US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR NOV 8

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

             USZ    USF     TYZ    TYF     FVZ    FVF     EDX     EDZ

FRI OPEN    9.16%  8.78%   4.63%  4.53%   3.04%  2.94%   15.00%  17.35%

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

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

DEC19 10Y NOTE  131.00 C  155,416   +5,391   128.00 P  131,798   -1,915

JAN20 10Y NOTE  131.50 C   83,430   +1,131   128.00 P   30,867   +1,151

DEC19 5Y NOTE   119.50 C   92,490     UNCH   116.00 P  118,988      -28

JAN20 5Y NOTE   120.50 C   64,599     +427   118.75 P   66,752     UNCH

DEC19 2Y NOTE   108.00 C   29,980   +2,800   107.00 P   32,375     +164

JAN20 2Y NOTE   108.00 C    3,297     -312   107.62 P   10,365   +3,439

NOV19 EURODLR    98.25 C  182,301     UNCH    97.87 P  155,863     +250

DEC19 EURODLR    98.25 C  608,361  -14,788    97.25 P1,066,055     UNCH

DEC20 1Y-MIDC    98.75 C  204,711   -3,414    98.12 P  208,907  +16,528

DEC21 2Y-MIDC    98.50 C   91,878     UNCH    97.37 P  125,829     UNCH

DEC22 3Y-MIDC    97.37 C   52,101     UNCH    98.25 P   66,251   +9,308

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

DEC19 10Y NOTE  128.00 C    3,133     +412   128.00 P  131,798   -1,915

DEC19 10Y NOTE  128.50 C   15,473   +8,909   128.50 P  102,624   +3,438

JAN20 10Y NOTE  128.00 C    2,245   +2,197   128.00 P   30,867   +1,151

JAN20 10Y NOTE  128.50 C    5,695   +4,229   128.50 P   26,812   -2,099

DEC19 5Y NOTE   118.00 C   11,193       +4   118.00 P   53,201   -1,939

DEC19 5Y NOTE   118.25 C    1,556   +1,225   118.25 P   60,848   +1,010

JAN20 5Y NOTE   118.25 C    2,300   +2,300   118.25 P   45,607     -564

JAN20 5Y NOTE   118.50 C   22,808  +22,680   118.50 P   35,321     +507

DEC19 2Y NOTE   107.50 C    1,450     +231   107.50 P   23,221   +2,884

DEC19 2Y NOTE   107.62 C    6,599   +4,500   107.62 P    3,183     +474

JAN20 2Y NOTE   107.75 C      249      +71   107.75 P    4,495   +1,294

JAN20 2Y NOTE   107.88 C    3,009       -1   107.88 P    4,168   +2,038

NOV19 EURODLR    98.00 C   42,486     UNCH    98.00 P  137,308     UNCH

NOV19 EURODLR    98.12 C  109,776   -4,222    98.12 P   33,240     -610

DEC19 EURODLR    98.00 C  319,367     +250    98.00 P  307,550  -11,335

DEC19 EURODLR    98.12 C  470,687   +4,395    98.12 P  228,311   +1,944

DEC20 1Y-MIDC    98.50 C   93,477   -5,344    98.50 P  102,216      -75

DEC20 1Y-MIDC    98.62 C  138,840   +2,280    98.62 P   53,718     UNCH

DEC21 2Y-MIDC    98.50 C   91,878     UNCH    98.50 P   58,738      -25

DEC21 2Y-MIDC    98.62 C   60,274   -4,001    98.62 P   22,118     UNCH

DEC22 3Y-MIDC    98.50 C   36,489      -87    98.50 P   15,226     UNCH

DEC22 3Y-MIDC    98.62 C   41,094   +2,580    98.62 P   18,440     UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

DEC19 10Y NOTE PUT/CALL RATIO   -- 3.67 (735,839 PUTS VS. 200,689 CALLS)

JAN20 10Y NOTE PUT/CALL RATIO   -- 1.53 (144,578 PUTS VS. 94,239 CALLS)

DEC19 5Y NOTE PUT/CALL RATIO    -- 3.44 (148,184 PUTS VS. 43,788 CALLS)

JAN20 5Y NOTE PUT/CALL RATIO    -- 0.70 (38,889 PUTS VS. 54,035 CALLS)

DEC19 2Y NOTE PUT/CALL RATIO    -- 1.24 (31,317 PUTS VS. 25,710 CALLS)

JAN20 2Y NOTE PUT/CALL RATIO    -- 3.89 (11,329 PUTS VS. 2,970 CALLS)

NOV19 EURODLRS PUT/CALL RATIO   -- 0.59 (6,100 PUTS VS. 10,324 CALLS)

DEC19 EURODLRS PUT/CALL RATIO   -- 0.67 (98,033 PUTS VS. 145,298 CALLS)

DEC20 1Y-MIDCRVE PUT/CALL RATIO -- 1.02 (82,559 PUTS VS. 80,457 CALLS)

DEC21 2Y-MIDCRVE PUT/CALL RATIO -- 7.93 (127,310 PUTS VS. 16,574 CALLS)

DEC22 3Y-MIDCRVE PUT/CALL RATIO -- 11.5 (138,228 PUTS VS. 12,931 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

Fri Open    58.04    73.82    68.42    70.88    66.20     64.90

Thu 1500    57.51    73.19    69.03    71.16    66.20     64.89

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

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

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