US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR OCT 18

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

             USX    USZ     TYV    TYZ     FVV    FVZ     EDX     EDZ

FRI 1500    9.21%  8.97%   5.26%  4.97%   3.44%  3.36%   24.68%  26.00%

1330        9.30%  9.05%   5.29%  5.02%   3.47%  3.37%   24.66%  25.85%

1200        9.45%  9.06%   5.36%  5.06%   3.45%  3.40%   24.85%  25.60%

1045        9.25%  9.00%   5.26%  4.99%   3.36%  3.38%   24.62%  26.80%

0915        9.22%  9.00%   5.22%  5.00%   3.33%  3.37%   23.74%  25.87%

FRI OPEN    9.45%  9.12%   5.29%  5.05%   3.41%  3.39%   25.70%  26.85%

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

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  115,090     +111   128.00 P  113,552   +4,596

DEC19 10Y NOTE  132.00 C  103,601   +4,660   128.00 P  124,905  +50,077

NOV19 5Y NOTE   120.50 C   82,546     UNCH   118.25 P   68,339     +934

DEC19 5Y NOTE   119.75 C   56,558      +32   118.25 P   50,847     -239

NOV19 2Y NOTE   108.50 C   18,051     UNCH   107.50 P   12,034     -750

DEC19 2Y NOTE   108.25 C   12,623     -769   107.75 P   13,087     UNCH

NOV19 EURODLR    98.25 C  192,545   +2,100    97.87 P  132,321   -7,995

DEC19 EURODLR    98.37 C  665,880  +21,278    97.25 P1,066,055     UNCH

DEC20 1Y-MIDC    98.87 C  191,522  +14,151    98.00 P  206,276     UNCH

DEC21 2Y-MIDC    98.50 C   85,482   -1,600    97.37 P  125,829     UNCH

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

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

NOV19 10Y NOTE  129.50 C   22,836     -244   129.50 P   85,645     +202

NOV19 10Y NOTE  130.00 C   45,674   -4,325   130.00 P   79,547     -606

DEC19 10Y NOTE  129.50 C   20,386     +807   129.50 P   65,722     -715

DEC19 10Y NOTE  130.00 C   53,222      +60   130.00 P   63,622     +888

NOV19 5Y NOTE   118.75 C    7,627     +279   118.75 P   42,546  -35,176

NOV19 5Y NOTE   119.00 C   28,053      +67   119.00 P   29,872   -1,538

DEC19 5Y NOTE   118.75 C    4,635      -10   118.75 P   42,146     UNCH

DEC19 5Y NOTE   119.00 C   12,572   +1,026   119.00 P   19,131     +972

NOV19 2Y NOTE   107.75 C    3,254     +175   107.75 P    5,839     -195

NOV19 2Y NOTE   107.88 C    7,336       +1   107.88 P    5,521     UNCH

DEC19 2Y NOTE   107.75 C    2,495     +100   107.75 P   13,087     UNCH

DEC19 2Y NOTE   107.88 C   11,764     UNCH   107.88 P    3,121       -5

NOV19 EURODLR    98.00 C   96,240     UNCH    98.00 P  107,678      +47

NOV19 EURODLR    98.12 C  191,548   +8,818    98.12 P   36,732   +1,982

DEC19 EURODLR    98.00 C  350,801      -10    98.00 P  400,816   +9,533

DEC19 EURODLR    98.12 C  479,391   +4,316    98.12 P  181,947     +401

DEC20 1Y-MIDC    98.50 C   96,128     +125    98.50 P   55,552   -1,050

DEC20 1Y-MIDC    98.62 C   81,194     -100    98.62 P   51,713     UNCH

DEC21 2Y-MIDC    98.50 C   85,482   -1,600    98.50 P   39,352   -1,781

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   -- 2.46 (212,597 PUTS VS. 86,056 CALLS)

DEC19 10Y NOTE PUT/CALL RATIO   -- 1.77 (306,065 PUTS VS. 172,695 CALLS)

NOV19 5Y NOTE PUT/CALL RATIO    -- 5.34 (203,499 PUTS VS. 38,541 CALLS)

DEC19 5Y NOTE PUT/CALL RATIO    -- 4.30 (56,940 PUTS VS. 13,032 CALLS)

NOV19 2Y NOTE PUT/CALL RATIO    -- 4.87 (3,946 PUTS VS. 883 CALLS)

DEC19 2Y NOTE PUT/CALL RATIO    -- 2.24 (11,287 PUTS VS. 5,093 CALLS)

NOV19 EURODLRS PUT/CALL RATIO   -- 1.16 (28,484 PUTS VS. 24,028 CALLS)

DEC19 EURODLRS PUT/CALL RATIO   -- 0.03 (17,789 PUTS VS. 478,628 CALLS)

DEC20 1Y-MIDCRVE PUT/CALL RATIO -- 0.06 (8,604 PUTS VS. 127,200 CALLS)

DEC21 2Y-MIDCRVE PUT/CALL RATIO -- 11.8 (36,869 PUTS VS. 3,119 CALLS)

DEC22 3Y-MIDCRVE PUT/CALL RATIO -- 3.14 (650 PUTS VS. 207 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

Fri 1500    76.53    80.03    77.29    74.83    67.81     66.55

1330        76.49    79.99    77.26    74.79    67.75     66.49

1200        76.09    80.06    77.35    74.92    67.72     66.46

1045        76.40    79.84    77.14    74.82    67.58     66.43

0915        76.34    79.93    77.28    74.95    67.73     66.54

Fri Open    76.34    80.08    77.45    75.27    67.89     66.76

Thu 1500    76.98    79.86    78.65    75.92    67.94     66.78

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$]