US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR OCT 23

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

            USX     USZ    TYX    TYZ    FVX    FVZ     EDX     EDZ

TUE OPEN   9.44%   7.56%  4.97%  3.72%  2.79%  2.33%  11.20%  10.46%

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% 

     LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

NOV18 10Y NOTE  119.00 C  113,834     +228   117.50 P  119,163  -1,147

DEC18 10Y NOTE  119.00 C  104,173   +2,010   116.50 P  183,081 +28,100

NOV18 5Y NOTE   112.75 C   35,718     +120   112.50 P   23,464      -5

DEC18 5Y NOTE   112.75 C   63,214   +1,476   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     UNCH    97.25 P  148,968    -439

DEC18 EURODLR    97.62 C  468,900     -781    97.25 P  640,512 -45,920

DEC19 1Y-MIDC    97.00 C  322,219   +5,600    96.75 P  592,843    +300

DEC20 2Y-MIDC    97.00 C  145,321     +366    96.87 P  293,621    UNCH

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

     NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

NOV18 10Y NOTE  120.00 C   86,284     -304   120.00 P   20,278     -17

NOV18 10Y NOTE  120.50 C   53,584     UNCH   120.50 P    8,056      +6

DEC18 10Y NOTE  120.00 C   78,541   +2,483   120.00 P   35,136      -1

DEC18 10Y NOTE  120.50 C   54,848     +335   120.50 P   19,863    UNCH

NOV18 5Y NOTE   113.50 C   24,204     UNCH   113.50 P    3,130      +5

NOV18 5Y NOTE   113.75 C   12,430     UNCH   113.75 P    1,910      -2

DEC18 5Y NOTE   113.50 C   53,918   -1,184   113.50 P    6,581    UNCH

DEC18 5Y NOTE   113.75 C   20,320     +732   113.75 P      387    UNCH

NOV18 2Y NOTE   105.62 C   19,757     UNCH   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     UNCH    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  438,581   +7,184    97.50 P  338,074  +1,300

DEC18 EURODLR    97.62 C  468,900     -781    97.62 P  193,088    UNCH

DEC19 1Y-MIDC    97.12 C  141,552      +19    97.12 P  111,765    UNCH

DEC19 1Y-MIDC    97.25 C  190,424     +400    97.25 P   85,510    UNCH

DEC20 2Y-MIDC    97.00 C  145,321     +366    97.00 P  252,283    UNCH

DEC20 2Y-MIDC    97.12 C   70,299     +400    97.12 P   42,633    UNCH  

DEC21 3Y-MIDC    96.87 C   50,637     UNCH    96.87 P   37,744    UNCH

DEC21 3Y-MIDC    97.00 C   53,815     UNCH    97.00 P  100,665    UNCH

     PUT/CALL RATIO FOR VOLUME CLEARED:

NOV18 10Y NOTE PUT/CALL RATIO  -- 0.78 (61,554 PUTS VS. 78,834 CALLS)

DEC18 10Y NOTE PUT/CALL RATIO  -- 1.83 (167,063 PUTS VS. 91,495 CALLS)

NOV18 5Y NOTE PUT/CALL RATIO   -- 0.24 (552 PUTS VS. 2,334 CALLS)

DEC18 5Y NOTE PUT/CALL RATIO   -- 0.36 (7,061 PUTS VS. 19,834 CALLS)

NOV18 2Y NOTE PUT/CALL RATIO   -- 26.6 (8,852 PUTS VS. 333 CALLS)

DEC18 2Y NOTE PUT/CALL RATIO   -- 0.22 (47 PUTS VS. 216 CALLS)

NOV18 EURODLRS PUT/CALL RATIO  -- 1.16 (6,669 PUTS VS. 5,762 CALLS)

DEC18 EURODLRS PUT/CALL RATIO  -- 1.30 (179,423 PUTS VS. 138,275 CALLS)

DEC19 1Y-MIDCRVE PUT/CALL RATIO-- 0.00 (0 PUTS VS. 28,250 CALLS)

DEC20 2Y-MIDCRVE PUT/CALL RATIO-- 3.41 (19,100 PUTS VS. 5,600 CALLS)

DEC21 3Y-MIDCRVE PUT/CALL RATIO-- 0.00 (0 PUTS VS. 0 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

TUE OPEN    43.84   57.49    54.50   57.86    70.17     75.21

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

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

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