US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR OCT 22

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

            USX     USZ    TYX    TYZ    FVX    FVZ     EDX     EDZ

MON 3:00   8.59%   7.53%  3.84%  3.65%  2.23%  2.17%   9.52%   9.91%

MON OPEN   8.55%   7.46%  3.98%  3.64%  2.27%  2.16%  11.18%  11.01%

THU 3:00   7.47%   7.24%  3.46%  3.48%  2.17%  2.13%  10.84%  11.23%

THU OPEN   7.78%   7.37%  3.63%  3.52%  2.07%  2.14%  10.49%  10.43%

WED 3:00   6.95%   7.04%  3.08%  3.34%  1.96%  2.01%   8.60%   8.70%

WED OPEN   7.09%   7.11%  3.48%  3.44%  1.94%  2.11%   7.30%   8.17% 

TUE 3:00    N/A     N/A    N/A    N/A    N/A    N/A     N/A     N/A

TUE OPEN   7.51%   7.37%  3.64%  3.59%  2.06%  2.17%   9.91%   9.16%

     LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

NOV18 10Y NOTE  119.00 C  113,606   -1,100   117.50 P  120,510  +6,939

DEC18 10Y NOTE  119.00 C  102,163   +2,579   117.50 P  158,140  +2,355

NOV18 5Y NOTE   112.75 C   35,598     +480   112.50 P   23,469    UNCH

DEC18 5Y NOTE   112.75 C   61,738   +1,745   107.25 P  246,719    UNCH

NOV18 2Y NOTE   105.75 C   28,041     UNCH   105.00 P   16,527    UNCH

DEC18 2Y NOTE   105.75 C   14,943     UNCH   104.87 P   13,042    UNCH

NOV18 EURODLR    97.37 C  124,466     -420    97.25 P  149,407    -638

DEC18 EURODLR    97.62 C  469,681     UNCH    97.25 P  686,432  +9,201

DEC19 1Y-MIDC    97.00 C  316,619   +5,029    96.75 P  592,543  +6,176

DEC20 2Y-MIDC    97.00 C  144,955   +7,724    96.87 P  293,621  -1,005

DEC21 3Y-MIDC    97.50 C   66,597     +200    96.50 P  136,354    UNCH

     NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

NOV18 10Y NOTE  120.00 C   86,588     UNCH   120.00 P   20,295    -920

NOV18 10Y NOTE  120.50 C   53,584     UNCH   120.50 P    8,050    UNCH

DEC18 10Y NOTE  120.00 C   76,058   +1,848   120.00 P   35,137    UNCH

DEC18 10Y NOTE  120.50 C   54,513      -18   120.50 P   19,863    UNCH

NOV18 5Y NOTE   113.50 C   24,204      -63   113.50 P    3,125    UNCH

NOV18 5Y NOTE   113.75 C   12,430     UNCH   113.75 P    1,912      -1

DEC18 5Y NOTE   113.50 C   55,102     +392   113.50 P    6,581     +24

DEC18 5Y NOTE   113.75 C   19,588     UNCH   113.75 P      387      -2

NOV18 2Y NOTE   105.62 C   19,757      +96   105.62 P      108    UNCH

NOV18 2Y NOTE   105.75 C   28,041     UNCH   105.75 P      255    UNCH

DEC18 2Y NOTE   105.62 C    6,856     UNCH   105.62 P      322    UNCH

DEC18 2Y NOTE   106.75 C   14,943     UNCH   106.75 P      251    UNCH

NOV18 EURODLR    97.37 C  124,466     -420    97.37 P   84,672    UNCH

NOV18 EURODLR    97.50 C   90,756     UNCH    97.50 P    3,625    UNCH 

DEC18 EURODLR    97.50 C  431,397   +5,905    97.50 P  336,774    UNCH

DEC18 EURODLR    97.62 C  469,681     UNCH    97.62 P  193,088    UNCH

DEC19 1Y-MIDC    97.12 C  141,533      -12    97.12 P  111,765    UNCH

DEC19 1Y-MIDC    97.25 C  190,024     UNCH    97.25 P   85,510    UNCH

DEC20 2Y-MIDC    97.00 C  144,955   +7,724    97.00 P  252,283    UNCH

DEC20 2Y-MIDC    97.12 C   69,899     +304    97.12 P   42,633    UNCH  

DEC21 3Y-MIDC    96.87 C   50,637     +400    96.87 P   39,244    UNCH

DEC21 3Y-MIDC    97.00 C   55,315      +25    97.00 P  100,665    UNCH

     PUT/CALL RATIO FOR VOLUME CLEARED:

NOV18 10Y NOTE PUT/CALL RATIO  -- 0.71 (87,041 PUTS VS. 122,984 CALLS)

DEC18 10Y NOTE PUT/CALL RATIO  -- 0.74 (52,855 PUTS VS. 71,663 CALLS)

NOV18 5Y NOTE PUT/CALL RATIO   -- 0.64 (8,941 PUTS VS. 14,002 CALLS)

DEC18 5Y NOTE PUT/CALL RATIO   -- 1.02 (14,118 PUTS VS. 13,845 CALLS)

NOV18 2Y NOTE PUT/CALL RATIO   -- 0.40 (556 PUTS VS. 1,397 CALLS)

DEC18 2Y NOTE PUT/CALL RATIO   -- 0.97 (688 PUTS VS. 710 CALLS)

NOV18 EURODLRS PUT/CALL RATIO  -- 0.26 (16,213 PUTS VS. 63,065 CALLS)

DEC18 EURODLRS PUT/CALL RATIO  -- 1.26 (249,767 PUTS VS. 197,684 CALLS)

DEC19 1Y-MIDCRVE PUT/CALL RATIO-- 1.31 (40,176 PUTS VS. 30,681 CALLS)

DEC20 2Y-MIDCRVE PUT/CALL RATIO-- 13.1 (22,487 PUTS VS. 1,712 CALLS)

DEC21 3Y-MIDCRVE PUT/CALL RATIO-- 0.86 (6,900 PUTS VS. 8,050 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

MON 3:00    43.07   56.28    53.87   57.26    70.24     75.30

MON OPEN    42.79   55.85    53.73   57.07    70.33     75.41

THU 3:00    43.11   55.51    54.61   57.58    70.23     75.26

THU OPEN    42.49   54.88    54.46   57.41    70.49     75.47

WED 3:00    42.19   53.50    54.03   71.59    70.27     75.39

WED OPEN    43.17   54.30    54.96   57.95    70.55     75.45

TUE 3:00     N/A     N/A      N/A     N/A      N/A       N/A

TUE OPEN    44.48   57.13    56.56   59.21    70.77     75.52

--MNI Chicago Bureau; +1 630-698-0154; email: ryan.martin@marketnews.com

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