US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR OCT 9

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

             USX    USZ     TYV    TYZ     FVV    FVZ     EDV     EDZ

TUE 1500    9.08%  9.19%   5.00%  5.05%   3.38%  3.42%    N/A    31.62%

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

NOV19 10Y NOTE  132.00 C   98,103   +1,162   128.00 P  125,128      -38

DEC19 10Y NOTE  134.00 C   81,880   +2,682   127.00 P   57,723     +443

NOV19 5Y NOTE   120.50 C   83,103      -20   115.50 P   72,753     UNCH

DEC19 5Y NOTE   119.75 C   66,979     -886   118.25 P   50,697     UNCH

NOV19 2Y NOTE   108.00 C   14,844     -507   107.50 P   13,176     UNCH

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

OCT19 EURODLR    98.25 C  457,219   -2,000    98.00 P  126,195     UNCH

DEC19 EURODLR    98.25 C  615,384   -4,088    97.25 P1,067,355     UNCH

DEC20 1Y-MIDC    98.87 C  179,309   -9,408    98.00 P  203,976     -500

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   53,719     +106   131.50 P   23,423      +83

NOV19 10Y NOTE  132.00 C   98,103   +1,162   132.00 P    9,904      -47

DEC19 10Y NOTE  131.50 C   33,278     +993   131.50 P   23,531   +1,434

DEC19 10Y NOTE  132.00 C   78,994     -862   132.00 P   16,724     +765

NOV19 5Y NOTE   120.00 C   54,415     -252   120.00 P   24,582   +3,828

NOV19 5Y NOTE   120.25 C   24,660      -62   120.25 P    4,430     UNCH

DEC19 5Y NOTE   120.00 C   46,318     -336   120.00 P   10,722   +2,515

DEC19 5Y NOTE   120.25 C   12,156     +198   120.25 P    4,464       -3

NOV19 2Y NOTE   108.00 C   14,844     -507   108.00 P    2,511     UNCH

NOV19 2Y NOTE   108.12 C    6,729     +700   108.12 P      327     UNCH

DEC19 2Y NOTE   108.00 C    7,602     -118   108.00 P    3,749     +360

DEC19 2Y NOTE   108.12 C    7,179     -100   108.12 P      761      +1

OCT19 EURODLR    98.00 C  110,954   -1,000    98.00 P  126,195     UNCH

OCT19 EURODLR    98.12 C   99,602  -13,441    98.12 P   55,629   -1,000

DEC19 EURODLR    98.00 C  362,394     -353    98.00 P  367,563  +15,993

DEC19 EURODLR    98.12 C  488,760     +672    98.12 P  164,556     -409

DEC20 1Y-MIDC    98.50 C   91,717     UNCH    98.50 P   52,466     -100

DEC20 1Y-MIDC    98.62 C   86,344   -5,550    98.62 P   44,623     +100

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

DEC21 2Y-MIDC    98.62 C   60,761     UNCH    98.62 P   20,728      -71

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

DEC22 3Y-MIDC    98.62 C   24,062     -411    98.62 P   20,240     -500

PUT/CALL RATIO FOR VOLUME CLEARED:

NOV19 10Y NOTE PUT/CALL RATIO   -- 0.27 (78,107 PUTS VS. 284,186 CALLS)

DEC19 10Y NOTE PUT/CALL RATIO   -- 0.53 (45,971 PUTS VS. 86,081 CALLS)

NOV19 5Y NOTE PUT/CALL RATIO    -- 2.23 (51,551 PUTS VS. 23,083 CALLS)

DEC19 5Y NOTE PUT/CALL RATIO    -- 1.61 (24,291 PUTS VS. 15,586 CALLS)

NOV19 2Y NOTE PUT/CALL RATIO    -- 0.01 (678 PUTS VS. 87,113 CALLS)

DEC19 2Y NOTE PUT/CALL RATIO    -- 0.01 (1,060 PUTS VS. 346,242 CALLS)

OCT19 EURODLRS PUT/CALL RATIO   -- 0.13 (6,250 PUTS VS. 45,016 CALLS)

DEC19 EURODLRS PUT/CALL RATIO   -- 0.70 (138,565 PUTS VS. 195,532 CALLS)

DEC20 1Y-MIDCRVE PUT/CALL RATIO -- 0.05 (1,851 PUTS VS. 30,222 CALLS)

DEC21 2Y-MIDCRVE PUT/CALL RATIO -- 0.18 (1,350 PUTS VS. 7,019 CALLS)

DEC22 3Y-MIDCRVE PUT/CALL RATIO -- 0.18 (754 PUTS VS. 4,150 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 1500    81.88    82.11    79.04    75.29    68.89     68.25

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

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

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