US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR SEP 24

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

             USX    USZ     TYV    TYZ     FVV    FVZ     EDV     EDZ

MON 1500    9.80%  9.51%   5.10%  4.92%   3.28%  3.21%   31.00%  29.00%

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

NOV19 10Y NOTE  132.00 C   95,418   +7,432   128.00 P   88,240  +12,555

DEC19 10Y NOTE  132.00 C   81,060   +4,407   116.00 P   51,002     UNCH

NOV19 5Y NOTE   119.50 C   19,970     +927   115.50 P   74,173  +12,773

DEC19 5Y NOTE   119.50 C   35,650     UNCH   109.00 P   48,347     UNCH

NOV19 2Y NOTE   108.50 C   13,202     UNCH   107.50 P   16,805   -1,397

DEC19 2Y NOTE   108.12 C   10,268      -70   105.75 P    5,400     UNCH

OCT19 EURODLR    98.25 C  489,568  -13,304    98.00 P  139,321  +18,686

DEC19 EURODLR    98.25 C  560,943   +3,512    97.25 P1,054,635      -40

DEC20 1Y-MIDC    98.87 C  175,978     +540    98.00 P  202,941     UNCH

DEC21 2Y-MIDC    98.50 C   86,974       -3    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   17,111      +35   129.00 P   70,377  +10,869

NOV19 10Y NOTE  129.50 C   22,606     +530   129.50 P   49,368     +595

DEC19 10Y NOTE  129.00 C   10,833      +22   129.00 P   41,316   +1,437

DEC19 10Y NOTE  129.50 C   19,324     +658   129.50 P   41,660   +1,341

NOV19 5Y NOTE   118.25 C    1,757     UNCH   118.25 P   53,775       -9

NOV19 5Y NOTE   118.50 C   12,417      +48   118.50 P   35,965     -171

DEC19 5Y NOTE   118.25 C      199     UNCH   118.25 P   18,909       -1

DEC19 5Y NOTE   118.50 C    1,652       -4   118.50 P   12,149      -21

NOV19 2Y NOTE   107.50 C    2,031     UNCH   107.50 P   16,805   -1,397

NOV19 2Y NOTE   107.62 C    2,305     UNCH   107.62 P    3,372     UNCH

DEC19 2Y NOTE   107.50 C    1,044      +10   107.50 P    1,485      -28

DEC19 2Y NOTE   107.62 C      310      -14   107.62 P      560     UNCH

OCT19 EURODLR    98.00 C  114,755   +1,231    98.00 P  139,321  +18,686

OCT19 EURODLR    98.12 C  112,283      +66    98.12 P  103,370   +6,532

DEC19 EURODLR    97.87 C  379,707   +2,450    97.87 P  324,313     -560

DEC19 EURODLR    98.00 C  356,399   +1,927    98.00 P  324,660     -264

DEC20 1Y-MIDC    98.37 C  108,517     UNCH    98.37 P  147,271   -3,000

DEC20 1Y-MIDC    98.50 C   92,218     UNCH    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   86,974       -3    98.50 P   32,621     UNCH

DEC22 3Y-MIDC    98.37 C   14,222     UNCH    98.37 P    3,908     -119

DEC22 3Y-MIDC    98.50 C   34,425     UNCH    98.50 P   17,000     UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

NOV19 10Y NOTE PUT/CALL RATIO   -- 1.20 (166,624 PUTS VS. 138,092 CALLS)

DEC19 10Y NOTE PUT/CALL RATIO   -- 0.74 (44,951 PUTS VS. 60,322 CALLS)

NOV19 5Y NOTE PUT/CALL RATIO    -- 3.75 (77,823 PUTS VS. 20,503 CALLS)

DEC19 5Y NOTE PUT/CALL RATIO    -- 0.63 (12,075 PUTS VS. 19,882 CALLS)

NOV19 2Y NOTE PUT/CALL RATIO    -- 25.2 (8,611 PUTS VS. 341 CALLS)

DEC19 2Y NOTE PUT/CALL RATIO    -- 1.76 (3,748 PUTS VS. 2,142 CALLS)

OCT19 EURODLRS PUT/CALL RATIO   -- 1.36 (108,070 PUTS VS. 79,148 CALLS)

DEC19 EURODLRS PUT/CALL RATIO   -- 0.08 (53,706 PUTS VS. 612,611 CALLS)

DEC20 1Y-MIDCRVE PUT/CALL RATIO -- 0.51 (3,603 PUTS VS. 7,089 CALLS)

DEC21 2Y-MIDCRVE PUT/CALL RATIO -- 1.38 (7,272 PUTS VS. 5,258 CALLS)

DEC22 3Y-MIDCRVE PUT/CALL RATIO -- 2.12 (2,125 PUTS VS. 1,000 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

Mon 1500    74.09    81.82    76.70    76.66    67.11     65.90

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

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

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