US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR DEC 10

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

             USF    USH     TYJ    TYH     FVF    FVH     EDZ     EDF

0945        8.69%  8.42%   4.64%  4.46%   2.90%  2.80%    N/A   21.65%

TUE OPEN    8.87%  8.43%   4.83%  4.48%   2.93%  2.88%    N/A   22.95%

MON 1500    8.61%  8.35%   4.62%  4.45%   2.87%  2.79%    N/A   22.65%

MON OPEN    8.40%  8.30%   4.69%  4.41%   2.78%  2.75%  15.30%  25.20%

WED 1500    8.12%  7.93%   4.40%  4.25%   2.73%  2.67%  13.38%  23.50%

WED OPEN    8.23%  8.01%   4.35%  4.27%   2.75%  2.71%  14.01%  23.71%

TUE 1500    8.36%  8.00%   4.33%  4.27%   2.75%  2.72%  14.45%  23.80%

TUE OPEN    8.05%  7.94%   4.34%  4.33%   2.74%  2.73%  14.45%  23.35%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

JAN20 10Y NOTE  130.00 C  169,417  +11,698   128.50 P  102,782  +11,341

MAR20 10Y NOTE  134.50 C   51,442     UNCH   117.50 P   66,948     UNCH

JAN20 5Y NOTE   119.50 C  107,390  +20,017   118.25 P   67,952       -1

MAR20 5Y NOTE   128.00 C   21,291     UNCH   111.00 P  250,582     UNCH

JAN20 2Y NOTE   108.00 C   11,031     +193   107.62 P   14,890     +224

MAR20 2Y NOTE   110.37 C    7,692     UNCH   105.75 P   55,036       +3

DEC19 EURODLR    98.25 C  642,166     UNCH    97.25 P1,065,828     UNCH

JAN20 EURODLR    98.50 C  129,806     UNCH    98.12 P  162,218     +380

DEC20 1Y-MIDC    98.75 C  187,065     UNCH    97.50 P  171,536     UNCH

DEC21 2Y-MIDC    98.00 C   81,249     UNCH    97.37 P  125,829     UNCH

DEC22 3Y-MIDC    98.75 C   53,661     UNCH    98.25 P   64,249     UNCH

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

JAN20 10Y NOTE  129.00 C   43,645   +2,697   129.00 P   79,368   +2,298

JAN20 10Y NOTE  129.50 C   64,227   +2,463   129.50 P   61,354   -1,291

MAR20 10Y NOTE  129.00 C   16,034     -580   129.00 P   18,441   +4,598

MAR20 10Y NOTE  129.50 C   15,380     -227   129.50 P   12,068     -178

JAN20 5Y NOTE   118.75 C   16,423   +1,080   118.75 P   60,772     +721

JAN20 5Y NOTE   119.00 C   18,739     -499   119.00 P   20,449     -523

MAR20 5Y NOTE   118.75 C    6,963      -87   118.75 P    7,631      +63

MAR20 5Y NOTE   119.00 C   19,329     UNCH   119.00 P    9,513     +160

JAN20 2Y NOTE   107.75 C    1,524     +126   107.75 P   10,574      +61

JAN20 2Y NOTE   107.88 C    8,729     UNCH   107.88 P    8,770     UNCH

MAR20 2Y NOTE   107.75 C    1,059      -47   107.75 P    2,720      -19

MAR20 2Y NOTE   107.88 C      481      -75   107.88 P    2,135     UNCH

DEC19 EURODLR    98.00 C  324,796     -863    98.00 P  305,224     UNCH

DEC19 EURODLR    98.12 C  552,843     -220    98.12 P  240,927       +1

JAN20 EURODLR    98.25 C   43,763     UNCH    98.25 P  137,787     +500

JAN20 EURODLR    98.37 C   69,865   +1,595    98.37 P   26,671     +250

DEC20 1Y-MIDC    98.50 C   85,375   -2,439    98.50 P   90,654     UNCH

DEC20 1Y-MIDC    98.62 C  109,315     -738    98.62 P   49,271     UNCH

DEC21 2Y-MIDC    98.50 C   73,429   -5,648    98.50 P   66,142     -275

DEC21 2Y-MIDC    98.62 C   51,214   -4,704    98.62 P   23,926     UNCH

DEC22 3Y-MIDC    98.50 C   15,931     UNCH    98.50 P   18,661      -92

DEC22 3Y-MIDC    98.62 C   48,865     UNCH    98.62 P   18,440     UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

JAN20 10Y NOTE PUT/CALL RATIO   -- 0.65 (138,663 PUTS VS. 211,389 CALLS)

MAR20 10Y NOTE PUT/CALL RATIO   -- 1.71 (24,391 PUTS VS. 14,871 CALLS)

JAN20 5Y NOTE PUT/CALL RATIO    -- 0.12 (5,428 PUTS VS. 41,658 CALLS)

MAR20 5Y NOTE PUT/CALL RATIO    -- 1.46 (4,177 PUTS VS. 2,862 CALLS)

JAN20 2Y NOTE PUT/CALL RATIO    -- 6.41 (3,264 PUTS VS. 501 CALLS)

MAR20 2Y NOTE PUT/CALL RATIO    -- 6.30 (3,700 PUTS VS. 504 CALLS)

DEC19 EURODLRS PUT/CALL RATIO   -- 0.00 (1 PUTS VS. 2,938 CALLS)

JAN20 EURODLRS PUT/CALL RATIO   -- 0.99 (4,100 PUTS VS. 4,260 CALLS)

DEC20 1Y-MIDCRVE PUT/CALL RATIO -- 0.01 (100 PUTS VS. 11,900 CALLS)

DEC21 2Y-MIDCRVE PUT/CALL RATIO -- 0.64 (9,228 PUTS VS. 14,193 CALLS)

DEC22 3Y-MIDCRVE PUT/CALL RATIO -- 1.15 (4,706 PUTS VS. 4,088 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

0945        56.54    73.57    68.90    70.21    67.57     66.63

Tue Open    56.53    72.19    68.50    69.74    67.53     66.59

Mon 1500    56.56    71.97    68.83    69.83    67.77     66.79

Mon Open    56.74    70.71    68.51    69.14    67.62     66.66

Wed 1500    58.10    67.36    66.66    67.36    66.95     66.81

Wed Open    58.55    68.40    67.99    67.45    67.00     66.73

Tue 1500    58.95    69.07    67.14    67.46    67.00     66.73

Tue Open    54.12    63.44    64.46    64.75    66.23     66.16

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

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