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

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

             USZ    USF     TYZ    TYF     FVZ    FVF     EDX     EDZ

THU 1500    8.96%  8.54%   4.69%  4.50%   2.94%  2.94%   14.75%  17.50%

0900        8.32%  8.01%   4.29%  4.24%   2.61%  2.70%   15.25%  18.85%

THU OPEN    8.25%  7.99%   4.15%  4.20%   2.55%  2.65%   15.05%  19.00%

WED 1500    7.98%  7.85%   4.04%  4.08%   2.51%  2.59%   14.45%  19.15%

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

DEC19 10Y NOTE  131.00 C  150,025     +479   128.00 P  133,713     -538

JAN20 10Y NOTE  131.50 C   82,299  +14,622   128.00 P   29,716     -148

DEC19 5Y NOTE   119.50 C   92,490     +300   116.00 P  119,016   +4,770

JAN20 5Y NOTE   120.50 C   64,172     UNCH   118.75 P   66,752     -300

DEC19 2Y NOTE   108.00 C   27,180     UNCH   107.00 P   32,211  +24,238

JAN20 2Y NOTE   108.00 C    3,609     +100   107.62 P    6,926     UNCH

NOV19 EURODLR    98.25 C  182,301     -100    97.87 P  155,613     UNCH

DEC19 EURODLR    98.25 C  623,149  +13,285    97.25 P1,066,055     UNCH

DEC20 1Y-MIDC    98.75 C  208,125   +2,300    98.12 P  192,379   +1,520

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  128.50 C    6,564      +36   128.50 P   99,186   -6,587

DEC19 10Y NOTE  129.00 C   23,342     +128   129.00 P  111,687   -2,888

JAN20 10Y NOTE  128.50 C    1,466   +1,347   128.50 P   28,911   -3,266

JAN20 10Y NOTE  129.00 C   17,788     +917   129.00 P   29,650   +1,042

DEC19 5Y NOTE   118.25 C      331       +2   118.25 P   59,838     -633

DEC19 5Y NOTE   118.50 C   11,357   +1,593   118.50 P   28,853     -759

JAN20 5Y NOTE   118.50 C      128      +50   118.50 P   34,814     UNCH

JAN20 5Y NOTE   118.75 C    7,328     +461   118.75 P   66,752     -300

DEC19 2Y NOTE   107.50 C    1,219       +1   107.50 P   20,337      +50

DEC19 2Y NOTE   107.62 C    2,099     +235   107.62 P    2,709     +340

JAN20 2Y NOTE   107.75 C      178     +100   107.75 P    3,201     UNCH

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

NOV19 EURODLR    98.00 C   42,486     UNCH    98.00 P  137,308   -2,143

NOV19 EURODLR    98.12 C  113,998   +1,049    98.12 P   33,850   -2,001

DEC19 EURODLR    98.00 C  319,117   +8,258    98.00 P  318,885     +690

DEC19 EURODLR    98.12 C  466,292  -11,785    98.12 P  226,367   +5,505

DEC20 1Y-MIDC    98.50 C   98,821   +1,350    98.50 P  102,291     -233

DEC20 1Y-MIDC    98.62 C  136,560   -1,584    98.62 P   53,718     -400

DEC21 2Y-MIDC    98.50 C   91,878     UNCH    98.50 P   58,763     +200

DEC21 2Y-MIDC    98.62 C   64,275   -1,971    98.62 P   22,118     UNCH

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

DEC22 3Y-MIDC    98.62 C   38,514   +8,987    98.62 P   18,440     UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

DEC19 10Y NOTE PUT/CALL RATIO   -- 0.48 (121,319 PUTS VS. 251,808 CALLS)

JAN20 10Y NOTE PUT/CALL RATIO   -- 0.88 (45,364 PUTS VS. 51,228 CALLS)

DEC19 5Y NOTE PUT/CALL RATIO    -- 0.58 (14,651 PUTS VS. 24,627 CALLS)

JAN20 5Y NOTE PUT/CALL RATIO    -- 0.20 (4,593 PUTS VS. 21,760 CALLS)

DEC19 2Y NOTE PUT/CALL RATIO    -- 10.9 (38,474 PUTS VS. 2,612 CALLS)

JAN20 2Y NOTE PUT/CALL RATIO    -- 0.19 (50 PUTS VS. 257 CALLS)

NOV19 EURODLRS PUT/CALL RATIO   -- 0.09 (5,201 PUTS VS. 52,312 CALLS)

DEC19 EURODLRS PUT/CALL RATIO   -- 0.03 (7,448 PUTS VS. 213,877 CALLS)

DEC20 1Y-MIDCRVE PUT/CALL RATIO -- 0.40 (11,360 PUTS VS. 27,755 CALLS)

DEC21 2Y-MIDCRVE PUT/CALL RATIO -- 0.07 (1,950 PUTS VS. 25,762 CALLS)

DEC22 3Y-MIDCRVE PUT/CALL RATIO -- 1.01 (12,000 PUTS VS. 11,950 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

Thu 1500    57.51    73.19    69.03    71.16    66.20     64.89

0900        56.84    66.58    65.67    67.67    65.79     64.78

Thu Open    56.80    66.55    65.55    66.60    65.40     64.90

Wed 1500    57.15    66.69    65.11    66.62    65.44     64.94

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

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

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