US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR OCT 3

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

             USX    USZ     TYV    TYZ     FVV    FVZ     EDV     EDZ

1300        9.20%  9.23%   5.04%  5.11%   3.45%  3.43%   35.90%  35.20%

1145        9.60%  9.52%   5.18%  5.31%   3.60%  3.53%   40.10%  36.55%

1015        9.71%  9.59%   5.24%  5.33%   3.67%  3.55%   41.17%  37.85%

THU OPEN   10.01%  9.70%   5.20%  5.30%   3.58%  3.50%   39.10%  36.80%

WED 1500   10.08%  9.79%   5.33%  5.31%   3.65%  3.54%   39.36%  36.88%

WED OPEN   10.22%  9.88%   5.49%  5.33%   3.70%  3.52%   40.15%  34.80%

TUE 1500   10.10%  9.70%   5.31%  5.25%   3.47%  3.38%   31.50%  30.05%

TUE OPEN    9.68%  9.36%   5.12%  4.96%   3.35%  3.27%   27.70%  28.13%

MON 1500    9.68%  9.36%   5.12%  4.96%   3.35%  3.27%   27.70%  28.13%

MON OPEN    9.75%  9.40%   5.17%  4.97%   3.45%  3.30%   27.85%  28.45%

FRI 1500    9.60%  9.31%   5.06%  4.97%   3.37%  3.26%   25.01%  28.32%

FRI OPEN    9.68%  9.41%   4.99%  4.94%   3.35%  3.27%   25.99%  27.70%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

NOV19 10Y NOTE  132.00 C   94,211  -13,114   128.00 P  133,217   +1,492

DEC19 10Y NOTE  132.00 C  100,800   +1,489   128.00 P   62,253   -4,672

NOV19 5Y NOTE   119.75 C   37,798     +435   115.50 P   72,691   -1,482

DEC19 5Y NOTE   119.75 C   77,440     -255   109.00 P   48,347     UNCH

NOV19 2Y NOTE   108.25 C   15,236   +6,741   107.50 P   15,362      +76

DEC19 2Y NOTE   107.88 C   11,764   +2,000   105.75 P    5,400     UNCH

OCT19 EURODLR    98.25 C  438,520  -33,500    98.00 P  193,723   -1,110

DEC19 EURODLR    98.25 C  590,275  -14,506    97.25 P1,067,355     UNCH

DEC20 1Y-MIDC    98.87 C  190,489     -754    98.00 P  203,489     UNCH

DEC21 2Y-MIDC    98.50 C   87,196     UNCH    97.37 P  125,829     UNCH

DEC22 3Y-MIDC    97.37 C   55,298     -720    97.37 P   64,958     UNCH

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

NOV19 10Y NOTE  129.00 C   16,969     UNCH   129.00 P  115,414   -1,501

NOV19 10Y NOTE  129.50 C   20,839     -152   129.50 P   78,687   +7,060

DEC19 10Y NOTE  129.00 C   11,220      +22   129.00 P   48,182   +2,736

DEC19 10Y NOTE  129.50 C   20,483     +573   129.50 P   40,418   -1,586

NOV19 5Y NOTE   118.25 C    1,757     UNCH   118.25 P   67,002   +2,074

NOV19 5Y NOTE   118.50 C   11,973       +1   118.50 P   45,048   -3,035

DEC19 5Y NOTE   118.25 C      223       +5   118.25 P   18,599      -67

DEC19 5Y NOTE   118.50 C    1,637       -6   118.50 P   13,299     +634

NOV19 2Y NOTE   107.50 C    1,887       -1   107.50 P   15,362      +76

NOV19 2Y NOTE   107.62 C    3,301   +1,000   107.62 P    4,634   +1,085

DEC19 2Y NOTE   107.50 C    1,039       -5   107.50 P    1,912      -84

DEC19 2Y NOTE   107.62 C      326      -36   107.62 P    1,929     -343

OCT19 EURODLR    98.00 C  114,456     -561    98.00 P  193,723   -1,110

OCT19 EURODLR    98.12 C  122,794   +8,441    98.12 P  105,548   -2,900

DEC19 EURODLR    98.00 C  366,518   -9,220    98.00 P  344,139  +27,243

DEC19 EURODLR    98.12 C  465,060   +5,922    98.12 P  155,421  +20,552

DEC20 1Y-MIDC    98.50 C   91,722     UNCH    98.50 P   52,175   -2,300

DEC20 1Y-MIDC    98.62 C   96,769     UNCH    98.62 P   44,043     UNCH

DEC21 2Y-MIDC    98.50 C   87,196     UNCH    98.50 P   33,170      -66

DEC21 2Y-MIDC    98.62 C   60,761     UNCH    98.62 P   19,978   +1,321

DEC22 3Y-MIDC    98.50 C   34,602     UNCH    98.50 P   17,000     UNCH

DEC22 3Y-MIDC    98.62 C   24,673     UNCH    98.62 P   20,740   +3,775

PUT/CALL RATIO FOR VOLUME CLEARED:

NOV19 10Y NOTE PUT/CALL RATIO   -- 0.48 (121,003 PUTS VS. 249,749 CALLS)

DEC19 10Y NOTE PUT/CALL RATIO   -- 1.13 (74,739 PUTS VS. 65,875 CALLS)

NOV19 5Y NOTE PUT/CALL RATIO    -- 1.65 (58,367 PUTS VS. 35,226 CALLS)

DEC19 5Y NOTE PUT/CALL RATIO    -- 0.12 (18,636 PUTS VS. 140,227 CALLS)

NOV19 2Y NOTE PUT/CALL RATIO    -- 0.19 (6,021 PUTS VS. 31,195 CALLS)

DEC19 2Y NOTE PUT/CALL RATIO    -- 0.44 (8,654 PUTS VS. 19,425 CALLS)

OCT19 EURODLRS PUT/CALL RATIO   -- 0.17 (45,202 PUTS VS. 257,984 CALLS)

DEC19 EURODLRS PUT/CALL RATIO   -- 0.43 (310,738 PUTS VS. 717,698 CALLS)

DEC20 1Y-MIDCRVE PUT/CALL RATIO -- 1.26 (19,150 PUTS VS. 15,350 CALLS)

DEC21 2Y-MIDCRVE PUT/CALL RATIO -- 0.73 (22,327 PUTS VS. 30,612 CALLS)

DEC22 3Y-MIDCRVE PUT/CALL RATIO -- 0.80 (4,000 PUTS VS. 5,000 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

1300        82.90    88.35    81.96    78.50    69.27     68.30

1145        81.81    88.63    81.83    79.41    69.66     68.56

1015        82.55    90.25    82.60    80.88    69.80     68.69

Thu Open    81.50    89.70    82.34    80.30    69.60     68.21

Wed 1500    80.60    89.82    82.36    80.33    69.65     68.25

Wed Open    79.15    87.94    80.51    79.15    68.67     67.83

Tue 1500    79.07    81.24    79.62    79.18    68.63     67.78

Tue Open    74.33    80.43    75.97    76.28    68.26     67.44

Mon 1500    74.33    80.43    75.97    76.28    68.26     67.44

Mon Open    74.85    81.48    76.98    76.97    68.35     67.50

Fri 1500    74.70    81.03    77.01    76.97    68.35     67.49

Fri Open    75.01    81.44    77.20    77.01    68.13     67.19

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

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