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

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

             USZ    USF     TYZ    TYF     FVZ    FVF     EDX     EDZ

1200        7.97%  7.80%   4.09%  4.15%   2.62%  2.60%   16.30%  19.45%

1030        8.00%  7.60%   4.13%  4.12%   2.60%  2.64%   16.95%  18.83%

TUE OPEN    7.81%  7.65%   4.06%  4.10%   2.55%  2.65%   17.73%  20.38%

MON 1500    7.74%  7.58%   3.97%  4.05%   2.57%  2.61%   15.10%  20.70%

MON OPEN    7.84%  7.67%   3.97%  4.06%   2.55%  2.61%   14.80%  19.65%

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

DEC19 10Y NOTE  132.00 C  140,816   -2,187   128.00 P  121,973   -3,768

JAN20 10Y NOTE  131.50 C   69,754     +324   128.50 P   34,798   +1,019

DEC19 5Y NOTE   119.50 C   92,209       +6   116.00 P  114,246     UNCH

JAN20 5Y NOTE   120.50 C   62,192     +101   118.75 P   41,882     +100

DEC19 2Y NOTE   108.00 C   26,930       +4   106.75 P   27,725     UNCH

JAN20 2Y NOTE   108.00 C    3,500     +500   107.62 P    6,925   +2,500

NOV19 EURODLR    98.25 C  196,930  +23,503    97.87 P  158,085   -1,869

DEC19 EURODLR    98.25 C  584,480   -5,983    97.25 P1,066,055     UNCH

DEC20 1Y-MIDC    98.75 C  202,302   -4,416    98.00 P  192,015   -1,750

DEC21 2Y-MIDC    98.50 C   91,878     +243    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   70,040   -2,022   130.00 P   83,537   -2,489

DEC19 10Y NOTE  130.50 C   59,305   +5,475   130.50 P   39,591   -1,102

JAN20 10Y NOTE  130.00 C   26,880   +1,056   130.00 P   27,169   +1,106

JAN20 10Y NOTE  130.50 C   24,842   +1,164   130.50 P    5,673     UNCH

DEC19 5Y NOTE   119.00 C   45,319   -3,179   119.00 P   32,349     -101

DEC19 5Y NOTE   119.25 C   49,289      +44   119.25 P   15,397     +601

JAN20 5Y NOTE   119.25 C    5,019     -200   119.25 P    5,377     UNCH

JAN20 5Y NOTE   119.50 C   25,571     UNCH   119.50 P    1,181     UNCH

DEC19 2Y NOTE   107.50 C    1,262     UNCH   107.50 P   19,953   +1,793

DEC19 2Y NOTE   107.62 C    1,786     +109   107.62 P    2,806     +505

JAN20 2Y NOTE   107.75 C       78     UNCH   107.75 P    3,201       -1

JAN20 2Y NOTE   107.88 C    3,010     UNCH   107.88 P      130     UNCH

NOV19 EURODLR    98.00 C   43,939   -7,298    98.00 P  140,051   -3,006

NOV19 EURODLR    98.12 C  117,049  -22,144    98.12 P   35,901      -50

DEC19 EURODLR    98.00 C  313,383   +1,153    98.00 P  353,784   +1,236

DEC19 EURODLR    98.12 C  473,074  +23,599    98.12 P  210,817     -238

DEC20 1Y-MIDC    98.50 C   97,466      -16    98.50 P  112,149  +10,372

DEC20 1Y-MIDC    98.62 C  133,664   -3,360    98.62 P   54,118     -100

DEC21 2Y-MIDC    98.50 C   91,878     +243    98.50 P   58,563      -96

DEC21 2Y-MIDC    98.62 C   65,496   +1,250    98.62 P   22,118     UNCH

DEC22 3Y-MIDC    98.50 C   36,476     UNCH    98.50 P   15,226     UNCH

DEC22 3Y-MIDC    98.62 C   29,027   -1,300    98.62 P   18,440     UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

DEC19 10Y NOTE PUT/CALL RATIO   -- 0.70 (110,775 PUTS VS. 155,392 CALLS)

JAN20 10Y NOTE PUT/CALL RATIO   -- 1.28 (36,054 PUTS VS. 28,288 CALLS)

DEC19 5Y NOTE PUT/CALL RATIO    -- 0.59 (10,313 PUTS VS. 17,244 CALLS)

JAN20 5Y NOTE PUT/CALL RATIO    -- 0.13 (470 PUTS VS. 3,403 CALLS)

DEC19 2Y NOTE PUT/CALL RATIO    -- 3.68 (10,788 PUTS VS. 2,938 CALLS)

JAN20 2Y NOTE PUT/CALL RATIO    -- 0.92 (2,509 PUTS VS. 2,752 CALLS)

NOV19 EURODLRS PUT/CALL RATIO   -- 0.06 (10,469 PUTS VS. 153,050 CALLS)

DEC19 EURODLRS PUT/CALL RATIO   -- 0.04 (31,767 PUTS VS. 272,388 CALLS)

DEC20 1Y-MIDCRVE PUT/CALL RATIO -- 1.51 (140,562 PUTS VS. 93,380 CALLS)

DEC21 2Y-MIDCRVE PUT/CALL RATIO -- 1.17 (7,319 PUTS VS. 6,243 CALLS)

DEC22 3Y-MIDCRVE PUT/CALL RATIO -- 0.00 (0 PUTS VS. 15,700 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

1200        59.71    65.77    65.32    66.09    65.52     64.86

1030        61.15    64.84    65.60    66.45    65.53     64.96

Tue Open    60.38    63.38    64.72    65.52    65.47     65.05

Mon 1500    62.58    61.94    64.92    65.40    64.96     64.82

Mon Open    62.64    61.20    65.25    65.71    65.09     64.96

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

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

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