US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR OCT 26

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

            USX     USZ    TYX    TYZ    FVX    FVZ     EDX     EDZ

FRI 3:00    N/A    7.81%   N/A   4.29%   N/A   2.73%  13.52%  13.25% 

FRI OPEN    N/A    7.88%   N/A   4.14%   N/A   2.75%  12.70%  12.07%

THU 3:00   8.84%   7.38%  4.66%  3.70%  3.11%  2.40%  12.10%  12.89%

THU OPEN   9.14%   7.98%  5.52%  4.03%  3.38%  2.48%  13.41%  12.58%

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%

     LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

NOV18 10Y NOTE  119.00 C  134,104   +1,692   117.50 P  115,289    +507

DEC18 10Y NOTE  120.00 C  194,847   +1,215   117.50 P  257,884 +59,482

NOV18 5Y NOTE   112.75 C   37,788   -2,756   112.00 P   21,350    +130

DEC18 5Y NOTE   112.75 C   78,577   +2,175   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   24,887     -750   104.87 P   13,450    +412

NOV18 EURODLR    97.37 C  154,167   +2,600    97.25 P  146,818  -2,150

DEC18 EURODLR    97.62 C  480,400   +9,750    97.25 P  638,909  -1,603

DEC19 1Y-MIDC    97.00 C  389,671  +67,452    96.75 P  623,543  +3,800

DEC20 2Y-MIDC    97.00 C  143,715   -1,606    96.62 P  297,883    +565

DEC21 3Y-MIDC    97.50 C   67,097     UNCH    96.62 P  138,848    -524

     NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

NOV18 10Y NOTE  120.00 C   77,074   -1,794   120.00 P   20,250      -7

NOV18 10Y NOTE  120.50 C   52,560     UNCH   120.50 P    8,069      +1

DEC18 10Y NOTE  120.00 C  194,847   +1,215   120.00 P   34,311     +45

DEC18 10Y NOTE  120.50 C   74,190   +6,800   120.50 P   19,863    UNCH

NOV18 5Y NOTE   113.50 C   24,648     +177   113.50 P    3,138    UNCH

NOV18 5Y NOTE   113.75 C   11,536     UNCH   113.75 P    1,911    UNCH

DEC18 5Y NOTE   113.50 C   53,527      +10   113.50 P    6,716    UNCH

DEC18 5Y NOTE   113.75 C   21,608   +1,163   113.75 P      386      +3

NOV18 2Y NOTE   105.62 C   20,426     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    9,587     +750   105.62 P      322    UNCH

DEC18 2Y NOTE   106.75 C   14,844      -99   106.75 P      251    UNCH

NOV18 EURODLR    97.37 C  154,167   +2,600    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  448,354   +7,469    97.50 P  334,977    +198

DEC18 EURODLR    97.62 C  480,400   +9,750    97.62 P  193,015    UNCH

DEC19 1Y-MIDC    97.12 C  165,715  +22,545    97.12 P  111,920    UNCH

DEC19 1Y-MIDC    97.25 C  196,992   +5,601    97.25 P   85,483     -27

DEC20 2Y-MIDC    97.00 C  177,806  +29,067    97.00 P  253,708    UNCH

DEC20 2Y-MIDC    97.12 C  114,170  +32,266    97.12 P   42,633    UNCH  

DEC21 3Y-MIDC    96.87 C   49,921       +3    96.87 P   47,724     +13

DEC21 3Y-MIDC    97.00 C   54,571     +381    97.00 P  100,665    UNCH

     PUT/CALL RATIO FOR VOLUME CLEARED:

NOV18 10Y NOTE PUT/CALL RATIO  -- 0.54 (85,713 PUTS VS. 158,594 CALLS)

DEC18 10Y NOTE PUT/CALL RATIO  -- 1.91 (365,208 PUTS VS. 191,193 CALLS)

NOV18 5Y NOTE PUT/CALL RATIO   -- 0.96 (19,866 PUTS VS. 20,733 CALLS)

DEC18 5Y NOTE PUT/CALL RATIO   -- 0.56 (38,001 PUTS VS. 68,034 CALLS)

NOV18 2Y NOTE PUT/CALL RATIO   -- 0.25 (346 PUTS VS. 1,368 CALLS)

DEC18 2Y NOTE PUT/CALL RATIO   -- 0.16 (1,100 PUTS VS. 7,094 CALLS)

NOV18 EURODLRS PUT/CALL RATIO  -- 1.75 (11,050 PUTS VS. 6,300 CALLS)

DEC18 EURODLRS PUT/CALL RATIO  -- 0.31 (28,279 PUTS VS. 90,223 CALLS)

DEC19 1Y-MIDCRVE PUT/CALL RATIO-- 0.04 (4,850 PUTS VS. 123,350 CALLS)

DEC20 2Y-MIDCRVE PUT/CALL RATIO-- 0.35 (52,499 PUTS VS. 150,793 CALLS)

DEC21 3Y-MIDCRVE PUT/CALL RATIO-- 1.00 (3,100 PUTS VS. 3,100 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

FRI 3:00    48.68   61.71    60.36   61.46    71.49     76.13

FRI OPEN    47.29   61.07    59.46   61.02    71.14     75.85

THU 3:00    46.77   58.86    57.78   60.29    70.94     75.80

THU OPEN    46.29   61.81    58.16   61.03    71.12     75.74

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

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

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