US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR OCT 16

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

             USX    USZ     TYV    TYZ     FVV    FVZ     EDX     EDZ

1045        9.73%  9.07%   5.30%  5.04%   3.56%  3.43%   26.05%  27.77%

0915        9.58%  9.06%   5.32%  5.03%   3.64%  3.39%   26.72%  26.99%

WED OPEN    9.55%  9.07%   5.30%  5.05%   3.63%  3.40%   26.55%  27.00%

TUE 1500    9.31%  9.06%   5.20%  5.06%   3.64%  3.45%   25.74%  27.05%

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

NOV19 10Y NOTE  132.00 C  111,880   +9,629   129.00 P  120,677       -2

DEC19 10Y NOTE  134.00 C   88,823   -2,051   128.00 P   74,892  +13,626

NOV19 5Y NOTE   120.50 C   82,546     UNCH   118.75 P   79,813  -10,617

DEC19 5Y NOTE   119.75 C   56,312     -509   118.25 P   51,086     +251

NOV19 2Y NOTE   108.50 C   18,051     UNCH   107.50 P   13,534   -1,550

DEC19 2Y NOTE   108.25 C   13,266   +1,023   107.75 P   11,522     +485

NOV19 EURODLR    98.12 C  189,548   -2,000    97.87 P  130,475  +12,701

DEC19 EURODLR    98.25 C  645,472   +4,609    97.25 P1,067,355     UNCH

DEC20 1Y-MIDC    98.87 C  163,759     UNCH    98.00 P  206,276     UNCH

DEC21 2Y-MIDC    98.50 C   87,371      +25    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  130.00 C   45,185     +550   130.00 P   78,073   -2,744

NOV19 10Y NOTE  130.50 C   59,746   +5,727   130.50 P   51,123   -1,548

DEC19 10Y NOTE  130.00 C   49,862     +964   130.00 P   61,233     -915

DEC19 10Y NOTE  130.50 C   33,630   -1,008   130.50 P   41,596     +316

NOV19 5Y NOTE   119.00 C   27,358   +3,457   119.00 P   32,325   -2,199

NOV19 5Y NOTE   119.25 C   16,630   +2,048   119.25 P   62,319   -1,312

DEC19 5Y NOTE   119.00 C   11,043     -378   119.00 P   17,966   +1,945

DEC19 5Y NOTE   119.25 C   20,659     -116   119.25 P   44,778      +41

NOV19 2Y NOTE   107.88 C    7,335      +26   107.88 P    5,521     UNCH

NOV19 2Y NOTE   108.00 C   15,807     +199   108.00 P    1,082   -1,426

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

DEC19 2Y NOTE   108.00 C    9,257     UNCH   108.00 P    3,738      -94

NOV19 EURODLR    98.00 C  105,740     UNCH    98.00 P  103,002  +12,564

NOV19 EURODLR    98.12 C  189,548   -2,000    98.12 P   34,574     UNCH

DEC19 EURODLR    98.00 C  348,459     -529    98.00 P  384,508   +4,980

DEC19 EURODLR    98.12 C  473,875   +7,900    98.12 P  172,358   +1,550

DEC20 1Y-MIDC    98.50 C   94,084   +2,773    98.50 P   56,684     +100

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

DEC21 2Y-MIDC    98.50 C   87,371      +25    98.50 P   41,682     +500

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   -- 1.47 (173,470 PUTS VS. 117,634 CALLS)

DEC19 10Y NOTE PUT/CALL RATIO   -- 0.87 (123,345 PUTS VS. 140,704 CALLS)

NOV19 5Y NOTE PUT/CALL RATIO    -- 0.97 (43,550 PUTS VS. 44,387 CALLS)

DEC19 5Y NOTE PUT/CALL RATIO    -- 1.13 (25,473 PUTS VS. 22,211 CALLS)

NOV19 2Y NOTE PUT/CALL RATIO    -- 33.5 (12,050 PUTS VS. 359 CALLS)

DEC19 2Y NOTE PUT/CALL RATIO    -- 1.46 (3,837 PUTS VS. 4,672 CALLS)

NOV19 EURODLRS PUT/CALL RATIO   -- 0.80 (44,172 PUTS VS. 55,739 CALLS)

DEC19 EURODLRS PUT/CALL RATIO   -- 0.12 (47,367 PUTS VS. 368,738 CALLS)

DEC20 1Y-MIDCRVE PUT/CALL RATIO -- 2.73 (27,174 PUTS VS. 9,976 CALLS)

DEC21 2Y-MIDCRVE PUT/CALL RATIO -- 4.61 (14,310 PUTS VS. 3,154 CALLS)

DEC22 3Y-MIDCRVE PUT/CALL RATIO -- 0.00 (3,136 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

1045        77.52    80.79    78.57    76.04    68.04     66.92

0915        78.09    81.16    78.81    76.28    68.21     66.94

Wed Open    78.33    81.88    78.77    76.20    68.33     67.15

Tue 1500    78.66    82.32    78.63    76.08    68.58     67.24

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

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

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