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

1300        9.85%  9.51%   5.12%  4.97%   3.30%  3.23%   31.10%  29.30%

1100        9.92%  9.58%   5.14%  4.97%   3.36%  3.24%   32.15%  29.30%

0930        9.89%  9.55%   5.13%  4.94%   3.28%  3.20%   30.55%  28.70%

MON OPEN    9.94%  9.58%   5.11%  4.97%   3.28%  3.21%   29.84%  28.66%

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

1300        74.51    82.65    77.70    77.92    67.15     65.93

1100        75.45    81.86    78.02    78.17    67.05     65.91

0930        75.02    82.32    76.81    77.25    66.94     65.99

Mon Open    75.05    82.41    76.77    77.19    66.79     65.80

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$]