US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR NOV 6

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

            USZ     USH    TYZ    TYH    FVZ    FVH     EDX     EDZ

TUE 3:00   8.46%   7.61%  4.59%  4.14%  2.58%  2.55%   11.50%  11.18% 

TUE OPEN   8.50%   7.69%  4.34%  4.05%  2.57%  2.55%   11.51%  11.19%

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%

     LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

DEC18 10Y NOTE  120.00 C  238,153   -1,860   117.50 P  276,760  +3,739

MAR19 10Y NOTE  118.00 C   20,342     -186   118.00 P   22,825  -1,107

DEC18 5Y NOTE   112.75 C   74,266   +1,974   107.25 P  246,719    UNCH

MAR19 5Y NOTE   112.50 C    2,478     UNCH   112.50 P    2,783    UNCH

DEC18 2Y NOTE   105.50 C   24,550     -890   105.12 P   17,954    +109

MAR19 2Y NOTE   105.87 C    2,000     UNCH   105.00 P       16      +1

NOV18 EURODLR    97.37 C  147,579   +1,500    97.25 P  141,059  +1,029

DEC18 EURODLR    97.62 C  480,450     UNCH    97.25 P  529,891  -1,125

DEC19 1Y-MIDC    97.00 C  440,486     +840    96.75 P  554,699 -15,063

DEC20 2Y-MIDC    97.00 C  161,691     +500    96.87 P  299,717    -250

DEC21 3Y-MIDC    97.50 C   66,598     UNCH    96.62 P  147,014  +4,125

     NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

DEC18 10Y NOTE  120.00 C  238,153   -1,860   120.00 P   32,922    +166

DEC18 10Y NOTE  120.50 C   93,585     +203   120.50 P   19,862      -8

MAR19 10Y NOTE  120.00 C    6,818     UNCH   120.00 P        8    UNCH

MAR19 10Y NOTE  120.50 C    8,300      +48   120.50 P        5    UNCH

DEC18 5Y NOTE   113.50 C   44,229     -347   113.50 P    7,156    +131

DEC18 5Y NOTE   113.75 C   21,654     -134   113.75 P      392    UNCH

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

MAR19 5Y NOTE   113.75 C      860     UNCH   113.75 P        1      +1

DEC18 2Y NOTE   105.62 C   10,659       -2   105.62 P      322    UNCH

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

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

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

NOV18 EURODLR    97.37 C  147,579   +1,500    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     UNCH    97.50 P  336,806    -175

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

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

DEC19 1Y-MIDC    97.25 C  194,037     +180    97.25 P   84,473    UNCH

DEC20 2Y-MIDC    97.00 C  161,691     +500    97.00 P  253,833    UNCH

DEC20 2Y-MIDC    97.12 C  111,164     +819    97.12 P   42,633    UNCH  

DEC21 3Y-MIDC    96.87 C   57,013       +4    96.87 P   52,879    UNCH

DEC21 3Y-MIDC    97.00 C   58,952   +2,100    97.00 P  100,303    UNCH

     PUT/CALL RATIO FOR VOLUME CLEARED:

DEC18 10Y NOTE PUT/CALL RATIO  -- 1.04 (192,136 PUTS VS. 184,011 CALLS)

MAR19 10Y NOTE PUT/CALL RATIO  -- 1.26 (22,012 PUTS VS. 17,432 CALLS)

DEC18 5Y NOTE PUT/CALL RATIO   -- 1.52 (25,378 PUTS VS. 16,714 CALLS)

MAR19 5Y NOTE PUT/CALL RATIO   -- 4.24 (1,884 PUTS VS. 444 CALLS)

DEC18 2Y NOTE PUT/CALL RATIO   -- 1.20 (4,917 PUTS VS. 4,103 CALLS)

MAR19 2Y NOTE PUT/CALL RATIO   -- 1.50 (3 PUTS VS. 2 CALLS)

NOV18 EURODLRS PUT/CALL RATIO  -- 0.69 (4,550 PUTS VS. 6,550 CALLS)

DEC18 EURODLRS PUT/CALL RATIO  -- 1.84 (85,256 PUTS VS. 46,414 CALLS)

DEC19 1Y-MIDCRVE PUT/CALL RATIO-- 3.91 (44,920 PUTS VS. 11,500 CALLS)

DEC20 2Y-MIDCRVE PUT/CALL RATIO-- 2.80 (10,650 PUTS VS. 3,800 CALLS)

DEC21 3Y-MIDCRVE PUT/CALL RATIO-- 1.79 (29,150 PUTS VS. 16,250 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 3:00    48.99   63.05    60.97   61.36    72.06     77.15

TUE OPEN    49.12   64.12    61.50   61.54    72.08     77.13

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

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

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