US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR OCT 31

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

            USZ     USH    TYZ    TYH    FVZ    FVH     EDX     EDZ

WED 3:00   7.88%   7.65%  4.15%  4.04%  2.58%  2.56%   13.09%  14.12%

WED OPEN   8.07%   7.52%  4.20%  3.98%  2.68%  2.58%   12.96%  13.03%

TUE 3:00   8.26%   7.63%  4.37%  4.07%  2.79%  2.64%   14.10%  12.57%

TUE OPEN    N/A     N/A    N/A    N/A    N/A    N/A     N/A     N/A

MON 3:00    N/A     N/A    N/A    N/A    N/A    N/A     N/A     N/A

MON OPEN    N/A     N/A    N/A    N/A    N/A    N/A     N/A     N/A

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

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

THU 3:00   7.38%    N/A   3.70%   N/A   2.40%   N/A    12.10%  12.89%

THU OPEN   7.98%    N/A   3.38%   N/A   2.48%   N/A    13.41%  12.58%

     LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

DEC18 10Y NOTE  120.00 C  250,250  +20,795   117.50 P  245,074  +9,339

MAR19 10Y NOTE  119.50 C    7,163       -1   116.00 P   18,592    +441

DEC18 5Y NOTE   112.75 C   72,929   -5,182   107.25 P  246,719    UNCH

MAR19 5Y NOTE   112.50 C    2,429     +424   113.00 C    2,158    UNCH

DEC18 2Y NOTE   105.50 C   22,144     UNCH   104.87 P   13,470     +20

MAR19 2Y NOTE   105.87 C    2,000       -1   105.75 P       14    UNCH

NOV18 EURODLR    97.37 C  138,646   +8,000    97.25 P  142,130  -1,000

DEC18 EURODLR    97.62 C  480,450     UNCH    97.25 P  580,936 -23,053

DEC19 1Y-MIDC    97.00 C  434,003     +843    96.75 P  617,627  -1,000

DEC20 2Y-MIDC    97.00 C  167,323     +650    96.87 P  300,167 +10,200

DEC21 3Y-MIDC    97.50 C   67,098     UNCH    96.62 P  142,469  +3,496

     NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

DEC18 10Y NOTE  120.00 C  250,250  +20,795   120.00 P   33,669    -712

DEC18 10Y NOTE  120.50 C  105,253     +643   120.50 P   19,869    UNCH

MAR19 10Y NOTE  120.00 C    6,889      +35   120.00 P        9      -1

MAR19 10Y NOTE  120.50 C    5,409      -20   120.50 P        1      +1

DEC18 5Y NOTE   113.50 C   44,339   -1,600   113.50 P    6,819      +2

DEC18 5Y NOTE   113.75 C   20,904   -1,141   113.75 P      394    UNCH

MAR19 5Y NOTE   113.50 C      741     UNCH   113.50 P        0    UNCH

MAR19 5Y NOTE   113.75 C      860     UNCH   113.75 P        0    UNCH

DEC18 2Y NOTE   105.62 C   10,286     UNCH   105.62 P      322    UNCH

DEC18 2Y NOTE   105.75 C   15,966     -148   105.75 P      247    UNCH

MAR19 2Y NOTE   105.62 C        0     UNCH   105.62 P        0    UNCH

MAR19 2Y NOTE   105.75 C       47     UNCH   105.75 P       14    UNCH

NOV18 EURODLR    97.37 C  138,646   +8,000    97.37 P   84,672    UNCH

NOV18 EURODLR    97.50 C   89,169     UNCH    97.50 P    3,625    UNCH 

DEC18 EURODLR    97.50 C  455,469   +4,279    97.50 P  334,977    UNCH

DEC18 EURODLR    97.62 C  480,450     UNCH    97.62 P  193,015    UNCH

DEC19 1Y-MIDC    97.12 C  176,874   +7,152    97.12 P  111,527    -165

DEC19 1Y-MIDC    97.25 C  192,305     -779    97.25 P   84,473    UNCH

DEC20 2Y-MIDC    97.00 C  167,323     +650    97.00 P  253,833    UNCH

DEC20 2Y-MIDC    97.12 C  107,988      +26    97.12 P   42,633    UNCH  

DEC21 3Y-MIDC    96.87 C   50,626     +602    96.87 P   49,144    +600

DEC21 3Y-MIDC    97.00 C   54,192     UNCH    97.00 P  100,663      -2

     PUT/CALL RATIO FOR VOLUME CLEARED:

DEC18 10Y NOTE PUT/CALL RATIO  -- 1.31 (279,387 PUTS VS. 213,572 CALLS)

MAR19 10Y NOTE PUT/CALL RATIO  -- 1.28 (11,559 PUTS VS. 9,045 CALLS)

DEC18 5Y NOTE PUT/CALL RATIO   -- 0.50 (22,997 PUTS VS. 46,157 CALLS)

MAR19 5Y NOTE PUT/CALL RATIO   -- 1.54 (806 PUTS VS. 522 CALLS)

DEC18 2Y NOTE PUT/CALL RATIO   -- 0.42 (1,068 PUTS VS. 2,541 CALLS)

MAR19 2Y NOTE PUT/CALL RATIO   -- 0.00 (0 PUTS VS. 1,368 CALLS)

NOV18 EURODLRS PUT/CALL RATIO  -- 0.13 (1,200 PUTS VS. 9,500 CALLS)

DEC18 EURODLRS PUT/CALL RATIO  -- 0.60 (37,473 PUTS VS. 62,667 CALLS)

DEC19 1Y-MIDCRVE PUT/CALL RATIO-- 7.60 (19,000 PUTS VS. 2,500 CALLS)

DEC20 2Y-MIDCRVE PUT/CALL RATIO-- 15.1 (124,750 PUTS VS. 8,250 CALLS)

DEC21 3Y-MIDCRVE PUT/CALL RATIO-- 1.00 (750 PUTS VS. 750 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

WED 3:00    50.13   64.19    62.85   62.58    72.38     76.99

WED OPEN    52.22   65.44    63.98   63.80    72.49     77.01

TUE 3:00    51.80   64.92    63.82   63.81    72.32     76.79

TUE OPEN     N/A     N/A      N/A     N/A      N/A       N/A 

MON 3:00     N/A     N/A      N/A     N/A      N/A       N/A

MON OPEN     N/A     N/A      N/A     N/A      N/A       N/A

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

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

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