US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR OCT 25

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

             USX    USZ     TYV    TYZ     FVV    FVZ     EDX     EDZ

0930         N/A   7.88%    N/A   4.41%    N/A   2.90%   21.20%  23.30%

FRI OPEN     N/A   7.97%    N/A   4.49%    N/A   2.93%   21.25%  24.75%

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

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

NOV19 10Y NOTE  132.00 C  109,020     UNCH   128.00 P  111,224     +784

DEC19 10Y NOTE  132.00 C  145,396  +10,980   128.00 P  131,475   +4,575

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

DEC19 5Y NOTE   119.75 C   59,371     +203   118.25 P   52,839     +229

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

DEC19 2Y NOTE   108.00 C   18,058      -13   107.75 P   19,994   +2,059

NOV19 EURODLR    98.12 C  188,076     UNCH    97.87 P  153,436  +11,000

DEC19 EURODLR    98.37 C  673,768  -23,926    97.25 P1,066,055     UNCH

DEC20 1Y-MIDC    98.87 C  192,426     UNCH    98.12 P  196,976     +215

DEC21 2Y-MIDC    98.50 C   92,035   +3,150    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   17,378   -2,421   129.50 P   75,807   +6,019

NOV19 10Y NOTE  130.00 C   45,674   -4,094   130.00 P   67,668   -1,950

DEC19 10Y NOTE  129.50 C   20,367     +419   129.50 P   65,511   -5,403

DEC19 10Y NOTE  130.00 C   64,588   +8,491   130.00 P   69,032     +881

NOV19 5Y NOTE   118.75 C    3,704     UNCH   118.75 P   27,359   -1,674

NOV19 5Y NOTE   119.00 C   29,889     +383   119.00 P   18,089     -746

DEC19 5Y NOTE   118.75 C    6,119       +2   118.75 P   42,031     +529

DEC19 5Y NOTE   119.00 C   31,917   +2,683   119.00 P   30,724   +1,556

NOV19 2Y NOTE   107.75 C    2,801     -620   107.75 P    4,922     -822

NOV19 2Y NOTE   107.88 C    7,115      -28   107.88 P    5,152     -339

DEC19 2Y NOTE   107.75 C    6,806     +455   107.75 P   19,994   +2,059

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

NOV19 EURODLR    98.00 C   88,633     UNCH    98.00 P  121,438  +11,673

NOV19 EURODLR    98.12 C  188,076     UNCH    98.12 P   41,760     +178

DEC19 EURODLR    98.00 C  331,933     +501    98.00 P  399,141     UNCH

DEC19 EURODLR    98.12 C  468,027   -1,520    98.12 P  192,531   -2,583

DEC20 1Y-MIDC    98.50 C   94,885   +2,037    98.50 P   93,426  +41,528

DEC20 1Y-MIDC    98.62 C  120,994  +41,136    98.62 P   51,713     UNCH

DEC21 2Y-MIDC    98.50 C   92,035   +3,150    98.50 P   47,809   +6,077

DEC21 2Y-MIDC    98.62 C   60,957   -1,729    98.62 P   21,340     UNCH

DEC22 3Y-MIDC    98.50 C   34,451     -151    98.50 P   13,512     +462

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

PUT/CALL RATIO FOR VOLUME CLEARED:

NOV19 10Y NOTE PUT/CALL RATIO   -- 1.11 (118,984 PUTS VS. 106,911 CALLS)

DEC19 10Y NOTE PUT/CALL RATIO   -- 0.94 (111,698 PUTS VS. 118,421 CALLS)

NOV19 5Y NOTE PUT/CALL RATIO    -- 0.71 (11,396 PUTS VS. 15,848 CALLS)

DEC19 5Y NOTE PUT/CALL RATIO    -- 0.43 (19,639 PUTS VS. 43,315 CALLS)

NOV19 2Y NOTE PUT/CALL RATIO    -- 4.98 (4,248 PUTS VS. 853 CALLS)

DEC19 2Y NOTE PUT/CALL RATIO    -- 3.36 (11,178 PUTS VS. 3,357 CALLS)

NOV19 EURODLRS PUT/CALL RATIO   -- 0.99 (40,296 PUTS VS. 40,544 CALLS)

DEC19 EURODLRS PUT/CALL RATIO   -- 0.13 (29,571 PUTS VS. 218,938 CALLS)

DEC20 1Y-MIDCRVE PUT/CALL RATIO -- 0.93 (153,432 PUTS VS. 163,030 CALLS)

DEC21 2Y-MIDCRVE PUT/CALL RATIO -- 4.12 (72,602 PUTS VS. 17,600 CALLS)

DEC22 3Y-MIDCRVE PUT/CALL RATIO -- 1.00 (512 PUTS VS. 512 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

0930        70.28    70.44    71.81    68.72    66.27     65.00

Fri Open    72.17    70.73    72.32    68.84    66.36     65.30

Thu 1500    72.94    70.68    72.09    69.38    66.72     65.51

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

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

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