US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR OCT 4

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

             USX    USZ     TYV    TYZ     FVV    FVZ     EDV     EDZ

0945        9.02%  9.21%   4.91%  5.10%   3.39%  3.41%   31.95%  33.95%

FRI OPEN    9.39%  9.37%   5.27%  5.22%   3.67%  3.54%   37.90%  36.05%

THU 1500    9.09%  9.16%   5.12%  5.11%   3.45%  3.41%   40.80%  35.95%

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  100,358   +6,147   128.00 P  133,053     -164

DEC19 10Y NOTE  132.00 C   96,681   -4,119   128.00 P   58,662   -3,591

NOV19 5Y NOTE   120.00 C   48,776  +27,600   115.50 P   72,691     UNCH

DEC19 5Y NOTE   119.75 C   67,915   -9,525   118.25 P   50,697  +32,098

NOV19 2Y NOTE   108.00 C   15,439   -2,009   107.50 P   15,221     -141

DEC19 2Y NOTE   107.88 C   11,764     UNCH   107.75 P    7,382     +161

OCT19 EURODLR    98.25 C  459,219   -3,500    98.00 P  181,236  -12,487

DEC19 EURODLR    98.25 C  612,207  +21,932    97.25 P1,067,355     UNCH

DEC20 1Y-MIDC    98.87 C  190,589     +100    98.00 P  203,476      -13

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

DEC22 3Y-MIDC    97.37 C   53,401   -1,897    97.37 P   64,958     UNCH

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

NOV19 10Y NOTE  131.00 C   63,700   -8,996   131.00 P   20,604   +6,380

NOV19 10Y NOTE  131.50 C   56,025   -1,232   131.50 P   17,886   +1,041

DEC19 10Y NOTE  131.00 C   69,917   -2,336   131.00 P   28,188   +5,669

DEC19 10Y NOTE  131.50 C   29,543     -253   131.50 P   14,623     -425

NOV19 5Y NOTE   120.00 C   48,776  +27,600   120.00 P   10,517      +26

NOV19 5Y NOTE   120.25 C   24,495  +12,763   120.25 P    4,520   +3,748

DEC19 5Y NOTE   120.00 C   46,990     +986   120.00 P    6,439     +143

DEC19 5Y NOTE   120.25 C   11,941   +1,644   120.25 P    4,595   +2,320

NOV19 2Y NOTE   108.00 C   15,439   -2,009   108.00 P    1,617   +1,416

NOV19 2Y NOTE   108.12 C   10,486   +1,497   108.12 P      137      +34

DEC19 2Y NOTE   108.00 C    7,656   +1,033   108.00 P    3,390   +2,614

DEC19 2Y NOTE   108.12 C   10,114     -120   108.12 P      686       -1

OCT19 EURODLR    98.00 C  114,455       -1    98.00 P  181,236  -12,487

OCT19 EURODLR    98.12 C  121,993     -801    98.12 P  106,569   +1,021

DEC19 EURODLR    98.00 C  362,982   -3,536    98.00 P  368,005  +23,866

DEC19 EURODLR    98.12 C  463,718   -1,342    98.12 P  160,364   +4,943

DEC20 1Y-MIDC    98.50 C   91,727       +5    98.50 P   52,576     +401

DEC20 1Y-MIDC    98.62 C   97,369     +600    98.62 P   44,043     UNCH

DEC21 2Y-MIDC    98.50 C   87,196     UNCH    98.50 P   36,075   +2,905

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

DEC22 3Y-MIDC    98.50 C   34,602     UNCH    98.50 P   15,500   -1,500

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

PUT/CALL RATIO FOR VOLUME CLEARED:

NOV19 10Y NOTE PUT/CALL RATIO   -- 0.51 (160,433 PUTS VS. 316,303 CALLS)

DEC19 10Y NOTE PUT/CALL RATIO   -- 1.08 (112,749 PUTS VS. 103,551 CALLS)

NOV19 5Y NOTE PUT/CALL RATIO    -- 0.48 (61,301 PUTS VS. 126,352 CALLS)

DEC19 5Y NOTE PUT/CALL RATIO    -- 1.09 (142,306 PUTS VS. 130,182 CALLS)

NOV19 2Y NOTE PUT/CALL RATIO    -- 0.35 (10,922 PUTS VS. 30,570 CALLS)

DEC19 2Y NOTE PUT/CALL RATIO    -- 1.32 (11,899 PUTS VS. 8,937 CALLS)

OCT19 EURODLRS PUT/CALL RATIO   -- 1.04 (81,808 PUTS VS. 78,510 CALLS)

DEC19 EURODLRS PUT/CALL RATIO   -- 0.39 (250,793 PUTS VS. 641,794 CALLS)

DEC20 1Y-MIDCRVE PUT/CALL RATIO -- 1.86 (28,052 PUTS VS. 15,350 CALLS)

DEC21 2Y-MIDCRVE PUT/CALL RATIO -- 0.68 (20,289 PUTS VS. 29,776 CALLS)

DEC22 3Y-MIDCRVE PUT/CALL RATIO -- 0.20 (2,000 PUTS VS. 9,700 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

0945        81.94    85.27    77.92    75.73    69.10     68.11

Fri Open    83.13    86.68    79.98    76.65    69.31     68.18

Thu 1500    82.71    87.33    80.54    77.61    69.28     68.36

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$]