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

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

             USX    USZ     TYV    TYZ     FVV    FVZ     EDX     EDZ

THU 1500     N/A   8.12%    N/A   4.54%    N/A   3.05%   21.95%  25.00%

1000         N/A   8.16%    N/A   4.70%    N/A   3.09%   21.05%  24.70%

THU OPEN     N/A   8.10%    N/A   4.69%    N/A   3.12%   23.05%  26.90%

WED 1500     N/A   8.43%    N/A   4.80%    N/A   3.18%   22.75%  25.77%

WED OPEN     N/A   8.58%    N/A   4.94%    N/A   3.25%   24.30%  26.10%

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

NOV19 10Y NOTE  132.00 C  109,020     +250   128.00 P  110,440     -442

DEC19 10Y NOTE  132.00 C  134,574  +10,168   128.00 P  126,900   -9,909

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

DEC19 5Y NOTE   119.75 C   59,168       +2   118.25 P   52,610     +350

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

DEC19 2Y NOTE   108.00 C   18,071       -5   107.75 P   17,935     -297

NOV19 EURODLR    98.25 C  188,933   -9,696    97.87 P  142,436   +6,837

DEC19 EURODLR    98.37 C  697,694     +460    97.25 P1,066,055     UNCH

DEC20 1Y-MIDC    98.87 C  192,426     -346    98.12 P  196,761     +250

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   19,799   -2,561   129.50 P   69,611   -5,905

NOV19 10Y NOTE  130.00 C   49,769   -3,395   130.00 P   69,618   -2,182

DEC19 10Y NOTE  129.50 C   19,948     -111   129.50 P   71,017     +513

DEC19 10Y NOTE  130.00 C   56,097      +31   130.00 P   68,151   +3,115

NOV19 5Y NOTE   118.75 C    3,704   -4,052   118.75 P   29,033   -2,917

NOV19 5Y NOTE   119.00 C   29,506     +844   119.00 P   18,835   -1,766

DEC19 5Y NOTE   118.75 C    6,117      +59   118.75 P   41,502   -1,612

DEC19 5Y NOTE   119.00 C   29,234  +10,442   119.00 P   29,168   +7,949

NOV19 2Y NOTE   107.75 C    3,421      +50   107.75 P    5,744     UNCH

NOV19 2Y NOTE   107.88 C    7,143     UNCH   107.88 P    5,491      -30

DEC19 2Y NOTE   107.75 C    6,351     UNCH   107.75 P   17,935     -297

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

NOV19 EURODLR    98.00 C   88,633   -6,900    98.00 P  109,765     +471

NOV19 EURODLR    98.12 C  188,076   -2,750    98.12 P   41,582   +2,049

DEC19 EURODLR    98.00 C  331,432   -2,597    98.00 P  399,141  +10,450

DEC19 EURODLR    98.12 C  469,547   -5,453    98.12 P  195,114   +3,497

DEC20 1Y-MIDC    98.50 C   92,848   -5,098    98.50 P   51,898     -500

DEC20 1Y-MIDC    98.62 C   79,858   -1,336    98.62 P   51,713     UNCH

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

DEC21 2Y-MIDC    98.62 C   62,686     UNCH    98.62 P   21,340     UNCH

DEC22 3Y-MIDC    98.50 C   34,602     UNCH    98.50 P   13,050   +1,300

DEC22 3Y-MIDC    98.62 C   31,927   +4,150    98.62 P   18,440     UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

NOV19 10Y NOTE PUT/CALL RATIO   -- 0.80 (92,706 PUTS VS. 115,858 CALLS)

DEC19 10Y NOTE PUT/CALL RATIO   -- 0.43 (88,221 PUTS VS. 202,386 CALLS)

NOV19 5Y NOTE PUT/CALL RATIO    -- 1.52 (38,190 PUTS VS. 25,009 CALLS)

DEC19 5Y NOTE PUT/CALL RATIO    -- 0.99 (45,976 PUTS VS. 46,003 CALLS)

NOV19 2Y NOTE PUT/CALL RATIO    -- 0.45 (160 PUTS VS. 350 CALLS)

DEC19 2Y NOTE PUT/CALL RATIO    -- 3.02 (1,540 PUTS VS. 509 CALLS)

NOV19 EURODLRS PUT/CALL RATIO   -- 0.62 (23,886 PUTS VS. 38,062 CALLS)

DEC19 EURODLRS PUT/CALL RATIO   -- 1.13 (33,560 PUTS VS. 29,315 CALLS)

DEC20 1Y-MIDCRVE PUT/CALL RATIO -- 0.76 (24,217 PUTS VS. 32,011 CALLS)

DEC21 2Y-MIDCRVE PUT/CALL RATIO -- 5.11 (9,279 PUTS VS. 1,859 CALLS)

DEC22 3Y-MIDCRVE PUT/CALL RATIO -- 0.38 (7,500 PUTS VS. 19,781 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

Thu 1500    72.94    70.68    72.09    69.38    66.72     65.51

1215        72.31    71.50    72.33    70.17    66.43     65.45

1000        72.31    74.03    73.57    70.94    66.82     65.70

Thu Open    73.20    74.92    74.25    71.52    67.06     65.93

Wed 1500    73.46    75.59    74.71    72.23    67.04     65.88

Wed Open    74.61    78.82    75.86    73.63    67.14     65.89

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

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

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