US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR DEC 11

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

             USF    USH     TYJ    TYH     FVF    FVH     EDZ     EDF

WED 1500    8.10%  8.15%   4.29%  4.30%   2.63%  2.64%    N/A   24.15%

1130        8.24%  8.19%   4.33%  4.30%   2.63%  2.66%    N/A   23.65%

1000        8.20%  8.18%   4.36%  4.30%   2.61%  2.67%    N/A   24.20%

WED OPEN    8.40%  8.27%   4.50%  4.37%   2.67%  2.72%    N/A   24.40%

TUE 1500    8.43%  8.32%   4.53%  4.42%   2.70%  2.75%    N/A   23.20%

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

JAN20 10Y NOTE  130.00 C  207,304  +37,887   128.50 P   99,167   -3,615

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

JAN20 5Y NOTE   119.50 C  107,490     +100   118.75 P   52,793   -7,979

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

JAN20 2Y NOTE   108.00 C   11,338     +307   107.62 P   15,225     +335

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

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  141,541  -20,676

DEC20 1Y-MIDC    98.75 C  186,866     -199    97.50 P  171,536     UNCH

DEC21 2Y-MIDC    98.00 C   80,700     -549    97.37 P  125,829     UNCH

DEC22 3Y-MIDC    98.75 C   51,661   -2,000    97.37 P   63,651     UNCH

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

JAN20 10Y NOTE  129.00 C   46,406   +2,761   129.00 P   76,993   -2,375

JAN20 10Y NOTE  129.50 C   64,062     -165   129.50 P   61,106     -248

MAR20 10Y NOTE  129.00 C   17,824   +1,790   129.00 P   21,580   +3,139

MAR20 10Y NOTE  129.50 C   15,007     -373   129.50 P   12,168     +100

JAN20 5Y NOTE   118.75 C   18,669   +2,246   118.75 P   52,793   -7,979

JAN20 5Y NOTE   119.00 C   18,689      -50   119.00 P   20,420      -29

MAR20 5Y NOTE   118.75 C    6,884      -79   118.75 P    7,785     +154

MAR20 5Y NOTE   119.00 C   19,329     UNCH   119.00 P    9,485      -28

JAN20 2Y NOTE   107.75 C    1,525       +1   107.75 P   10,573       -1

JAN20 2Y NOTE   107.88 C    8,282     -447   107.88 P    8,768       -2

MAR20 2Y NOTE   107.75 C    1,059     UNCH   107.75 P    2,720     UNCH

MAR20 2Y NOTE   107.88 C      481     UNCH   107.88 P    4,509   +2,374

DEC19 EURODLR    98.00 C  323,341   -1,455    98.00 P  305,219       -5

DEC19 EURODLR    98.12 C  548,126   -4,717    98.12 P  246,135   +5,208

JAN20 EURODLR    98.25 C   43,567     -196    98.25 P  134,857   -2,930

JAN20 EURODLR    98.37 C   69,937      +72    98.37 P   26,671     UNCH

DEC20 1Y-MIDC    98.50 C   81,493   -3,882    98.50 P   84,588   -6,066

DEC20 1Y-MIDC    98.62 C  106,524   -2,791    98.62 P   49,298      +27

DEC21 2Y-MIDC    98.50 C   72,376   -1,053    98.50 P   65,790     -352

DEC21 2Y-MIDC    98.62 C   41,041  -10,173    98.62 P   23,951      +25

DEC22 3Y-MIDC    98.50 C   24,316   +8,385    98.50 P   18,661     UNCH

DEC22 3Y-MIDC    98.62 C   47,365   -1,500    98.62 P   18,440     UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

JAN20 10Y NOTE PUT/CALL RATIO   -- 0.79 (122,406 PUTS VS. 154,902 CALLS)

MAR20 10Y NOTE PUT/CALL RATIO   -- 1.01 (18,331 PUTS VS. 18,048 CALLS)

JAN20 5Y NOTE PUT/CALL RATIO    -- 2.36 (52,199 PUTS VS. 22,158 CALLS)

MAR20 5Y NOTE PUT/CALL RATIO    -- 1.28 (13,129 PUTS VS. 10,237 CALLS)

JAN20 2Y NOTE PUT/CALL RATIO    -- 1.31 (2,948 PUTS VS. 2,202 CALLS)

MAR20 2Y NOTE PUT/CALL RATIO    -- 2.16 (9,361 PUTS VS. 4,301 CALLS)

DEC19 EURODLRS PUT/CALL RATIO   -- 0.46 (14,209 PUTS VS. 30,396 CALLS)

JAN20 EURODLRS PUT/CALL RATIO   -- 8.87 (63,005 PUTS VS. 7,140 CALLS)

DEC20 1Y-MIDCRVE PUT/CALL RATIO -- 1.25 (44,650 PUTS VS. 35,065 CALLS)

DEC21 2Y-MIDCRVE PUT/CALL RATIO -- 0.17 (4,950 PUTS VS. 28,848 CALLS)

DEC22 3Y-MIDCRVE PUT/CALL RATIO -- 0.18 (6,764 PUTS VS. 35,814 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

Wed 1500    53.85    68.14    66.31    67.61    65.94     65.64

1130        54.75    68.86    67.04    68.44    66.44     65.84

1000        54.98    69.51    67.48    68.77    66.65     65.94

Wed Open    55.35    71.08    68.44    69.80    66.84     66.16

Tue 1500    55.68    72.82    68.49    69.85    67.13     66.19

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

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

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