US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR OCT 24

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

            USX     USZ    TYX    TYZ    FVX    FVZ     EDX     EDZ

WED 3:00   9.93%   7.88%  4.97%  4.12%  3.30%  2.56%  14.07%  13.06%

WED OPEN   8.67%   7.45%  4.49%  3.80%  3.04%  2.40%  11.19%  11.51%

TUE 3:00   8.05%   7.53%  4.36%  3.91%  2.58%  2.34%  12.02%  11.79%

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%

     LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

NOV18 10Y NOTE  119.00 C  130,463  +16,629   117.50 P  120,234  +1,071

DEC18 10Y NOTE  119.00 C  113,011   +8,838   117.50 P  190,063  +7,651

NOV18 5Y NOTE   112.75 C   39,242   +3,524   112.50 P   22,625    -839

DEC18 5Y NOTE   112.75 C   72,020   +8,806   107.25 P  246,719    UNCH

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

DEC18 2Y NOTE   105.50 C   25,620  +16,050   104.87 P   13,042    UNCH

NOV18 EURODLR    97.37 C  133,066   +8,600    97.25 P  146,818  -2,150

DEC18 EURODLR    97.62 C  471,900   +3,000    97.25 P  638,909  -1,603

DEC19 1Y-MIDC    97.00 C  389,671  +67,452    96.75 P  597,543  +4,700

DEC20 2Y-MIDC    97.00 C  143,715   -1,606    96.87 P  292,356  -1,265

DEC21 3Y-MIDC    97.50 C   66,997     +400    96.50 P  136,354    UNCH

     NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

NOV18 10Y NOTE  120.00 C   84,986   -1,298   120.00 P   20,267     -11

NOV18 10Y NOTE  120.50 C   53,584     UNCH   120.50 P    8,068     +12

DEC18 10Y NOTE  120.00 C  192,194 +113,653   120.00 P   35,078     +58

DEC18 10Y NOTE  120.50 C   56,444   +1,596   120.50 P   19,863    UNCH

NOV18 5Y NOTE   113.50 C   24,108      -96   113.50 P    3,138      +8

NOV18 5Y NOTE   113.75 C   12,252     -178   113.75 P    1,911      +1

DEC18 5Y NOTE   113.50 C   52,714   -1,204   113.50 P    6,716    +135

DEC18 5Y NOTE   113.75 C   21,056     +736   113.75 P      385      -2

NOV18 2Y NOTE   105.62 C   19,857     +100   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    7,487     +631   105.62 P      322    UNCH

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

NOV18 EURODLR    97.37 C  133,066   +8,600    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  438,869     +288    97.50 P  338,149     +75

DEC18 EURODLR    97.62 C  471,900   +3,000    97.62 P  193,088    UNCH

DEC19 1Y-MIDC    97.12 C  137,970   -3,582    97.12 P  111,920    +155

DEC19 1Y-MIDC    97.25 C  190,072     -352    97.25 P   85,510    UNCH

DEC20 2Y-MIDC    97.00 C  143,715   -1,606    97.00 P  253,708  +1,425

DEC20 2Y-MIDC    97.12 C   70,404     +105    97.12 P   42,633    UNCH  

DEC21 3Y-MIDC    96.87 C   49,161   -1,476    96.87 P   47,461  +9,717

DEC21 3Y-MIDC    97.00 C   54,065     +250    97.00 P  100,665    UNCH

     PUT/CALL RATIO FOR VOLUME CLEARED:

NOV18 10Y NOTE PUT/CALL RATIO  -- 0.57 (188,366 PUTS VS. 332,405 CALLS)

DEC18 10Y NOTE PUT/CALL RATIO  -- 0.36 (211,145 PUTS VS. 592,742 CALLS)

NOV18 5Y NOTE PUT/CALL RATIO   -- 0.25 (16,698 PUTS VS. 67,773 CALLS)

DEC18 5Y NOTE PUT/CALL RATIO   -- 2.43 (48,132 PUTS VS. 19,834 CALLS)

NOV18 2Y NOTE PUT/CALL RATIO   -- 2.41 (5,887 PUTS VS. 2,443 CALLS)

DEC18 2Y NOTE PUT/CALL RATIO   -- 0.09 (2,498 PUTS VS. 26,370 CALLS)

NOV18 EURODLRS PUT/CALL RATIO  -- 1.28 (28,350 PUTS VS. 22,225 CALLS)

DEC18 EURODLRS PUT/CALL RATIO  -- 0.87 (47,666 PUTS VS. 54,745 CALLS)

DEC19 1Y-MIDCRVE PUT/CALL RATIO-- 0.11 (23,490 PUTS VS. 215,927 CALLS)

DEC20 2Y-MIDCRVE PUT/CALL RATIO-- 1.75 (26,800 PUTS VS. 15,350 CALLS)

DEC21 3Y-MIDCRVE PUT/CALL RATIO-- 7.30 (47,800 PUTS VS. 6,550 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

WED 3:00    45.89   59.35    57.00   59.89    70.86     75.61

WED OPEN    44.50   57.75    55.17   58.48    70.60     75.49

TUE 3:00    44.45   59.30    55.11   58.51    70.64     75.41

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

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

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