US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR OCT 8

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

             USX    USZ     TYV    TYZ     FVV    FVZ     EDV     EDZ

TUE OPEN    9.28%  9.36%   5.16%  5.12%   3.48%  3.47%    N/A    30.41%

MON 1500    9.09%  9.28%   4.95%  5.13%   3.44%  3.43%    N/A    31.50%

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

NOV19 10Y NOTE  132.00 C   97,090     +113   128.00 P  125,166   -4,110

DEC19 10Y NOTE  132.00 C   79,856  -17,772   127.00 P   57,280   +3,060

NOV19 5Y NOTE   120.50 C   83,263     -723   115.50 P   72,753     UNCH

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

NOV19 2Y NOTE   108.00 C   15,351      -75   107.50 P   13,176     -378

DEC19 2Y NOTE   107.88 C   11,764     UNCH   107.75 P    7,357       +1

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

DEC19 EURODLR    98.25 C  619,472   -2,378    97.25 P1,067,355     UNCH

DEC20 1Y-MIDC    98.87 C  188,717   -3,872    98.00 P  204,476     UNCH

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

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

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

NOV19 10Y NOTE  131.50 C   53,613   -3,136   131.50 P   23,340     +785

NOV19 10Y NOTE  132.00 C   97,090     +113   132.00 P    9,951     +145

DEC19 10Y NOTE  131.50 C   32,285   +2,085   131.50 P   22,097   +5,251

DEC19 10Y NOTE  132.00 C   79,856  -17,772   132.00 P   15,959     -197

NOV19 5Y NOTE   120.00 C   54,667   +2,783   120.00 P   20,754   +2,344

NOV19 5Y NOTE   120.25 C   24,772     +344   120.25 P    4,430     UNCH

DEC19 5Y NOTE   120.00 C   46,654   +2,229   120.00 P    8,207   +1,768

DEC19 5Y NOTE   120.25 C   11,958     UNCH   120.25 P    4,467     UNCH

NOV19 2Y NOTE   108.00 C   15,351      -75   108.00 P    2,511     UNCH

NOV19 2Y NOTE   108.12 C    6,029      -51   108.12 P      327      +27

DEC19 2Y NOTE   108.00 C    7,720     +119   108.00 P    3,389     UNCH

DEC19 2Y NOTE   108.12 C    7,279     -909   108.12 P      760     UNCH

OCT19 EURODLR    98.00 C  111,954   -2,501    98.00 P  126,195     UNCH

OCT19 EURODLR    98.12 C  113,043   -7,950    98.12 P   56,629  -23,230

DEC19 EURODLR    98.00 C  362,747      -69    98.00 P  351,570  +12,619

DEC19 EURODLR    98.12 C  488,088     -453    98.12 P  164,965   +1,500

DEC20 1Y-MIDC    98.50 C   91,717      -10    98.50 P   52,566      -10

DEC20 1Y-MIDC    98.62 C   91,894   -5,475    98.62 P   44,523     +480

DEC21 2Y-MIDC    98.50 C   87,196     UNCH    98.50 P   35,900     -175

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

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

DEC22 3Y-MIDC    98.62 C   24,473     -200    98.62 P   20,740     UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

NOV19 10Y NOTE PUT/CALL RATIO   -- 3.61 (141,325 PUTS VS. 39,339 CALLS)

DEC19 10Y NOTE PUT/CALL RATIO   -- 1.33 (95,978 PUTS VS. 71,375 CALLS)

NOV19 5Y NOTE PUT/CALL RATIO    -- 0.96 (64,734 PUTS VS. 66,184 CALLS)

DEC19 5Y NOTE PUT/CALL RATIO    -- 1.57 (11,336 PUTS VS. 7,437 CALLS)

NOV19 2Y NOTE PUT/CALL RATIO    -- 1.52 (3,826 PUTS VS. 2,595 CALLS)

DEC19 2Y NOTE PUT/CALL RATIO    -- 0.23 (795 PUTS VS. 3,348 CALLS)

OCT19 EURODLRS PUT/CALL RATIO   -- 0.66 (30,020 PUTS VS. 45,016 CALLS)

DEC19 EURODLRS PUT/CALL RATIO   -- 0.24 (47,234 PUTS VS. 195,532 CALLS)

DEC20 1Y-MIDCRVE PUT/CALL RATIO -- 0.36 (11,963 PUTS VS. 32,820 CALLS)

DEC21 2Y-MIDCRVE PUT/CALL RATIO -- 0.50 (1,000 PUTS VS. 2,000 CALLS)

DEC22 3Y-MIDCRVE PUT/CALL RATIO -- 4.75 (950 PUTS VS. 200 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

Tue Open    81.91    81.84    78.91    75.36    68.73     68.13

Mon 1500    81.97    82.18    79.30    75.57    69.12     68.34

Mon Open    82.69    81.40    79.16    75.57    69.07     68.18

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

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

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