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

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

             USZ    USF     TYZ    TYF     FVZ    FVF     EDX     EDZ

1000        8.00%  7.72%   4.07%  4.10%   2.54%  2.56%   16.27%  19.70%

WED OPEN    7.99%  7.70%   4.05%  4.09%   2.52%  2.54%   16.10%  19.65%

TUE 1500    8.00%  7.78%   4.11%  4.15%   2.57%  2.61%   16.80%  19.70%

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

DEC19 10Y NOTE  132.00 C  141,295     +479   128.00 P  137,113   -3,768

JAN20 10Y NOTE  131.50 C   67,677   -2,077   128.50 P   32,177   -2,621

DEC19 5Y NOTE   119.50 C   92,190      -19   116.00 P  114,246     UNCH

JAN20 5Y NOTE   120.50 C   64,172   +1,980   118.75 P   67,052  +25,170

DEC19 2Y NOTE   108.00 C   27,180     +250   106.75 P   27,725     UNCH

JAN20 2Y NOTE   108.00 C    3,509       +9   107.62 P    6,926       +1

NOV19 EURODLR    98.25 C  182,401  -14,529    97.87 P  155,613   -2,472

DEC19 EURODLR    98.25 C  609,864  +25,384    97.25 P1,066,055     UNCH

DEC20 1Y-MIDC    98.75 C  205,825   +3,523    98.12 P  190,859   +4,900

DEC21 2Y-MIDC    98.50 C   91,878     UNCH    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  129.00 C   23,214  +10,084   129.00 P  114,575   +6,930

DEC19 10Y NOTE  129.50 C   30,594   +3,114   129.50 P   64,668   -4,200

JAN20 10Y NOTE  129.00 C   16,871   +9,235   129.00 P   28,608   +2,427

JAN20 10Y NOTE  129.50 C   10,905   +2,851   129.50 P   13,482     -570

DEC19 5Y NOTE   118.50 C    9,764     +886   118.50 P   29,612   +2,168

DEC19 5Y NOTE   118.75 C   16,439   +1,324   118.75 P   45,358   -2,373

JAN20 5Y NOTE   118.75 C    6,867   +5,475   118.75 P   67,052  +25,170

JAN20 5Y NOTE   119.00 C   15,425  +11,634   119.00 P    3,274   +1,966

DEC19 2Y NOTE   107.50 C    1,218      -44   107.50 P   20,287     +334

DEC19 2Y NOTE   107.62 C    1,864      +78   107.62 P    2,369     -437

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

JAN20 2Y NOTE   107.88 C    3,010     UNCH   107.88 P    2,130   +2,000

NOV19 EURODLR    98.00 C   42,486   -1,453    98.00 P  139,451     -600

NOV19 EURODLR    98.12 C  112,949   -4,100    98.12 P   35,851      -50

DEC19 EURODLR    98.00 C  310,859   -2,524    98.00 P  318,195  -35,589

DEC19 EURODLR    98.12 C  478,077   +5,003    98.12 P  220,862  +10,045

DEC20 1Y-MIDC    98.50 C   97,471       +5    98.50 P  102,524   -9,625

DEC20 1Y-MIDC    98.62 C  138,144   +4,480    98.62 P   54,118     UNCH

DEC21 2Y-MIDC    98.50 C   91,878     UNCH    98.50 P   58,563     UNCH

DEC21 2Y-MIDC    98.62 C   66,246     +750    98.62 P   22,118     UNCH

DEC22 3Y-MIDC    98.50 C   36,576     +100    98.50 P   15,226     UNCH

DEC22 3Y-MIDC    98.62 C   29,527     +500    98.62 P   18,440     UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

DEC19 10Y NOTE PUT/CALL RATIO   -- 1.46 (243,238 PUTS VS. 166,967 CALLS)

JAN20 10Y NOTE PUT/CALL RATIO   -- 1.16 (83,373 PUTS VS. 71,014 CALLS)

DEC19 5Y NOTE PUT/CALL RATIO    -- 0.76 (33,900 PUTS VS. 43,405 CALLS)

JAN20 5Y NOTE PUT/CALL RATIO    -- 1.88 (207,019 PUTS VS. 110,675 CALLS)

DEC19 2Y NOTE PUT/CALL RATIO    -- 1.12 (18,108 PUTS VS. 16,976 CALLS)

JAN20 2Y NOTE PUT/CALL RATIO    -- 39.6 (2,020 PUTS VS. 51 CALLS)

NOV19 EURODLRS PUT/CALL RATIO   -- 0.21 (11,300 PUTS VS. 52,312 CALLS)

DEC19 EURODLRS PUT/CALL RATIO   -- 0.29 (71,689 PUTS VS. 242,264 CALLS)

DEC20 1Y-MIDCRVE PUT/CALL RATIO -- 7.01 (217,733 PUTS VS. 31,200 CALLS)

DEC21 2Y-MIDCRVE PUT/CALL RATIO -- 0.56 (7,104 PUTS VS. 12,650 CALLS)

DEC22 3Y-MIDCRVE PUT/CALL RATIO -- 8.12 (20,300 PUTS VS. 2,543 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

1000        59.17    66.31    65.10    66.53    65.48     64.78

Wed Open    59.05    65.78    65.05    66.20    65.46     64.77

Tue 1500    59.55    65.80    65.20    66.28    65.52     64.88

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

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

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