US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR OCT 15

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

             USX    USZ     TYV    TYZ     FVV    FVZ     EDX     EDZ

1000        8.92%  8.95%   5.09%  5.01%   3.45%  3.39%   24.60%  26.82%

TUE OPEN    9.16%  8.97%   5.14%  5.04%   3.50%  3.43%   26.48%  28.49%

THU 1500    9.21%  9.17%   5.04%  4.97%   3.48%  3.40%    N/A    29.91%

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

NOV19 10Y NOTE  132.00 C  102,252     -301   129.00 P  120,679      -89

DEC19 10Y NOTE  134.00 C   90,874       +4   130.00 P   62,148     -250

NOV19 5Y NOTE   120.50 C   82,546   -1,000   118.75 P   90,430       +1

DEC19 5Y NOTE   119.75 C   56,821     UNCH   118.25 P   50,835     UNCH

NOV19 2Y NOTE   108.50 C   18,051     UNCH   107.50 P   15,084     UNCH

DEC19 2Y NOTE   108.25 C   12,243     +402   107.75 P   11,037       +5

NOV19 EURODLR    98.12 C  191,548     UNCH    97.87 P  117,774     UNCH

DEC19 EURODLR    98.25 C  640,863     +858    97.25 P1,067,355     UNCH

DEC20 1Y-MIDC    98.87 C  163,759     -250    98.00 P  206,276   +2,550

DEC21 2Y-MIDC    98.50 C   87,346     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  130.50 C   54,019   -1,584   130.50 P   52,671   -1,542

NOV19 10Y NOTE  131.00 C   76,046   +4,177   131.00 P   37,993     +188

DEC19 10Y NOTE  130.50 C   34,637     -144   130.50 P   41,501     +228

DEC19 10Y NOTE  131.00 C   72,581     +533   131.00 P   31,921       +3

NOV19 5Y NOTE   119.00 C   11,421   -1,278   119.00 P   34,524     +145

NOV19 5Y NOTE   119.25 C   20,775     +121   119.25 P   63,631       +2

DEC19 5Y NOTE   119.00 C   46,150     -168   119.00 P   16,021     -100

DEC19 5Y NOTE   119.25 C   12,153       -3   119.25 P   44,368     -175

NOV19 2Y NOTE   107.88 C    7,309     +125   107.88 P    5,521     -673

NOV19 2Y NOTE   108.00 C   15,608      +20   108.00 P    2,508     UNCH

DEC19 2Y NOTE   107.88 C   11,764     UNCH   107.88 P    3,126       -3

DEC19 2Y NOTE   108.00 C    9,257       -4   108.00 P    3,832     UNCH

NOV19 EURODLR    98.00 C  105,740       -2    98.00 P   90,438     +202

NOV19 EURODLR    98.12 C  191,548     UNCH    98.12 P   34,574       -9

DEC19 EURODLR    98.00 C  349,029   -2,019    98.00 P  379,528  +10,746

DEC19 EURODLR    98.12 C  465,975   -3,229    98.12 P  170,808   +1,564

DEC20 1Y-MIDC    98.50 C   91,311     UNCH    98.50 P   56,584     UNCH

DEC20 1Y-MIDC    98.62 C   80,694     -500    98.62 P   51,713      -46

DEC21 2Y-MIDC    98.50 C   87,346     UNCH    98.50 P   41,182     UNCH

DEC21 2Y-MIDC    98.62 C   61,386     UNCH    98.62 P   21,340     UNCH

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

DEC22 3Y-MIDC    98.62 C   27,788     UNCH    98.62 P   18,440     UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

NOV19 10Y NOTE PUT/CALL RATIO   -- 1.11 (49,748 PUTS VS. 44,529 CALLS)

DEC19 10Y NOTE PUT/CALL RATIO   -- 0.91 (20,807 PUTS VS. 22,218 CALLS)

NOV19 5Y NOTE PUT/CALL RATIO    -- 0.13 (3,857 PUTS VS. 28,045 CALLS)

DEC19 5Y NOTE PUT/CALL RATIO    -- 0.23 (4,347 PUTS VS. 18,109 CALLS)

NOV19 2Y NOTE PUT/CALL RATIO    -- 6.18 (3,612 PUTS VS. 584 CALLS)

DEC19 2Y NOTE PUT/CALL RATIO    -- 1.36 (897 PUTS VS. 655 CALLS)

NOV19 EURODLRS PUT/CALL RATIO   -- 0.64 (1,159 PUTS VS. 1,746 CALLS)

DEC19 EURODLRS PUT/CALL RATIO   -- 1.67 (62,468 PUTS VS. 37,650 CALLS)

DEC20 1Y-MIDCRVE PUT/CALL RATIO -- 3.57 (24,360 PUTS VS. 6,810 CALLS)

DEC21 2Y-MIDCRVE PUT/CALL RATIO -- 0.00 (0 PUTS VS. 0 CALLS)

DEC22 3Y-MIDCRVE PUT/CALL RATIO -- 0.00 (0 PUTS VS. 0 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

1000        78.40    81.87    78.86    76.10    68.49     67.08

Tue Open    78.81    82.43    79.03    76.24    68.63     67.22

Thu 1500    78.04    79.47    77.77    75.10    68.55     67.57

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

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

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