US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR OCT 28

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

             USZ    USF     TYZ    TYF     FVZ    FVF     EDX     EDZ

1200        8.27%  8.07%   4.56%  4.50%   2.97%  2.95%   21.15%  25.15%

0945        8.14%  7.93%   4.51%  4.45%   2.96%  2.99%   22.35%  23.95%

MON OPEN    8.05%  7.88%   4.47%  4.41%   2.95%  2.98%   22.00%  24.15%

FRI 1500    7.86%   N/A    4.40%   N/A    2.86%   N/A    21.40%  24.65%

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

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

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

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

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

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

TUE OPEN    8.94%   N/A    5.04%   N/A    3.33%   N/A    24.22%  26.43%

MON 1500    9.18%   N/A    5.15%   N/A    3.41%   N/A    24.05%  25.74%

MON OPEN    9.27%   N/A    5.12%   N/A    3.45%   N/A    25.90%  26.60%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

DEC19 10Y NOTE  132.00 C  154,545   +9,149   128.00 P  142,453  +10,978

JAN20 10Y NOTE  132.00 C   23,052     +960   126.50 P   14,417     -165

DEC19 5Y NOTE   119.50 C   63,054  +17,300   118.00 P   54,377  +31,443

JAN20 5Y NOTE   119.75 C    7,575     +372   111.50 P    5,786     UNCH

DEC19 2Y NOTE   108.00 C   29,078  +11,020   107.75 P   22,694   +2,700

JAN20 2Y NOTE   108.12 C      200     UNCH   105.62 P    3,692   +1,155

NOV19 EURODLR    98.12 C  183,946   -4,130    97.87 P  153,436     UNCH

DEC19 EURODLR    98.37 C  689,534  +15,766    97.25 P1,066,055     UNCH

DEC20 1Y-MIDC    98.87 C  192,861     +435    98.12 P  196,274     -704

DEC21 2Y-MIDC    98.50 C   91,885     -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

DEC19 10Y NOTE  129.00 C   12,415     +159   129.00 P   80,610   +4,386

DEC19 10Y NOTE  129.50 C   24,655   +4,288   129.50 P   67,912   +2,401

JAN20 10Y NOTE  129.00 C      163     UNCH   129.00 P    4,277   +1,346

JAN20 10Y NOTE  129.50 C    4,612   +2,447   129.50 P    8,560   +2,578

DEC19 5Y NOTE   118.50 C    1,504     UNCH   118.50 P   21,368   +2,562

DEC19 5Y NOTE   118.75 C   11,393   +5,274   118.75 P   41,529     -502

JAN20 5Y NOTE   119.00 C      266     +198   119.00 P      248     +175

JAN20 5Y NOTE   119.25 C    5,145       -6   119.25 P    5,290       -6

DEC19 2Y NOTE   107.50 C    1,136     UNCH   107.50 P   22,694   +2,700

DEC19 2Y NOTE   107.62 C      605     +176   107.62 P    3,121     UNCH

JAN20 2Y NOTE   107.75 C        0     UNCH   107.75 P        3     UNCH

JAN20 2Y NOTE   107.88 C       76      +75   107.88 P       78      +75

NOV19 EURODLR    98.00 C   87,143   -1,490    98.00 P  121,440       +2

NOV19 EURODLR    98.12 C  183,946   -4,130    98.12 P   41,910     +150

DEC19 EURODLR    98.00 C  333,434   +1,501    98.00 P  399,141     UNCH

DEC19 EURODLR    98.12 C  467,951      -76    98.12 P  192,421     -110

DEC20 1Y-MIDC    98.50 C   91,238   -3,647    98.50 P   97,312   +3,886

DEC20 1Y-MIDC    98.62 C  127,749   +6,755    98.62 P   51,718       +5

DEC21 2Y-MIDC    98.50 C   91,885     -150    98.50 P   49,424   +1,615

DEC21 2Y-MIDC    98.62 C   58,957   -2,000    98.62 P   21,340     UNCH

DEC22 3Y-MIDC    98.50 C   33,851     -600    98.50 P   13,512     UNCH

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

PUT/CALL RATIO FOR VOLUME CLEARED:

DEC19 10Y NOTE PUT/CALL RATIO   -- 0.90 (168,827 PUTS VS. 187,166 CALLS)

JAN20 10Y NOTE PUT/CALL RATIO   -- 1.72 (31,125 PUTS VS. 18,444 CALLS)

DEC19 5Y NOTE PUT/CALL RATIO    -- 1.43 (208,278 PUTS VS. 145,954 CALLS)

JAN20 5Y NOTE PUT/CALL RATIO    -- 6.16 (11,134 PUTS VS. 1,798 CALLS)

DEC19 2Y NOTE PUT/CALL RATIO    -- 0.62 (13,727 PUTS VS. 22,244 CALLS)

JAN20 2Y NOTE PUT/CALL RATIO    -- 6.29 (1,234 PUTS VS. 196 CALLS)

NOV19 EURODLRS PUT/CALL RATIO   -- 0.34 (16,187 PUTS VS. 46,730 CALLS)

DEC19 EURODLRS PUT/CALL RATIO   -- 0.08 (12,483 PUTS VS. 151,048 CALLS)

DEC20 1Y-MIDCRVE PUT/CALL RATIO -- 0.49 (73,411 PUTS VS. 147,729 CALLS)

DEC21 2Y-MIDCRVE PUT/CALL RATIO -- 2.29 (14,248 PUTS VS. 6,200 CALLS)

DEC22 3Y-MIDCRVE PUT/CALL RATIO -- 14.9 (17,950 PUTS VS. 1,200 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

1215        67.76    70.81    69.43    67.97    65.56     65.03

0945        67.72    69.76    68.89    67.68    65.66     64.98

Mon Open    67.85    69.45    68.55    67.55    65.90     64.94

Fri 1500    68.33    68.28    68.05    67.23    66.06     64.92

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

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

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