US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR OCT 2

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

             USX    USZ     TYV    TYZ     FVV    FVZ     EDV     EDZ

WED 1500   10.08%  9.79%   5.33%  5.31%   3.65%  3.54%   39.36%  36.88%

1330       10.19%  9.85%   5.43%  5.32%   3.73%  3.59%   40.35%  35.10%

1145       10.22%  9.87%   5.49%  5.35%   3.77%  3.55%   40.90%  35.40%

0915       10.16%  9.78%   5.40%  5.26%   3.67%  3.49%   39.37%  35.75%

WED OPEN   10.22%  9.88%   5.49%  5.33%   3.70%  3.52%   40.15%  34.80%

TUE 1500   10.10%  9.70%   5.31%  5.25%   3.47%  3.38%   31.50%  30.05%

TUE OPEN    9.68%  9.36%   5.12%  4.96%   3.35%  3.27%   27.70%  28.13%

MON 1500    9.68%  9.36%   5.12%  4.96%   3.35%  3.27%   27.70%  28.13%

MON OPEN    9.75%  9.40%   5.17%  4.97%   3.45%  3.30%   27.85%  28.45%

FRI 1500    9.60%  9.31%   5.06%  4.97%   3.37%  3.26%   25.01%  28.32%

FRI OPEN    9.68%  9.41%   4.99%  4.94%   3.35%  3.27%   25.99%  27.70%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

NOV19 10Y NOTE  132.00 C  107,325   +3,690   128.00 P  131,725  +10,333

DEC19 10Y NOTE  132.00 C   99,311   +1,977   128.00 P   66,925   +3,861

NOV19 5Y NOTE   119.75 C   37,363     -160   115.50 P   72,692   -1,482

DEC19 5Y NOTE   119.75 C   77,695     +260   109.00 P   48,347     UNCH

NOV19 2Y NOTE   108.50 C   13,167     -100   107.50 P   15,286   -1,984

DEC19 2Y NOTE   108.25 C   11,063   +2,971   105.75 P    5,400     UNCH

OCT19 EURODLR    98.25 C  472,020   -7,715    98.00 P  194,833     -800

DEC19 EURODLR    98.25 C  604,781  +15,142    97.25 P1,067,355      =95

DEC20 1Y-MIDC    98.87 C  191,243  +13,624    98.00 P  203,489     -600

DEC21 2Y-MIDC    98.50 C   87,196     -100    97.37 P  125,829     UNCH

DEC22 3Y-MIDC    97.37 C   56,018     UNCH    97.37 P   64,958     UNCH

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

NOV19 10Y NOTE  129.00 C   16,969      -10   129.00 P  116,915  -11,267

NOV19 10Y NOTE  129.50 C   20,991     -345   129.50 P   71,627  +16,679

DEC19 10Y NOTE  129.00 C   11,198     UNCH   129.00 P   45,446   -1,358

DEC19 10Y NOTE  129.50 C   19,910     -332   129.50 P   42,004     +316

NOV19 5Y NOTE   118.25 C    1,757     UNCH   118.25 P   64,928     -538

NOV19 5Y NOTE   118.50 C   11,972      -77   118.50 P   48,083   +1,702

DEC19 5Y NOTE   118.25 C      226       +6   118.25 P   18,666     -269

DEC19 5Y NOTE   118.50 C    1,643       -2   118.50 P   12,665     +882

NOV19 2Y NOTE   107.50 C    1,887       +7   107.50 P   15,286   -1,984

NOV19 2Y NOTE   107.62 C    2,301       -4   107.62 P    3,549      +28

DEC19 2Y NOTE   107.50 C    1,044     UNCH   107.50 P    1,996       +5

DEC19 2Y NOTE   107.62 C      362      +50   107.62 P    2,272     +107

OCT19 EURODLR    98.00 C  115,017   -4,550    98.00 P  194,833     -800

OCT19 EURODLR    98.12 C  114,353     -504    98.12 P  108,448   +3,373

DEC19 EURODLR    98.00 C  375,738   +6,137    98.00 P  316,869     -875

DEC19 EURODLR    98.12 C  459,138   +7,949    98.12 P  135,932   +1,208

DEC20 1Y-MIDC    98.50 C   91,722     -247    98.50 P   54,475     +839

DEC20 1Y-MIDC    98.62 C   96,769   +7,900    98.62 P   44,043     UNCH

DEC21 2Y-MIDC    98.50 C   87,196     -100    98.50 P   33,236     +100

DEC21 2Y-MIDC    98.62 C   60,761   +2,000    98.62 P   18,657   +1,500

DEC22 3Y-MIDC    98.50 C   34,602      -73    98.50 P   17,000     UNCH

DEC22 3Y-MIDC    98.62 C   24,673     UNCH    98.62 P   20,740   +3,775

PUT/CALL RATIO FOR VOLUME CLEARED:

NOV19 10Y NOTE PUT/CALL RATIO   -- 1.70 (247,978 PUTS VS. 145,626 CALLS)

DEC19 10Y NOTE PUT/CALL RATIO   -- 0.80 (94,267 PUTS VS. 117,516 CALLS)

NOV19 5Y NOTE PUT/CALL RATIO    -- 1.57 (41,142 PUTS VS. 26,675 CALLS)

DEC19 5Y NOTE PUT/CALL RATIO    -- 0.85 (24,073 PUTS VS. 28,852 CALLS)

NOV19 2Y NOTE PUT/CALL RATIO    -- 9.20 (22,103 PUTS VS. 2,427 CALLS)

DEC19 2Y NOTE PUT/CALL RATIO    -- 0.24 (5,075 PUTS VS. 20,526 CALLS)

OCT19 EURODLRS PUT/CALL RATIO   -- 0.16 (23,876 PUTS VS. 142,470 CALLS)

DEC19 EURODLRS PUT/CALL RATIO   -- 0.25 (108,485 PUTS VS. 422,815 CALLS)

DEC20 1Y-MIDCRVE PUT/CALL RATIO -- 1.42 (71,230 PUTS VS. 50,221 CALLS)

DEC21 2Y-MIDCRVE PUT/CALL RATIO -- 4.74 (14,719 PUTS VS. 3,100 CALLS)

DEC22 3Y-MIDCRVE PUT/CALL RATIO -- 7.88 (14,250 PUTS VS. 1,846 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

Wed 1500    80.60    89.82    82.36    80.33    69.65     68.25

1330        80.62    89.85    82.64    80.56    69.66     68.45

1145        80.75    90.01    82.95    80.77    69.12     68.14

0915        79.48    88.29    80.49    79.18    68.88     67.94

Wed Open    79.15    87.94    80.51    79.15    68.67     67.83

Tue 1500    79.07    81.24    79.62    79.18    68.63     67.78

Tue Open    74.33    80.43    75.97    76.28    68.26     67.44

Mon 1500    74.33    80.43    75.97    76.28    68.26     67.44

Mon Open    74.85    81.48    76.98    76.97    68.35     67.50

Fri 1500    74.70    81.03    77.01    76.97    68.35     67.49

Fri Open    75.01    81.44    77.20    77.01    68.13     67.19

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

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