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

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

             USZ    USF     TYZ    TYF     FVZ    FVF     EDX     EDZ

THU 1500    7.85%  7.69%   4.21%  4.25%   2.85%  2.65%   18.20%  19.95%

1315        7.82%  7.70%   4.19%  4.24%   2.96%  2.74%   17.50%  19.92%

1045        7.73%  7.65%   4.10%  4.24%   2.73%  2.73%   16.66%  20.85%

THU OPEN    7.77%  7.67%   4.15%  4.27%   2.72%  2.75%   17.25%  22.20%

WED 1500    8.12%  7.93%   4.44%  4.34%   2.95%  2.83%   20.95%  23.35%

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

DEC19 10Y NOTE  132.00 C  182,797      -42   128.00 P  133,974  -15,900

JAN20 10Y NOTE  131.50 C   62,386   +6,299   127.50 P   22,397   +1,934

DEC19 5Y NOTE   119.50 C   81,841  +10,776   116.00 P  114,246     UNCH

JAN20 5Y NOTE   119.50 C   25,465      +33   118.00 P    8,777     +226

DEC19 2Y NOTE   108.00 C   29,200      +72   106.75 P   27,725     +130

JAN20 2Y NOTE   107.88 C    3,000   +2,994   105.62 P    3,692     UNCH

NOV19 EURODLR    98.12 C  168,296   -8,665    97.87 P  176,095   +7,513

DEC19 EURODLR    98.37 C  660,244  -12,310    97.25 P1,066,055     UNCH

DEC20 1Y-MIDC    98.75 C  195,993  +13,530    98.12 P  198,259   +1,685

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   65,943   +5,400

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

DEC19 10Y NOTE  129.50 C   27,489   +2,224   129.50 P   67,397   +2,096

DEC19 10Y NOTE  130.00 C   84,340  +15,383   130.00 P   66,264   -1,811

JAN20 10Y NOTE  129.50 C    6,517     -422   129.50 P    9,460     +543

JAN20 10Y NOTE  130.00 C   11,684       -6   130.00 P   10,370     +638

DEC19 5Y NOTE   118.75 C   14,304   +1,088   118.75 P   40,300     -610

DEC19 5Y NOTE   119.00 C   53,531   +3,967   119.00 P   32,940       -1

JAN20 5Y NOTE   119.00 C    3,198     +198   119.00 P      248      +40

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

DEC19 2Y NOTE   107.50 C    1,142      -30   107.50 P   23,125     UNCH

DEC19 2Y NOTE   107.62 C    1,676       -1   107.62 P    1,879       +8

JAN20 2Y NOTE   107.75 C       78     UNCH   107.75 P    2,702   +2,001

JAN20 2Y NOTE   107.88 C    3,000   +2,994   107.88 P       78     UNCH

NOV19 EURODLR    98.00 C   77,628   -1,500    98.00 P  140,244  -15,258

NOV19 EURODLR    98.12 C  168,296   -8,665    98.12 P   37,145   -7,538

DEC19 EURODLR    98.00 C  333,092     -936    98.00 P  369,931  -29,563

DEC19 EURODLR    98.12 C  443,674   -8,167    98.12 P  205,860   +4,167

DEC20 1Y-MIDC    98.50 C   95,458   +4,200    98.50 P   96,307       -5

DEC20 1Y-MIDC    98.62 C  127,138   -2,736    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   33,601     -250    98.50 P   13,512     UNCH

DEC22 3Y-MIDC    98.62 C   30,577     -850    98.62 P   18,440     UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

DEC19 10Y NOTE PUT/CALL RATIO   -- 1.19 (219,179 PUTS VS. 183,645 CALLS)

JAN20 10Y NOTE PUT/CALL RATIO   -- 1.02 (37,358 PUTS VS. 36,504 CALLS)

DEC19 5Y NOTE PUT/CALL RATIO    -- 0.60 (51,115 PUTS VS. 84,481 CALLS)

JAN20 5Y NOTE PUT/CALL RATIO    -- 0.39 (6,758 PUTS VS. 16,835 CALLS)

DEC19 2Y NOTE PUT/CALL RATIO    -- 1.80 (3,818 PUTS VS. 2,115 CALLS)

JAN20 2Y NOTE PUT/CALL RATIO    -- 1.00 (7,609 PUTS VS. 7,609 CALLS)

NOV19 EURODLRS PUT/CALL RATIO   -- 2.86 (109,819 PUTS VS. 38,060 CALLS)

DEC19 EURODLRS PUT/CALL RATIO   -- 0.84 (162,734 PUTS VS. 292,898 CALLS)

DEC20 1Y-MIDCRVE PUT/CALL RATIO -- 0.62 (60,419 PUTS VS. 96,394 CALLS)

DEC21 2Y-MIDCRVE PUT/CALL RATIO -- 0.00 (5,304 PUTS VS. 0 CALLS)

DEC22 3Y-MIDCRVE PUT/CALL RATIO -- 2.19 (21,550 PUTS VS. 9,800 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

Thu 1500    66.01    69.03    69.51    69.15    65.73     65.18

1315        65.49    68.50    68.65    68.39    65.55     64.90

1045        64.99    68.50    68.63    67.77    65.32     64.67

Thu Open    65.05    68.85    68.40    67.80    65.20     64.32

Wed 1500    66.34    69.65    68.46    67.93    65.31     64.43

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

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

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