US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR OCT 21

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

             USX    USZ     TYV    TYZ     FVV    FVZ     EDX     EDZ

1345         N/A   9.26%    N/A   5.22%    N/A   3.47%   24.75%  25.85%

1230         N/A   9.31%    N/A   5.15%    N/A   3.44%   24.45%  26.50%

1145         N/A   9.24%    N/A   5.11%    N/A   3.43%   25.10%  26.60%

0930         N/A   9.17%    N/A   5.06%    N/A   3.43%   25.71%  26.60%

MON OPEN   11.25%  9.27%   6.00%  5.12%   3.96%  3.45%   25.90%  26.60%

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

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

NOV19 10Y NOTE  132.00 C  116,473   +1,383   128.00 P  113,908     +356

DEC19 10Y NOTE  132.00 C  109,278   +5,677   128.00 P  127,672   +2,767

NOV19 5Y NOTE   120.50 C   82,546     UNCH   118.25 P   68,497     +158

DEC19 5Y NOTE   119.75 C   55,313   -1,245   118.25 P   51,164     +317

NOV19 2Y NOTE   108.00 C   18,474   +3,180   107.50 P   11,934     -100

DEC19 2Y NOTE   108.00 C   18,045   +7,931   106.75 P   13,542   +6,942

NOV19 EURODLR    98.25 C  202,232   +9,687    97.87 P  133,966   +1,645

DEC19 EURODLR    98.37 C  692,910  +27,030    97.25 P1,066,055     UNCH

DEC20 1Y-MIDC    98.87 C  192,722   +1,250    98.00 P  197,456   -8,820

DEC21 2Y-MIDC    98.50 C   85,760     +278    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   23,252     +416   129.50 P   96,499  +10,854

NOV19 10Y NOTE  130.00 C   47,870   +2,196   130.00 P   77,324   -2,223

DEC19 10Y NOTE  129.50 C   20,997     +161   129.50 P   65,791      +69

DEC19 10Y NOTE  130.00 C   53,180      -42   130.00 P   64,730   +1,108

NOV19 5Y NOTE   118.75 C    7,627     UNCH   118.75 P   38,630   -3,916

NOV19 5Y NOTE   119.00 C   29,653   +1,600   119.00 P   27,727   -2,145

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

DEC19 5Y NOTE   119.00 C   12,203     -369   119.00 P   19,082      -51

NOV19 2Y NOTE   107.75 C    3,176      -78   107.75 P    5,964     +125

NOV19 2Y NOTE   107.88 C    7,276      -60   107.88 P    5,521     UNCH

DEC19 2Y NOTE   107.75 C    3,995   +1,500   107.75 P   13,091       +4

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

NOV19 EURODLR    98.00 C   95,783     -457    98.00 P  108,371     +693

NOV19 EURODLR    98.12 C  190,226   -1,322    98.12 P   38,382   +1,650

DEC19 EURODLR    98.00 C  350,751      -50    98.00 P  396,716   -4,100

DEC19 EURODLR    98.12 C  481,729   +1,888    98.12 P  189,047   +7,100

DEC20 1Y-MIDC    98.50 C   97,352   +1,134    98.50 P   55,642      +90

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

DEC21 2Y-MIDC    98.50 C   85,760     +278    98.50 P   39,324      -28

DEC21 2Y-MIDC    98.62 C   65,386   +4,000    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   27,777      -11    98.62 P   18,440     UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

NOV19 10Y NOTE PUT/CALL RATIO   -- 1.44 (108,621 PUTS VS. 75,672 CALLS)

DEC19 10Y NOTE PUT/CALL RATIO   -- 0.47 (83,412 PUTS VS. 174,828 CALLS)

NOV19 5Y NOTE PUT/CALL RATIO    -- 1.82 (31,103 PUTS VS. 17,453 CALLS)

DEC19 5Y NOTE PUT/CALL RATIO    -- 0.13 (12,418 PUTS VS. 91,164 CALLS)

NOV19 2Y NOTE PUT/CALL RATIO    -- 0.53 (2,862 PUTS VS. 5,275 CALLS)

DEC19 2Y NOTE PUT/CALL RATIO    -- 0.59 (11,960 PUTS VS. 20,111 CALLS)

NOV19 EURODLRS PUT/CALL RATIO   -- 0.31 (24,315 PUTS VS. 78,936 CALLS)

DEC19 EURODLRS PUT/CALL RATIO   -- 0.23 (47,080 PUTS VS. 197,940 CALLS)

DEC20 1Y-MIDCRVE PUT/CALL RATIO -- 8.95 (59,851 PUTS VS. 6,750 CALLS)

DEC21 2Y-MIDCRVE PUT/CALL RATIO -- 1.51 (17,200 PUTS VS. 11,400 CALLS)

DEC22 3Y-MIDCRVE PUT/CALL RATIO -- 0.00 (0 PUTS VS. 1,250 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

1345        76.67    82.27    78.15    75.46    67.68     66.45

1230        76.55    82.03    78.15    75.46    67.69     66.43

1145        76.63    82.05    78.17    75.47    67.84     66.57

0930        76.67    82.11    78.21    75.48    67.90     66.66

Mon Open    76.61    80.18    78.02    75.25    67.86     66.57

Fri 1500    76.53    80.03    77.29    74.83    67.81     66.55

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

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

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