US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR OCT 7

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

             USX    USZ     TYV    TYZ     FVV    FVZ     EDV     EDZ

FRI 1500    8.83%  9.23%   4.84%  5.05%   3.31%  3.42%   31.30%  33.90%

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

NOV19 10Y NOTE  132.00 C   96,977   -3,381   128.00 P  129,276   -3,777

DEC19 10Y NOTE  132.00 C   97,628     +947   127.00 P   54,220     -555

NOV19 5Y NOTE   120.50 C   88,850  +63,650   115.50 P   72,753      +62

DEC19 5Y NOTE   119.75 C   67,865      -50   118.25 P   50,697     UNCH

NOV19 2Y NOTE   108.00 C   15,426      -13   107.50 P   13,554   -1,667

DEC19 2Y NOTE   107.88 C   11,764     UNCH   107.75 P    7,356      -26

OCT19 EURODLR    98.25 C  459,219     UNCH    98.00 P  126,195  -40,041

DEC19 EURODLR    98.25 C  621,850   +9,643    97.25 P1,067,355     UNCH

DEC20 1Y-MIDC    98.87 C  192,589   +2,000    98.00 P  204,476   +1,000

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

DEC22 3Y-MIDC    97.37 C   52,101   -1,300    97.37 P   64,958     UNCH

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

NOV19 10Y NOTE  131.00 C   63,102     -598   131.00 P   24,842   +4,238

NOV19 10Y NOTE  131.50 C   56,749     +724   131.50 P   22,555   +4,669

DEC19 10Y NOTE  131.00 C   67,446   -2,471   131.00 P   29,623   +1,435

DEC19 10Y NOTE  131.50 C   30,200     +657   131.50 P   16,846   +2,223

NOV19 5Y NOTE   120.00 C   51,884   +6,351   120.00 P   18,410   +7,893

NOV19 5Y NOTE   120.25 C   24,378     -117   120.25 P    4,430      -90

DEC19 5Y NOTE   120.00 C   44,425   -2,565   120.00 P    6,439     UNCH

DEC19 5Y NOTE   120.25 C   11,958      +17   120.25 P    4,467     -128

NOV19 2Y NOTE   108.00 C   15,426      -13   108.00 P    2,511     +894

NOV19 2Y NOTE   108.12 C    6,080   -4,406   108.12 P      300     +163

DEC19 2Y NOTE   108.00 C    7,601      -55   108.00 P    3,389       -1

DEC19 2Y NOTE   108.12 C    8,188   -1,926   108.12 P      760      +74

OCT19 EURODLR    98.00 C  114,455     UNCH    98.00 P  126,195  -40,041

OCT19 EURODLR    98.12 C  120,993   -1,000    98.12 P   79,859  -26,710

DEC19 EURODLR    98.00 C  362,816     -166    98.00 P  338,951  -16,554

DEC19 EURODLR    98.12 C  488,541  +24,823    98.12 P  163,465   +3,101

DEC20 1Y-MIDC    98.50 C   91,727     UNCH    98.50 P   52,576     UNCH

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

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

DEC21 2Y-MIDC    98.62 C   60,761     UNCH    98.62 P   20,799     +821

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

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   -- 0.46 (135,236 PUTS VS. 290,034 CALLS)

DEC19 10Y NOTE PUT/CALL RATIO   -- 1.38 (118,043 PUTS VS. 85,373 CALLS)

NOV19 5Y NOTE PUT/CALL RATIO    -- 0.35 (97,481 PUTS VS. 277,914 CALLS)

DEC19 5Y NOTE PUT/CALL RATIO    -- 0.18 (9,782 PUTS VS. 53,718 CALLS)

NOV19 2Y NOTE PUT/CALL RATIO    -- 2.38 (31,828 PUTS VS. 13,297 CALLS)

DEC19 2Y NOTE PUT/CALL RATIO    -- 0.22 (1,828 PUTS VS. 8,030 CALLS)

OCT19 EURODLRS PUT/CALL RATIO   -- 2.12 (123,655 PUTS VS. 58,216 CALLS)

DEC19 EURODLRS PUT/CALL RATIO   -- 0.41 (249,966 PUTS VS. 601,777 CALLS)

DEC20 1Y-MIDCRVE PUT/CALL RATIO -- 0.77 (17,500 PUTS VS. 22,301 CALLS)

DEC21 2Y-MIDCRVE PUT/CALL RATIO -- 0.93 (10,351 PUTS VS. 11,094 CALLS)

DEC22 3Y-MIDCRVE PUT/CALL RATIO -- 0.21 (1,000 PUTS VS. 4,634 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

Fri 1500    81.92    81.27    78.84    75.45    69.08     68.22

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

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

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