US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR OCT 1

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

             USX    USZ     TYV    TYZ     FVV    FVZ     EDV     EDZ

MON 1500    9.68%  9.36%   5.12%  4.96%   3.35%  3.27%   27.70%  28.13%

MON OPEN    9.75%  9.40%   5.17%  4.97%   3.45%  3.30%   27.85%  28.45%

FRI 1500    9.60%  9.31%   5.06%  4.97%   3.37%  3.26%   25.01%  28.32%

FRI OPEN    9.68%  9.41%   4.99%  4.94%   3.35%  3.27%   25.99%  27.70%

TUE 1500    9.93%  9.55%   5.15%  5.00%   3.37%  3.26%   27.02%  27.70%

TUE OPEN    9.72%  9.45%   5.02%  4.91%   3.27%  3.18%   30.90%  28.85%

MON 1500    9.80%  9.51%   5.10%  4.92%   3.28%  3.21%   31.00%  29.00%

MON OPEN    9.94%  9.58%   5.11%  4.97%   3.28%  3.21%   29.84%  28.66%

THU 1500     N/A   9.27%    N/A   4.89%    N/A   3.11%   27.44%  27.54%

THU OPEN     N/A   9.35%    N/A   4.92%    N/A   3.17%   29.25%  28.25%

WED 1500     N/A   9.54%    N/A   5.00%    N/A   3.25%   29.20%  28.10%

WED OPEN     N/A   9.62%    N/A   4.99%    N/A   3.29%   35.00%  31.09%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

NOV19 10Y NOTE  132.00 C  103,635   -2,017   129.00 P  128,182   +2,260

DEC19 10Y NOTE  132.00 C   97,334   +8,393   128.00 P   63,064   +2,225

NOV19 5Y NOTE   119.75 C   37,523     -500   115.50 P   74,173     UNCH

DEC19 5Y NOTE   119.75 C   77,435     UNCH   109.00 P   48,347     UNCH

NOV19 2Y NOTE   108.50 C   13,267     UNCH   107.50 P   17,270     -400

DEC19 2Y NOTE   108.12 C   10,276     UNCH   105.75 P    5,400     UNCH

OCT19 EURODLR    98.25 C  479,735     -900    98.00 P  195,633     UNCH

DEC19 EURODLR    98.25 C  589,639  +10,490    97.25 P1,067,450     +100

DEC20 1Y-MIDC    98.87 C  177,619     UNCH    98.00 P  204,089     UNCH

DEC21 2Y-MIDC    98.50 C   87,296     +323    97.37 P  125,829     UNCH

DEC22 3Y-MIDC    97.37 C   56,018     UNCH    97.37 P   64,958     UNCH

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

NOV19 10Y NOTE  129.00 C   16,979     UNCH   129.00 P  128,182   +2,260

NOV19 10Y NOTE  129.50 C   21,336      -47   129.50 P   54,948     +351

DEC19 10Y NOTE  129.00 C   11,198      +88   129.00 P   46,804   -2,012

DEC19 10Y NOTE  129.50 C   20,242     +369   129.50 P   41,688     -523

NOV19 5Y NOTE   118.25 C    1,757     UNCH   118.25 P   64,466   -9,430

NOV19 5Y NOTE   118.50 C   12,049       -3   118.50 P   46,381   +2,797

DEC19 5Y NOTE   118.25 C      226       +6   118.25 P   18,935     UNCH

DEC19 5Y NOTE   118.50 C    1,645       -4   118.50 P   11,783     +508

NOV19 2Y NOTE   107.50 C    1,881     UNCH   107.50 P   17,670     UNCH

NOV19 2Y NOTE   107.62 C    2,305     UNCH   107.62 P    3,521     UNCH

DEC19 2Y NOTE   107.50 C    1,044     UNCH   107.50 P    1,991       +1

DEC19 2Y NOTE   107.62 C      312     UNCH   107.62 P    2,165     UNCH

OCT19 EURODLR    98.00 C  119,567     +250    98.00 P  195,633     UNCH

OCT19 EURODLR    98.12 C  114,857     +500    98.12 P  105,075     UNCH

DEC19 EURODLR    98.00 C  369,601     +356    98.00 P  317,744   -4,900

DEC19 EURODLR    98.12 C  451,189   +6,666    98.12 P  134,724     -292

DEC20 1Y-MIDC    98.50 C   91,969     -200    98.50 P   53,636     +205

DEC20 1Y-MIDC    98.62 C   88,869     +292    98.62 P   44,043      -50

DEC21 2Y-MIDC    98.50 C   87,296     +323    98.50 P   33,136     +515

DEC21 2Y-MIDC    98.62 C   58,761     UNCH    98.62 P   17,157     UNCH

DEC22 3Y-MIDC    98.50 C   34,675     +250    98.50 P   17,000     UNCH

DEC22 3Y-MIDC    98.62 C   24,673   +3,055    98.62 P   20,840   +3,775

PUT/CALL RATIO FOR VOLUME CLEARED:

NOV19 10Y NOTE PUT/CALL RATIO   -- 1.06 (52,658 PUTS VS. 49,698 CALLS)

DEC19 10Y NOTE PUT/CALL RATIO   -- 1.58 (27,024 PUTS VS. 17,260 CALLS)

NOV19 5Y NOTE PUT/CALL RATIO    -- 3.38 (50,441 PUTS VS. 14,923 CALLS)

DEC19 5Y NOTE PUT/CALL RATIO    -- 1.31 (10,579 PUTS VS. 8,042 CALLS)

NOV19 2Y NOTE PUT/CALL RATIO    -- 0.13 (805 PUTS VS. 5,898 CALLS)

DEC19 2Y NOTE PUT/CALL RATIO    -- 0.04 (237 PUTS VS. 5,786 CALLS)

OCT19 EURODLRS PUT/CALL RATIO   -- 0.35 (4,100 PUTS VS. 11,700 CALLS)

DEC19 EURODLRS PUT/CALL RATIO   -- 0.63 (50,502 PUTS VS. 79,308 CALLS)

DEC20 1Y-MIDCRVE PUT/CALL RATIO -- 1.04 (5,178 PUTS VS. 4,905 CALLS)

DEC21 2Y-MIDCRVE PUT/CALL RATIO -- 0.83 (4,931 PUTS VS. 5,921 CALLS)

DEC22 3Y-MIDCRVE PUT/CALL RATIO -- 1.10 (5,308 PUTS VS. 4,850 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

Mon 1500    74.33    80.43    75.97    76.28    68.26     67.44

Mon Open    74.85    81.48    76.98    76.97    68.35     67.50

Fri 1500    74.70    81.03    77.01    76.97    68.35     67.49

Fri Open    75.01    81.44    77.20    77.01    68.13     67.19

Tue 1500    75.24    84.83    77.70    77.45    68.47     66.94

Tue Open    74.52    84.06    76.39    76.27    67.41     66.32

Mon 1500    74.09    81.82    76.70    76.66    67.11     65.90

Mon Open    75.05    82.41    76.77    77.19    66.79     65.80

Thu 1500    73.44    79.22    74.59    75.05    65.34     64.47

Thu Open    76.25    80.25    75.70    75.78    65.40     64.27

Wed 1500    78.92    82.56    76.73    76.28    65.75     64.54

Wed Open    79.13    86.81    79.89    79.23    66.29     64.80

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

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