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

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

             USX    USZ     TYV    TYZ     FVV    FVZ     EDX     EDZ

TUE 1500     N/A   8.83%    N/A   4.92%    N/A   3.27%   24.65%  26.85%

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

NOV19 10Y NOTE  132.00 C  108,770   -4,662   128.00 P  110,882     +185

DEC19 10Y NOTE  132.00 C  124,306   -2,002   128.00 P  136,809      +41

NOV19 5Y NOTE   120.50 C   82,546     UNCH   115.50 P   72,679     UNCH

DEC19 5Y NOTE   119.75 C   59,166   +1,817   118.25 P   52,260     +570

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

DEC19 2Y NOTE   108.00 C   18,076      +15   107.75 P   18,232   +1,555

NOV19 EURODLR    98.25 C  198,629     -250    97.87 P  135,599     +750

DEC19 EURODLR    98.37 C  697,234   -2,391    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     UNCH    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   22,360   -1,113   129.50 P   75,516  -12,160

NOV19 10Y NOTE  130.00 C   53,164   +4,764   130.00 P   71,800   -3,245

DEC19 10Y NOTE  129.50 C   20,059   -1,011   129.50 P   70,341   -1,845

DEC19 10Y NOTE  130.00 C   56,066   +2,011   130.00 P   65,036     -587

NOV19 5Y NOTE   118.75 C    7,756     +131   118.75 P   31,950   -5,240

NOV19 5Y NOTE   119.00 C   28,662   -1,157   119.00 P   20,601   -1,362

DEC19 5Y NOTE   118.75 C    6,058   +1,859   118.75 P   43,114      +77

DEC19 5Y NOTE   119.00 C   18,792   +3,990   119.00 P   21,219     -271

NOV19 2Y NOTE   107.75 C    3,371     +194   107.75 P    5,744     -175

NOV19 2Y NOTE   107.88 C    7,143      -25   107.88 P    5,521     UNCH

DEC19 2Y NOTE   107.75 C    6,651   +2,359   107.75 P   18,232   +1,555

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

NOV19 EURODLR    98.00 C   95,533     -250    98.00 P  109,294   +1,922

NOV19 EURODLR    98.12 C  190,826     UNCH    98.12 P   39,533       +1

DEC19 EURODLR    98.00 C  334,029  -15,379    98.00 P  388,691   -3,015

DEC19 EURODLR    98.12 C  475,000   -5,392    98.12 P  191,617   +2,070

DEC20 1Y-MIDC    98.50 C   97,946     UNCH    98.50 P   52,398     -100

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

DEC21 2Y-MIDC    98.50 C   88,855     UNCH    98.50 P   41,732   -1,450

DEC21 2Y-MIDC    98.62 C   62,686   -2,000    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     UNCH    98.62 P   18,440     UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

NOV19 10Y NOTE PUT/CALL RATIO   -- 1.12 (121,484 PUTS VS. 108,878 CALLS)

DEC19 10Y NOTE PUT/CALL RATIO   -- 0.91 (65,389 PUTS VS. 90,263 CALLS)

NOV19 5Y NOTE PUT/CALL RATIO    -- 0.91 (30,319 PUTS VS. 33,394 CALLS)

DEC19 5Y NOTE PUT/CALL RATIO    -- 0.61 (27,778 PUTS VS. 44,647 CALLS)

NOV19 2Y NOTE PUT/CALL RATIO    -- 2.53 (6,663 PUTS VS. 2,628 CALLS)

DEC19 2Y NOTE PUT/CALL RATIO    -- 1.00 (3,932 PUTS VS. 3,993 CALLS)

NOV19 EURODLRS PUT/CALL RATIO   -- 4.33 (9,169 PUTS VS. 2,154 CALLS)

DEC19 EURODLRS PUT/CALL RATIO   -- 0.20 (70,482 PUTS VS. 342,120 CALLS)

DEC20 1Y-MIDCRVE PUT/CALL RATIO -- 1.96 (18,957 PUTS VS. 9,655 CALLS)

DEC21 2Y-MIDCRVE PUT/CALL RATIO -- 19.5 (46,900 PUTS VS. 2,440 CALLS)

DEC22 3Y-MIDCRVE PUT/CALL RATIO -- 0.00 (1,500 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 1500    74.94    80.75    76.48    73.96    67.10     65.86

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

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

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