US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR SEP 19

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

            USV    USZ     TYV    TYZ     FVV    FVZ     EDV     EDZ

WED 1500  13.20%  9.54%   6.84%  5.00%   5.54%  3.25%   29.20%  28.10%

WED OPEN  14.47%  9.62%   7.96%  4.99%   5.39%  3.29%   35.00%  31.09%

TUE 1500  13.84%  9.76%   7.59%  5.03%   5.00%  3.29%   34.75%  30.88%

TUE OPEN  14.09%  9.88%   7.45%  5.07%   5.00%  3.31%   34.40%  31.40%

Mon 1500  14.13%  9.97%   7.25%  5.08%   4.82%  3.32%   33.90%  30.50%

MON OPEN  14.63%  9.90%   7.35%  5.01%   5.05%  3.32%   33.60%  30.75%

FRI 1500  12.18%  9.71%   6.26%  4.98%   4.25%  3.23%   31.17%   N/A

FRI OPEN  10.90%  9.23%   5.61%  4.65%   3.85%  3.08%   31.60%   N/A

THU 1500  10.73%  9.10%   5.73%  4.62%   4.02%  3.10%   31.18%   N/A

THU OPEN  10.35%  9.00%   5.35%  4.53%   3.86%  3.02%   31.77%   N/A

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

OCT19 10Y NOTE  132.00 C   83,875     -462   129.00 P  101,160   +1,208

DEC19 10Y NOTE  134.00 C   59,004      +23   116.00 P   51,002     UNCH

OCT19 5Y NOTE   119.00 C   59,774  +31,727   119.00 P   84,591   -1,546

DEC19 5Y NOTE   119.50 C   35,775     +350   109.00 P   48,347     UNCH

OCT19 2Y NOTE   107.62 C    8,885   -2,098   107.37 P   23,372     +622

DEC19 2Y NOTE   108.12 C   10,238   +1,600   107.25 P    5,926     +750

OCT19 EURODLR    98.25 C  500,935   +9,304    98.00 P  131,855   -3,633

DEC19 EURODLR    98.25 C  541,753  +31,931    97.25 P1,054,139     UNCH

DEC20 1Y-MIDC    98.87 C  175,438     -750    98.00 P  209,793   +2,304

DEC21 2Y-MIDC    98.50 C   86,731     +142    97.37 P  125,829     UNCH

DEC22 3Y-MIDC    97.37 C   56,018     UNCH    97.37 P   64,958     UNCH

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

OCT19 10Y NOTE  129.00 C   23,881   -1,135   129.00 P  101,160   +1,208

OCT19 10Y NOTE  129.50 C   29,525   -3,792   129.50 P   71,116   +7,818

DEC19 10Y NOTE  129.00 C   11,045     +416   129.00 P   43,974   +7,611

DEC19 10Y NOTE  129.50 C   15,884   +2,734   129.50 P   41,831      -61

OCT19 5Y NOTE   118.25 C    4,174   -1,168   118.25 P   31,012     -408

OCT19 5Y NOTE   118.50 C   11,225     +815   118.50 P   50,388     +908

DEC19 5Y NOTE   118.25 C      200     UNCH   118.25 P   18,707     UNCH

DEC19 5Y NOTE   118.50 C    2,007     +147   118.50 P   11,842     -120

OCT19 2Y NOTE   107.50 C      526      +74   107.50 P   21,266   -3,902

OCT19 2Y NOTE   107.62 C    8,885   -2,098   107.62 P   11,135      -58

DEC19 2Y NOTE   107.50 C      565       -9   107.50 P    1,334      -98

DEC19 2Y NOTE   107.62 C      284      +92   107.62 P      467     UNCH

OCT19 EURODLR    98.00 C  115,107  -11,934    98.00 P  131,855   -3,633

OCT19 EURODLR    98.12 C  104,357   +5,954    98.12 P   96,838     -525

DEC19 EURODLR    97.87 C  375,597   -1,498    97.87 P  336,000     +533

DEC19 EURODLR    98.00 C  347,833  +43,810    98.00 P  342,909   +5,379

DEC20 1Y-MIDC    98.37 C  108,517     UNCH    98.37 P  157,539     +616

DEC20 1Y-MIDC    98.50 C  111,938     +200    98.50 P   57,833     +100

DEC21 2Y-MIDC    98.37 C   51,648     +250    98.37 P   19,808      -25

DEC21 2Y-MIDC    98.50 C   86,731     +142    98.50 P   31,909     +114

DEC22 3Y-MIDC    98.37 C   14,222     UNCH    98.37 P    4,027     UNCH

DEC22 3Y-MIDC    98.50 C   34,175     UNCH    98.50 P   17,000     UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

OCT19 10Y NOTE PUT/CALL RATIO   -- 2.74 (349,541 PUTS VS. 127,825 CALLS)

DEC19 10Y NOTE PUT/CALL RATIO   -- 1.16 (50,290 PUTS VS. 43,641 CALLS)

OCT19 5Y NOTE PUT/CALL RATIO    -- 0.64 (90,802 PUTS VS. 140,469 CALLS)

DEC19 5Y NOTE PUT/CALL RATIO    -- 0.73 (11,862 PUTS VS. 15,211 CALLS)

OCT19 2Y NOTE PUT/CALL RATIO    -- 2.72 (30,266 PUTS VS. 11,719 CALLS)

DEC19 2Y NOTE PUT/CALL RATIO    -- 0.28 (3,063 PUTS VS. 10,742 CALLS)

OCT19 EURODLRS PUT/CALL RATIO   -- 0.51 (156,480 PUTS VS. 306,795 CALLS)

DEC19 EURODLRS PUT/CALL RATIO   -- 0.10 (64,852 PUTS VS. 640,591 CALLS)

DEC20 1Y-MIDCRVE PUT/CALL RATIO -- 1.87 (30,700 PUTS VS. 16,264 CALLS)

DEC21 2Y-MIDCRVE PUT/CALL RATIO -- 0.09 (835 PUTS VS. 9,099 CALLS)

DEC22 3Y-MIDCRVE PUT/CALL RATIO -- 0.00 (0 PUTS VS. 775 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

Wed 1500    78.92    82.56    76.73    76.28    65.75     64.54

Wed Open    79.13    86.81    79.89    79.23    66.29     64.80

Tue 1500    79.87    88.51    81.84    80.52    66.14     64.41

Tue Open    79.95    89.15    82.29    80.71    65.98     64.48

Mon 1500    80.62    89.43    82.46    80.47    66.08     64.48

Mon Open    80.92    87.16    81.54    79.45    65.75     64.25

Fri 1500    80.06    83.89    80.58    78.53    65.66     64.35

Fri Open    79.53    77.62    76.74    74.58    65.18     64.50

Thu 1500    80.01    76.74    76.82    74.61    65.64     65.03

Thu Open    80.01    76.49    77.69    74.93    66.82     65.91

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

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