US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR NOV 7

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

            USZ     USH    TYZ    TYH    FVZ    FVH     EDX     EDZ

WED OPEN   6.56%   7.35%  3.48%  3.90%  2.06%  2.42%    8.26%   9.55%

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%

     LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

DEC18 10Y NOTE  120.00 C  233,312   -4,841   117.50 P  243,243 -33,517

MAR19 10Y NOTE  118.00 C   23,430   +3,088   118.00 P   25,732  +2,907

DEC18 5Y NOTE   112.75 C   76,110   +1,844   107.25 P  246,719    UNCH

MAR19 5Y NOTE   112.50 C    2,548     UNCH   112.50 P    2,783    UNCH

DEC18 2Y NOTE   105.50 C   24,192     -358   105.12 P   17,954    UNCH

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

NOV18 EURODLR    97.37 C  143,707   -3,872    97.25 P  139,209    +650

DEC18 EURODLR    97.62 C  480,450     UNCH    97.25 P  531,136  +1,145

DEC19 1Y-MIDC    97.00 C  449,170   +8,684    96.75 P  554,699    UNCH

DEC20 2Y-MIDC    97.00 C  162,191     +500    96.87 P  309,983 +11,126

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  233,312   -4,841   120.00 P   32,868     -54

DEC18 10Y NOTE  120.50 C   93,588       +3   120.50 P   19,862    UNCH

MAR19 10Y NOTE  120.00 C    6,753     UNCH   120.00 P        9      +1

MAR19 10Y NOTE  120.50 C    8,497     +197   120.50 P        3      -2

DEC18 5Y NOTE   113.50 C   44,184      -45   113.50 P    7,156    UNCH

DEC18 5Y NOTE   113.75 C   21,654     UNCH   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    UNCH

DEC18 2Y NOTE   105.62 C   10,659     UNCH   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     UNCH   105.62 P        0    UNCH

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

NOV18 EURODLR    97.37 C  143,707   -3,872    97.37 P   83,372  -1,300

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

DEC18 EURODLR    97.50 C  468,356   +2,606    97.50 P  336,806    UNCH

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

DEC19 1Y-MIDC    97.12 C  177,168   +1,000    97.12 P  111,527    UNCH

DEC19 1Y-MIDC    97.25 C  191,687   -2,350    97.25 P   84,473    UNCH

DEC20 2Y-MIDC    97.00 C  162,191     +500    97.00 P  253,833    UNCH

DEC20 2Y-MIDC    97.12 C  111,014     -150    97.12 P   42,633    UNCH  

DEC21 3Y-MIDC    96.87 C   57,638     +625    96.87 P   52,958     +79

DEC21 3Y-MIDC    97.00 C   60,852   +1,900    97.00 P  100,303    UNCH

     PUT/CALL RATIO FOR VOLUME CLEARED:

DEC18 10Y NOTE PUT/CALL RATIO  -- 1.87 (377,137 PUTS VS. 201,305 CALLS)

MAR19 10Y NOTE PUT/CALL RATIO  -- 1.80 (14,152 PUTS VS. 7,880 CALLS)

DEC18 5Y NOTE PUT/CALL RATIO   -- 4.61 (64,201 PUTS VS. 13,923 CALLS)

MAR19 5Y NOTE PUT/CALL RATIO   -- 1.70 (1,077 PUTS VS. 633 CALLS)

DEC18 2Y NOTE PUT/CALL RATIO   -- 1.39 (1,032 PUTS VS. 744 CALLS)

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

NOV18 EURODLRS PUT/CALL RATIO  -- 0.71 (7,540 PUTS VS. 10,598 CALLS)

DEC18 EURODLRS PUT/CALL RATIO  -- 0.58 (13,235 PUTS VS. 22,702 CALLS)

DEC19 1Y-MIDCRVE PUT/CALL RATIO-- 1.16 (41,450 PUTS VS. 35,700 CALLS)

DEC20 2Y-MIDCRVE PUT/CALL RATIO-- 3.39 (34,100 PUTS VS. 10,050 CALLS)

DEC21 3Y-MIDCRVE PUT/CALL RATIO-- 6.00 (5,100 PUTS VS. 850 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

WED OPEN    47.67   56.83    58.73   59.22    71.15     76.68

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

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

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