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

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

             USX    USZ     TYV    TYZ     FVV    FVZ     EDX     EDZ

1030         N/A   8.92%    N/A   5.01%    N/A   3.32%   25.45%  25.75%

TUE OPEN     N/A   8.94%    N/A   5.04%    N/A   3.33%   24.22%  26.43%

MON 1500     N/A   9.18%    N/A   5.15%    N/A   3.41%   24.05%  25.74%

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  113,432   -3,041   128.00 P  110,697   -3,211

DEC19 10Y NOTE  132.00 C  126,308  +17,030   128.00 P  136,768   +9,096

NOV19 5Y NOTE   120.50 C   82,546     UNCH   118.25 P   68,319     -178

DEC19 5Y NOTE   119.75 C   57,313   +2,000   118.25 P   51,690     +526

NOV19 2Y NOTE   108.50 C   18,051     UNCH   107.50 P   11,865      -69

DEC19 2Y NOTE   108.00 C   18,061      +16   107.75 P   16,677   +3,586

NOV19 EURODLR    98.25 C  198,879   -3,353    97.87 P  134,849     +883

DEC19 EURODLR    98.37 C  699,625   +6,715    97.25 P1,066,055     UNCH

DEC20 1Y-MIDC    98.87 C  192,722     UNCH    98.12 P  196,511     UNCH

DEC21 2Y-MIDC    98.50 C   88,855   +3,125    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   23,473     +221   129.50 P   87,676   -8,823

NOV19 10Y NOTE  130.00 C   48,400     +530   130.00 P   75,045   -2,279

DEC19 10Y NOTE  129.50 C   21,070      +73   129.50 P   72,086   +6,295

DEC19 10Y NOTE  130.00 C   54,055     +875   130.00 P   65,623     +893

NOV19 5Y NOTE   118.75 C    7,625       -2   118.75 P   37,190   -1,440

NOV19 5Y NOTE   119.00 C   29,819     +166   119.00 P   21,963   -5,764

DEC19 5Y NOTE   118.75 C    4,199     -436   118.75 P   43,037     +891

DEC19 5Y NOTE   119.00 C   14,802   +2,599   119.00 P   21,490   +2,408

NOV19 2Y NOTE   107.75 C    3,177       +1   107.75 P    5,919      -45

NOV19 2Y NOTE   107.88 C    7,168     -108   107.88 P    5,521     UNCH

DEC19 2Y NOTE   107.75 C    3,992       -3   107.75 P   16,677   +3,586

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

NOV19 EURODLR    98.00 C   95,783     UNCH    98.00 P  107,372     -999

NOV19 EURODLR    98.12 C  190,826     +600    98.12 P   39,532   +1,150

DEC19 EURODLR    98.00 C  349,408   -1,343    98.00 P  391,706   -5,010

DEC19 EURODLR    98.12 C  480,392     -887    98.12 P  189,547     +500

DEC20 1Y-MIDC    98.50 C   97,946     +594    98.50 P   52,498   -3,144

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

DEC21 2Y-MIDC    98.50 C   88,855   +3,125    98.50 P   43,182   +3,858

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

PUT/CALL RATIO FOR VOLUME CLEARED:

NOV19 10Y NOTE PUT/CALL RATIO   -- 1.35 (136,611 PUTS VS. 100,626 CALLS)

DEC19 10Y NOTE PUT/CALL RATIO   -- 1.25 (131,893 PUTS VS. 104,960 CALLS)

NOV19 5Y NOTE PUT/CALL RATIO    -- 1.62 (30,637 PUTS VS. 18,876 CALLS)

DEC19 5Y NOTE PUT/CALL RATIO    -- 0.56 (13,894 PUTS VS. 24,395 CALLS)

NOV19 2Y NOTE PUT/CALL RATIO    -- 0.06 (145 PUTS VS. 2,110 CALLS)

DEC19 2Y NOTE PUT/CALL RATIO    -- 3.86 (11,613 PUTS VS. 2,997 CALLS)

NOV19 EURODLRS PUT/CALL RATIO   -- 1.21 (23,301 PUTS VS. 19,216 CALLS)

DEC19 EURODLRS PUT/CALL RATIO   -- 0.16 (13,955 PUTS VS. 84,286 CALLS)

DEC20 1Y-MIDCRVE PUT/CALL RATIO -- 2.59 (27,274 PUTS VS. 10,545 CALLS)

DEC21 2Y-MIDCRVE PUT/CALL RATIO -- 1.67 (18,108 PUTS VS. 10,858 CALLS)

DEC22 3Y-MIDCRVE PUT/CALL RATIO -- 50.1 (501 PUTS VS. 10 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

1030        74.92    81.03    76.37    74.11    67.04     65.87

Tue Open    75.78    81.40    77.17    74.55    67.03     65.89

Mon 1500    76.03    82.25    78.09    75.39    67.52     66.29

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$]