US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR SEP 27

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

             USX    USZ     TYV    TYZ     FVV    FVZ     EDV     EDZ

0930        9.70%  9.38%   5.02%  4.92%   3.35%  3.25%   24.97%  27.37%

FRI OPEN    9.68%  9.41%   4.99%  4.94%   3.35%  3.27%   25.99%  27.70%

TUE 1500    9.93%  9.55%   5.15%  5.00%   3.37%  3.26%   27.02%  27.70%

TUE OPEN    9.72%  9.45%   5.02%  4.91%   3.27%  3.18%   30.90%  28.85%

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

NOV19 10Y NOTE  132.00 C  103,904     -776   129.00 P  125,177  +35,893

DEC19 10Y NOTE  132.00 C   89,514   -6,969   128.00 P   55,444   +4,656

NOV19 5Y NOTE   119.75 C   37,718  +17,863   115.50 P   74,173     UNCH

DEC19 5Y NOTE   119.75 C   77,435   +8,500   109.00 P   48,347     UNCH

NOV19 2Y NOTE   108.50 C   13,267     UNCH   107.50 P   17,670     UNCH

DEC19 2Y NOTE   108.12 C   10,276     UNCH   105.75 P    5,400     UNCH

OCT19 EURODLR    98.25 C  481,509   -4,923    98.00 P  195,333     UNCH

DEC19 EURODLR    98.25 C  573,424  +13,593    97.25 P1,054,600     UNCH

DEC20 1Y-MIDC    98.87 C  176,946     -189    98.00 P  201,589     UNCH

DEC21 2Y-MIDC    98.50 C   86,973     UNCH    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   17,630      -17   129.00 P  125,177  +35,893

NOV19 10Y NOTE  129.50 C   21,618     -794   129.50 P   53,171   +1,763

DEC19 10Y NOTE  129.00 C   11,026      +15   129.00 P   48,200     +335

DEC19 10Y NOTE  129.50 C   19,874     +444   129.50 P   42,099   +1,537

NOV19 5Y NOTE   118.25 C    1,757     UNCH   118.25 P   71,925  +16,380

NOV19 5Y NOTE   118.50 C   12,245     -170   118.50 P   39,769     +102

DEC19 5Y NOTE   118.25 C      212       +6   118.25 P   18,935     UNCH

DEC19 5Y NOTE   118.50 C    1,650       -1   118.50 P   11,275     +147

NOV19 2Y NOTE   107.50 C    1,881     UNCH   107.50 P   17,670     UNCH

NOV19 2Y NOTE   107.62 C    2,305     UNCH   107.62 P    3,521     +150

DEC19 2Y NOTE   107.50 C    1,044     UNCH   107.50 P    1,990     +172

DEC19 2Y NOTE   107.62 C      312     UNCH   107.62 P    2,054     +100

OCT19 EURODLR    98.00 C  118,760     +256    98.00 P  195,333     UNCH

OCT19 EURODLR    98.12 C  112,321   -1,012    98.12 P  105,074     UNCH

DEC19 EURODLR    97.87 C  378,200      -40    97.87 P  294,124   +2,224

DEC19 EURODLR    98.00 C  368,689     +141    98.00 P  322,870      +87

DEC20 1Y-MIDC    98.37 C  107,417     UNCH    98.37 P  146,798     -223

DEC20 1Y-MIDC    98.50 C   92,169     +222    98.50 P   53,431   -3,540

DEC21 2Y-MIDC    98.37 C   51,398     -250    98.37 P   19,558     -250

DEC21 2Y-MIDC    98.50 C   86,973     UNCH    98.50 P   32,621     UNCH

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

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   -- 1.01 (172,448 PUTS VS. 170,220 CALLS)

DEC19 10Y NOTE PUT/CALL RATIO   -- 1.64 (42,810 PUTS VS. 26,067 CALLS)

NOV19 5Y NOTE PUT/CALL RATIO    -- 0.94 (50,632 PUTS VS. 53,099 CALLS)

DEC19 5Y NOTE PUT/CALL RATIO    -- 0.68 (13,888 PUTS VS. 19,799 CALLS)

NOV19 2Y NOTE PUT/CALL RATIO    -- 1.88 (5,175 PUTS VS. 2,772 CALLS)

DEC19 2Y NOTE PUT/CALL RATIO    -- 1.11 (1,014 PUTS VS. 926 CALLS)

OCT19 EURODLRS PUT/CALL RATIO   -- 0.12 (5,001 PUTS VS. 39,234 CALLS)

DEC19 EURODLRS PUT/CALL RATIO   -- 0.22 (28,904 PUTS VS. 127,186 CALLS)

DEC20 1Y-MIDCRVE PUT/CALL RATIO -- 0.92 (11,696 PUTS VS. 12,663 CALLS)

DEC21 2Y-MIDCRVE PUT/CALL RATIO -- 1.23 (1,611 PUTS VS. 1,350 CALLS)

DEC22 3Y-MIDCRVE PUT/CALL RATIO -- 1.39 (6,400 PUTS VS. 4,619 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

0930        75.10    81.40    77.46    77.08    68.36     67.39

Fri Open    75.01    81.44    77.20    77.01    68.13     67.19

Tue 1500    75.24    84.83    77.70    77.45    68.47     66.94

Tue Open    74.52    84.06    76.39    76.27    67.41     66.32

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

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

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