US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR SEP 30

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

             USX    USZ     TYV    TYZ     FVV    FVZ     EDV     EDZ

0900        9.77%  9.34%   5.17%  5.00%   3.43%  3.31%   28.64%  28.23%

MON OPEN    9.75%  9.40%   5.17%  4.97%   3.45%  3.30%   27.85%  28.45%

FRI 1500    9.60%  9.31%   5.06%  4.97%   3.37%  3.26%   25.01%  28.32%

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  105,652   +1,748   128.00 P  126,905   +2,432

DEC19 10Y NOTE  132.00 C   88,941     -573   128.00 P   60,839   +5,395

NOV19 5Y NOTE   119.75 C   38,023     +305   118.25 P   74,896   +2,971

DEC19 5Y NOTE   119.75 C   77,435     UNCH   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  480,635     -874    98.00 P  195,633     +300

DEC19 EURODLR    98.25 C  579,149   +6,703    97.25 P1,067,714  +12,750

DEC20 1Y-MIDC    98.87 C  177,619     +673    98.00 P  204,089   +2,500

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   16,979     -651   129.00 P  125,922     +745

NOV19 10Y NOTE  129.50 C   21,383     -235   129.50 P   54,597   +1,426

DEC19 10Y NOTE  129.00 C   11,110      +84   129.00 P   48,816     +616

DEC19 10Y NOTE  129.50 C   19,873       -1   129.50 P   42,211     +112

NOV19 5Y NOTE   118.25 C    1,757     UNCH   118.25 P   74,896   +2,971

NOV19 5Y NOTE   118.50 C   12,052     -193   118.50 P   43,584   +3,815

DEC19 5Y NOTE   118.25 C      216       +4   118.25 P   18,935     UNCH

DEC19 5Y NOTE   118.50 C    1,649       -1   118.50 P   11,275     UNCH

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     UNCH

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

DEC19 2Y NOTE   107.62 C      312     UNCH   107.62 P    2,165     +111

OCT19 EURODLR    98.00 C  119,317     +557    98.00 P  195,633     +300

OCT19 EURODLR    98.12 C  114,357   +2,036    98.12 P  105,075       +1

DEC19 EURODLR    98.00 C  369,245     +556    98.00 P  322,644     -226

DEC19 EURODLR    98.12 C  444,523   +3,835    98.12 P  135,016     -500

DEC20 1Y-MIDC    98.50 C   92,169     UNCH    98.50 P   53,431     UNCH

DEC20 1Y-MIDC    98.62 C   88,869     +292    98.62 P  146,798     UNCH

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

DEC21 2Y-MIDC    98.62 C   58,761     UNCH    98.62 P   17,157     UNCH

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

DEC22 3Y-MIDC    98.62 C   21,618     +360    98.62 P   17,065   +1,611

PUT/CALL RATIO FOR VOLUME CLEARED:

NOV19 10Y NOTE PUT/CALL RATIO   -- 1.12 (161,442 PUTS VS. 143,743 CALLS)

DEC19 10Y NOTE PUT/CALL RATIO   -- 0.77 (47,691 PUTS VS. 61,471 CALLS)

NOV19 5Y NOTE PUT/CALL RATIO    -- 1.78 (41,356 PUTS VS. 23,214 CALLS)

DEC19 5Y NOTE PUT/CALL RATIO    -- 2.74 (8,568 PUTS VS. 3,151 CALLS)

NOV19 2Y NOTE PUT/CALL RATIO    -- 0.54 (5,175 PUTS VS. 9,482 CALLS)

DEC19 2Y NOTE PUT/CALL RATIO    -- 0.19 (421 PUTS VS. 2,213 CALLS)

OCT19 EURODLRS PUT/CALL RATIO   -- 1.38 (18,002 PUTS VS. 12,922 CALLS)

DEC19 EURODLRS PUT/CALL RATIO   -- 0.44 (79,460 PUTS VS. 179,290 CALLS)

DEC20 1Y-MIDCRVE PUT/CALL RATIO -- 0.60 (6,200 PUTS VS. 10,306 CALLS)

DEC21 2Y-MIDCRVE PUT/CALL RATIO -- 0.63 (350 PUTS VS. 550 CALLS)

DEC22 3Y-MIDCRVE PUT/CALL RATIO -- 1.08 (3,900 PUTS VS. 3,600 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

0900        74.88    81.81    77.20    77.22    68.53     67.56

Mon Open    74.85    81.48    76.98    76.97    68.35     67.50

Fri 1500    74.70    81.03    77.01    76.97    68.35     67.49

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$]