US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR OCT 17

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

             USX    USZ     TYV    TYZ     FVV    FVZ     EDX     EDZ

THU 1500    9.30%  8.98%   5.10%  5.02%   3.27%  3.33%   26.00%  27.35%

1200        9.32%  9.01%   5.13%  5.03%   3.33%  3.35%   26.11%  27.41%

THU OPEN    9.37%  9.04%   5.24%  5.00%   3.52%  3.40%   26.35%  27.65%

WED 1500    9.37%  9.04%   5.24%  5.00%   3.52%  3.40%   26.35%  27.65%

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

NOV19 10Y NOTE  132.00 C  114,979   +3,099   129.00 P  121,847   +1,170

DEC19 10Y NOTE  132.00 C   98,941  +14,557   128.00 P   74,828      -64

NOV19 5Y NOTE   120.50 C   82,546     UNCH   118.75 P   77,722   -2,091

DEC19 5Y NOTE   119.75 C   56,526     +214   118.25 P   51,086     UNCH

NOV19 2Y NOTE   108.50 C   18,051     UNCH   107.50 P   12,784     -750

DEC19 2Y NOTE   108.25 C   13,392     +126   107.75 P   13,087   +1,565

NOV19 EURODLR    98.25 C  190,445  +17,871    97.87 P  140,316   +9,841

DEC19 EURODLR    98.25 C  654,881   +9,409    97.25 P1,072,055   +4,700

DEC20 1Y-MIDC    98.87 C  177,371  +13,612    98.00 P  206,276     UNCH

DEC21 2Y-MIDC    98.50 C   87,082     -289    97.37 P  125,829     UNCH

DEC22 3Y-MIDC    97.37 C   52,101     UNCH    97.37 P   63,651   -1,307

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

NOV19 10Y NOTE  129.50 C   23,080     +610   129.50 P   86,403   -2,733

NOV19 10Y NOTE  130.00 C   49,999   +4,814   130.00 P   80,153   +2,082

DEC19 10Y NOTE  129.50 C   20,029     -107   129.50 P   66,437   +8,238

DEC19 10Y NOTE  130.00 C   53,162   +3,300   130.00 P   62,734   +1,501

NOV19 5Y NOTE   118.75 C    7,348     -159   118.75 P   77,722   -2,091

NOV19 5Y NOTE   119.00 C   27,986     +628   119.00 P   31,410     -915

DEC19 5Y NOTE   118.75 C    4,645     +187   118.75 P   42,146      -81

DEC19 5Y NOTE   119.00 C   11,546     +503   119.00 P   18,161     +195

NOV19 2Y NOTE   107.75 C    3,079     -516   107.75 P    6,034      -36

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

DEC19 2Y NOTE   107.75 C    2,395     +243   107.75 P   13,087   +1,565

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

NOV19 EURODLR    98.00 C   96,240   -9,500    98.00 P  107,631   +4,629

NOV19 EURODLR    98.12 C  182,730   -6,818    98.12 P   34,750     +176

DEC19 EURODLR    98.00 C  350,811   +2,316    98.00 P  391,283   +6,775

DEC19 EURODLR    98.12 C  475,075   +1,200    98.12 P  181,546   +9,188

DEC20 1Y-MIDC    98.50 C   96,093   +2,009    98.50 P   56,602      -82

DEC20 1Y-MIDC    98.62 C   81,294     +600    98.62 P   51,713     UNCH

DEC21 2Y-MIDC    98.50 C   87,082     -289    98.50 P   41,133     -549

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   -- 1.89 (165,279 PUTS VS. 87,645 CALLS)

DEC19 10Y NOTE PUT/CALL RATIO   -- 0.88 (117,686 PUTS VS. 132,153 CALLS)

NOV19 5Y NOTE PUT/CALL RATIO    -- 0.81 (22,250 PUTS VS. 27,802 CALLS)

DEC19 5Y NOTE PUT/CALL RATIO    -- 0.46 (12,876 PUTS VS. 26,769 CALLS)

NOV19 2Y NOTE PUT/CALL RATIO    -- 0.54 (2,326 PUTS VS. 4,200 CALLS)

DEC19 2Y NOTE PUT/CALL RATIO    -- 1.01 (2,970 PUTS VS. 2,951 CALLS)

NOV19 EURODLRS PUT/CALL RATIO   -- 0.29 (21,806 PUTS VS. 71,250 CALLS)

DEC19 EURODLRS PUT/CALL RATIO   -- 0.40 (62,109 PUTS VS. 153,278 CALLS)

DEC20 1Y-MIDCRVE PUT/CALL RATIO -- 0.48 (32,475 PUTS VS. 66,875 CALLS)

DEC21 2Y-MIDCRVE PUT/CALL RATIO -- 0.26 (700 PUTS VS. 2,700 CALLS)

DEC22 3Y-MIDCRVE PUT/CALL RATIO -- 0.00 (2,450 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

Thu 1500    76.98    79.86    78.65    75.92    67.94     66.78

1200        77.33    79.99    78.67    75.94    67.97     66.81

Thu Open    77.72    80.26    78.70    75.97    68.03     66.87

Wed 1500    77.72    80.26    78.70    75.97    68.03     66.87

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

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

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