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US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR SEP 23

EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
             USX    USZ     TYV    TYZ     FVV    FVZ     EDV     EDZ
THU 1500     N/A   9.27%    N/A   4.89%    N/A   3.11%   27.44%  27.54%
THU OPEN     N/A   9.35%    N/A   4.92%    N/A   3.17%   29.25%  28.25%
WED 1500     N/A   9.54%    N/A   5.00%    N/A   3.25%   29.20%  28.10%
WED OPEN     N/A   9.62%    N/A   4.99%    N/A   3.29%   35.00%  31.09%
TUE 1500     N/A   9.76%    N/A   5.03%    N/A   3.29%   34.75%  30.88%
TUE OPEN     N/A   9.88%    N/A   5.07%    N/A   3.31%   34.40%  31.40%
Mon 1500     N/A   9.97%    N/A   5.08%    N/A   3.32%   33.90%  30.50%
MON OPEN     N/A   9.90%    N/A   5.01%    N/A   3.32%   33.60%  30.75%
LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE
NOV19 10Y NOTE  132.00 C   87,986   +8,032   128.00 P   75,685   +3,947
DEC19 10Y NOTE  132.00 C   76,653  +19,618   116.00 P   51,002     UNCH
NOV19 5Y NOTE   119.50 C   19,043   +1,978   115.50 P   61,400  +25,775
DEC19 5Y NOTE   119.50 C   35,650      +39   109.00 P   48,347     UNCH
NOV19 2Y NOTE   108.50 C   13,202     UNCH   107.50 P   18,202   -2,523
DEC19 2Y NOTE   108.12 C   10,338     +100   105.75 P    5,400     UNCH
OCT19 EURODLR    98.25 C  502,872   -1,146    98.00 P  120,635   -5,915
DEC19 EURODLR    98.25 C  557,431  +10,451    97.25 P1,054,675     UNCH
DEC20 1Y-MIDC    98.87 C  175,438   -1,000    98.00 P  202,941   -6,852
DEC21 2Y-MIDC    98.50 C   86,977     +246    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
NOV19 10Y NOTE  129.00 C   17,076      +51   129.00 P   59,508     +177
NOV19 10Y NOTE  129.50 C   22,076      +15   129.50 P   48,773   +4,489
DEC19 10Y NOTE  129.00 C   10,811     +214   129.00 P   39,879      +27
DEC19 10Y NOTE  129.50 C   18,666     +928   129.50 P   40,319   +1,198
NOV19 5Y NOTE   118.25 C    1,757       +1   118.25 P   53,784   +9,094
NOV19 5Y NOTE   118.50 C   12,369     -883   118.50 P   36,136     +667
DEC19 5Y NOTE   118.25 C      199     UNCH   118.25 P   18,910       -1
DEC19 5Y NOTE   118.50 C    1,656      -53   118.50 P   12,170      +90
NOV19 2Y NOTE   107.50 C    2,031     +110   107.50 P   18,202   -2,523
NOV19 2Y NOTE   107.62 C    2,305       +2   107.62 P    3,372     -855
DEC19 2Y NOTE   107.50 C    1,034      +52   107.50 P    1,513      +18
DEC19 2Y NOTE   107.62 C      324      +40   107.62 P      560      +93
OCT19 EURODLR    98.00 C  113,524   -7,443    98.00 P  120,635   -5,915
OCT19 EURODLR    98.12 C  112,217      -44    98.12 P   96,838     UNCH
DEC19 EURODLR    97.87 C  377,257      +31    97.87 P  324,873  -17,364
DEC19 EURODLR    98.00 C  354,512     -299    98.00 P  324,924   -8,071
DEC20 1Y-MIDC    98.37 C  108,517     UNCH    98.37 P  150,271   -8,268
DEC20 1Y-MIDC    98.50 C   92,218  -19,520    98.50 P   57,733     UNCH
DEC21 2Y-MIDC    98.37 C   51,648     UNCH    98.37 P   19,808     UNCH
DEC21 2Y-MIDC    98.50 C   86,977     +246    98.50 P   32,621     +462
DEC22 3Y-MIDC    98.37 C   14,222     UNCH    98.37 P    4,027     UNCH
DEC22 3Y-MIDC    98.50 C   34,425     +250    98.50 P   17,000     UNCH
PUT/CALL RATIO FOR VOLUME CLEARED:
NOV19 10Y NOTE PUT/CALL RATIO   -- 0.74 (114,719 PUTS VS. 153,316 CALLS)
DEC19 10Y NOTE PUT/CALL RATIO   -- 0.24 (40,969 PUTS VS. 166,021 CALLS)
NOV19 5Y NOTE PUT/CALL RATIO    -- 2.06 (93,123 PUTS VS. 45,331 CALLS)
DEC19 5Y NOTE PUT/CALL RATIO    -- 1.19 (9,347 PUTS VS. 7,847 CALLS)
NOV19 2Y NOTE PUT/CALL RATIO    -- 1.41 (8,900 PUTS VS. 6,297 CALLS)
DEC19 2Y NOTE PUT/CALL RATIO    -- 0.79 (631 PUTS VS. 790 CALLS)
OCT19 EURODLRS PUT/CALL RATIO   -- 0.47 (25,034 PUTS VS. 53,748 CALLS)
DEC19 EURODLRS PUT/CALL RATIO   -- 0.31 (101,142 PUTS VS. 325,810 CALLS)
DEC20 1Y-MIDCRVE PUT/CALL RATIO -- 0.78 (45,350 PUTS VS. 57,095 CALLS)
DEC21 2Y-MIDCRVE PUT/CALL RATIO -- 0.92 (754 PUTS VS. 817 CALLS)
DEC22 3Y-MIDCRVE PUT/CALL RATIO -- 1.24 (6,150 PUTS VS. 4,900 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
Thu 1500    73.44    79.22    74.59    75.05    65.34     64.47
Thu Open    76.25    80.25    75.70    75.78    65.40     64.27
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
--MNI Chicago Bureau; tel: +1 312-431-0089; email: bill.sokolis@marketnews.com
[TOPICS: MTABLE,M$U$$$,M$$FI$,MN$FI$]

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