US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR OCT 30

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

             USZ    USF     TYZ    TYF     FVZ    FVF     EDX     EDZ

1130        8.15%  8.00%   4.45%  4.39%   2.95%  2.84%   20.85%  23.55%

WED OPEN    8.05%  7.98%   4.40%  4.30%   2.90%  2.81%   20.40%  23.35%

TUE 1500    8.11%  8.04%   4.50%  4.46%   2.93%  2.90%   22.50%  23.90%

TUE OPEN    8.30%  8.05%   4.63%  4.48%   3.00%  2.90%   20.45%  25.43%

MON 1500    8.33%  8.10%   4.55%  4.53%   2.97%  2.91%   20.50%  24.70%

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

DEC19 10Y NOTE  132.00 C  182,839   +2,123   128.00 P  149,874   +1,629

JAN20 10Y NOTE  131.50 C   56,537   +4,400   127.50 P   20,463   +5,293

DEC19 5Y NOTE   119.50 C   71,065   +5,795   116.00 P  114,246  +26,400

JAN20 5Y NOTE   119.50 C   25,432   +2,016   118.00 P    8,551     +229

DEC19 2Y NOTE   108.00 C   29,128      +50   106.75 P   27,595  +12,400

JAN20 2Y NOTE   108.12 C      241      +41   105.62 P    3,692     UNCH

NOV19 EURODLR    98.12 C  176,961   -1,145    97.87 P  168,582  +19,972

DEC19 EURODLR    98.37 C  672,554   -5,340    97.25 P1,066,055     UNCH

DEC20 1Y-MIDC    98.87 C  192,466     UNCH    98.12 P  196,574     +300

DEC21 2Y-MIDC    98.50 C   91,885     UNCH    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   14,082     -104   129.00 P   85,650   +1,623

DEC19 10Y NOTE  129.50 C   25,265     +885   129.50 P   65,301     +219

JAN20 10Y NOTE  129.00 C    7,637   +2,064   129.00 P    9,088   +2,621

JAN20 10Y NOTE  129.50 C    6,939   +1,489   129.50 P    8,917     +603

DEC19 5Y NOTE   118.50 C    6,485   +2,305   118.50 P   21,430      +49

DEC19 5Y NOTE   118.75 C   13,216   +1,523   118.75 P   40,910      +27

JAN20 5Y NOTE   119.00 C    3,000   +2,752   119.00 P      248     UNCH

JAN20 5Y NOTE   119.25 C    5,241     UNCH   119.25 P    5,290     UNCH

DEC19 2Y NOTE   107.50 C    1,172     UNCH   107.50 P   23,125     UNCH

DEC19 2Y NOTE   107.62 C    1,677      +48   107.62 P    1,871      -25

JAN20 2Y NOTE   107.75 C       78     UNCH   107.75 P      701     +500

JAN20 2Y NOTE   107.88 C        6     UNCH   107.88 P       78     UNCH

NOV19 EURODLR    98.00 C   79,128   -1,265    98.00 P  155,502  +33,970

NOV19 EURODLR    98.12 C  176,961   -1,145    98.12 P   44,683      -52

DEC19 EURODLR    98.00 C  334,028     +575    98.00 P  398,564   -6,525

DEC19 EURODLR    98.12 C  451,841   +3,996    98.12 P  201,693   +3,550

DEC20 1Y-MIDC    98.50 C   91,258      +20    98.50 P   96,312     UNCH

DEC20 1Y-MIDC    98.62 C  129,874     -300    98.62 P   51,718     UNCH

DEC21 2Y-MIDC    98.50 C   91,885     UNCH    98.50 P   49,424     UNCH

DEC21 2Y-MIDC    98.62 C   58,807     UNCH    98.62 P   21,340     UNCH

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

DEC22 3Y-MIDC    98.62 C   31,427     -500    98.62 P   18,440     UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

DEC19 10Y NOTE PUT/CALL RATIO   -- 1.11 (122,543 PUTS VS. 109,357 CALLS)

JAN20 10Y NOTE PUT/CALL RATIO   -- 0.83 (35,704 PUTS VS. 42,941 CALLS)

DEC19 5Y NOTE PUT/CALL RATIO    -- 0.93 (72,059 PUTS VS. 77,368 CALLS)

JAN20 5Y NOTE PUT/CALL RATIO    -- 0.42 (4,601 PUTS VS. 10,816 CALLS)

DEC19 2Y NOTE PUT/CALL RATIO    -- 7.55 (15,167 PUTS VS. 2,084 CALLS)

JAN20 2Y NOTE PUT/CALL RATIO    -- 29.5 (1,537 PUTS VS. 52 CALLS)

NOV19 EURODLRS PUT/CALL RATIO   -- 1.10 (74,128 PUTS VS. 67,870 CALLS)

DEC19 EURODLRS PUT/CALL RATIO   -- 0.26 (71,140 PUTS VS. 265,298 CALLS)

DEC20 1Y-MIDCRVE PUT/CALL RATIO -- 1.95 (19,505 PUTS VS. 10,920 CALLS)

DEC21 2Y-MIDCRVE PUT/CALL RATIO -- 0.38 (3,501 PUTS VS. 9,250 CALLS)

DEC22 3Y-MIDCRVE PUT/CALL RATIO -- 4.59 (23,911 PUTS VS. 5,250 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

1130        65.92    69.34    68.23    67.49    65.19     64.10

Wed Open    65.85    69.20    68.10    67.35    65.15     64.09

Tue 1500    66.24    70.03    68.61    67.94    65.48     64.32

Tue Open    67.07    71.10    68.96    68.02    65.45     64.26

Mon 1500    67.09    70.77    68.92    68.17    65.53     65.02

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

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

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