnews.com

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