US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR OCT 10

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

             USX    USZ     TYV    TYZ     FVV    FVZ     EDV     EDZ

0930        8.75%  8.95%   4.87%  4.99%   3.41%  3.33%    N/A    31.00%

THU OPEN    8.69%  8.90%   4.84%  4.94%   3.26%  3.32%    N/A    30.25%

WED 1500    8.75%  9.05%   4.92%  4.98%   3.28%  3.36%    N/A    34.58%

WED OPEN    8.96%  9.14%   4.98%  5.01%   3.39%  3.42%    N/A    32.05%

TUE 1500    9.08%  9.19%   5.00%  5.05%   3.38%  3.42%    N/A    31.62%

TUE OPEN    9.28%  9.36%   5.16%  5.12%   3.48%  3.47%    N/A    30.41%

MON 1500    9.09%  9.28%   4.95%  5.13%   3.44%  3.43%    N/A    31.50%

FRI 1500    8.83%  9.23%   4.84%  5.05%   3.31%  3.42%   31.30%  33.90%

FRI OPEN    9.39%  9.37%   5.27%  5.22%   3.67%  3.54%   37.90%  36.05%

THU 1500    9.09%  9.16%   5.12%  5.11%   3.45%  3.41%   40.80%  35.95%

THU OPEN   10.01%  9.70%   5.20%  5.30%   3.58%  3.50%   39.10%  36.80%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

NOV19 10Y NOTE  132.00 C   99,574   +1,471   128.00 P  125,045      -83

DEC19 10Y NOTE  134.00 C   86,004   +4,124   130.00 P   60,143   +3,907

NOV19 5Y NOTE   120.50 C   83,108       +5   115.50 P   72,753     UNCH

DEC19 5Y NOTE   119.75 C   68,188   +1,209   118.25 P   50,983     +286

NOV19 2Y NOTE   108.50 C   16,252   +2,636   107.50 P   13,176     UNCH

DEC19 2Y NOTE   107.88 C   11,764     UNCH   107.75 P    7,357     UNCH

OCT19 EURODLR    98.25 C  457,219     UNCH    98.00 P  126,695     +500

DEC19 EURODLR    98.25 C  613,155   -2,229    97.25 P1,067,355     UNCH

DEC20 1Y-MIDC    98.87 C  174,309   -5,000    98.00 P  203,976     UNCH

DEC21 2Y-MIDC    98.50 C   87,196     UNCH    97.37 P  125,829     UNCH

DEC22 3Y-MIDC    97.37 C   52,101     UNCH    97.37 P   64,958     UNCH

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

NOV19 10Y NOTE  131.50 C   57,121   +3,402   131.50 P   27,065   +3,642

NOV19 10Y NOTE  132.00 C   99,574   +1,471   132.00 P   10,284     +380

DEC19 10Y NOTE  131.50 C   33,387     +109   131.50 P   23,615      +84

DEC19 10Y NOTE  132.00 C   76,785   -1,653   132.00 P   17,102     +378

NOV19 5Y NOTE   120.00 C   53,064   -1,351   120.00 P   26,369   +1,787

NOV19 5Y NOTE   120.25 C   24,661       +1   120.25 P    4,430     UNCH

DEC19 5Y NOTE   120.00 C   46,150     -168   120.00 P   10,556     -166

DEC19 5Y NOTE   120.25 C   12,153       -3   120.25 P    4,514      +50

NOV19 2Y NOTE   108.00 C   14,844     UNCH   108.00 P    2,508       -3

NOV19 2Y NOTE   108.12 C    5,800     -929   108.12 P      330       +3

DEC19 2Y NOTE   108.00 C    7,686      +84   108.00 P    3,929     +180

DEC19 2Y NOTE   108.12 C    7,179     UNCH   108.12 P      784      +23

OCT19 EURODLR    98.00 C  111,305     +351    98.00 P  126,695     +500

OCT19 EURODLR    98.12 C   96,952   -2,650    98.12 P   54,229   -1,400

DEC19 EURODLR    98.00 C  354,040   -8,354    98.00 P  352,542  -15,021

DEC19 EURODLR    98.12 C  488,660     -100    98.12 P  163,556   -1,000

DEC20 1Y-MIDC    98.50 C   91,717     UNCH    98.50 P   55,489   +3,023

DEC20 1Y-MIDC    98.62 C   81,244   -5,100    98.62 P   49,459   +4,836

DEC21 2Y-MIDC    98.50 C   87,196     UNCH    98.50 P   39,832   +3,932

DEC21 2Y-MIDC    98.62 C   60,761     UNCH    98.62 P   20,728     UNCH

DEC22 3Y-MIDC    98.50 C   34,602     UNCH    98.50 P   11,750   -3,750

DEC22 3Y-MIDC    98.62 C   23,062   -1,000    98.62 P   19,240   -1,000

PUT/CALL RATIO FOR VOLUME CLEARED:

NOV19 10Y NOTE PUT/CALL RATIO   -- 1.15 (154,102 PUTS VS. 133,789 CALLS)

DEC19 10Y NOTE PUT/CALL RATIO   -- 0.92 (53,740 PUTS VS. 57,541 CALLS)

NOV19 5Y NOTE PUT/CALL RATIO    -- 1.07 (15,076 PUTS VS. 14,967 CALLS)

DEC19 5Y NOTE PUT/CALL RATIO    -- 2.18 (24,567 PUTS VS. 11,280 CALLS)

NOV19 2Y NOTE PUT/CALL RATIO    -- 0.97 (7,189 PUTS VS. 7,389 CALLS)

DEC19 2Y NOTE PUT/CALL RATIO    -- 5.53 (723 PUTS VS. 134 CALLS)

OCT19 EURODLRS PUT/CALL RATIO   -- 0.02 (2,600 PUTS VS. 103,928 CALLS)

DEC19 EURODLRS PUT/CALL RATIO   -- 0.22 (52,330 PUTS VS. 229,272 CALLS)

DEC20 1Y-MIDCRVE PUT/CALL RATIO -- 3.23 (55,458 PUTS VS. 17,550 CALLS)

DEC21 2Y-MIDCRVE PUT/CALL RATIO -- 73.6 (16,200 PUTS VS. 220 CALLS)

DEC22 3Y-MIDCRVE PUT/CALL RATIO -- 4.15 (7,967 PUTS VS. 1,900 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

0930        79.24    76.52    77.65    74.52    68.70     68.21

Thu Open    79.54    76.70    78.85    74.64    68.91     68.33

Wed 1500    80.04    77.75    78.26    75.06    69.14     68.72

Wed Open    81.30    80.77    79.07    75.33    68.91     68.31

Tue 1500    81.88    82.11    79.04    75.29    68.89     68.25

Tue Open    81.91    81.84    78.91    75.36    68.73     68.13

Mon 1500    81.97    82.18    79.30    75.57    69.12     68.34

Mon Open    82.69    81.40    79.16    75.57    69.07     68.18

Fri 1500    81.92    81.27    78.84    75.45    69.08     68.22

Fri Open    83.13    86.68    79.98    76.65    69.31     68.18

Thu 1500    82.71    87.33    80.54    77.61    69.28     68.36

Thu Open    81.50    89.70    82.34    80.30    69.60     68.21

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

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