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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
1345        8.22%  8.07%   4.57%  4.46%   2.94%  2.91%   22.00%  23.73%
1215        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
1345        67.16    70.76    68.94    68.16    65.54     65.00
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$]

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