US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR DEC 12

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%

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

JAN20 10Y NOTE  130.00 C  210,905   +3,601   128.00 P  101,527   +2,870

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

JAN20 5Y NOTE   119.50 C  105,948   -1,542   118.75 P   53,527     +734

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

JAN20 2Y NOTE   108.00 C   11,338     UNCH   107.62 P   14,725     -500

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  130,441     +635    98.25 P  138,122   +3,625

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

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

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

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

JAN20 10Y NOTE  129.00 C   44,927   -1,479   129.00 P   77,204     +211

JAN20 10Y NOTE  129.50 C   66,766   +2,704   129.50 P   60,662     -444

MAR20 10Y NOTE  129.00 C   21,873   +4,049   129.00 P   24,374   +3,463

MAR20 10Y NOTE  129.50 C   15,381     +374   129.50 P   12,531     +363

JAN20 5Y NOTE   118.75 C   19,563     +894   118.75 P   53,527     +734

JAN20 5Y NOTE   119.00 C   20,588   +1,899   119.00 P   20,418       -2

MAR20 5Y NOTE   118.75 C    5,934     -950   118.75 P    8,271     +486

MAR20 5Y NOTE   119.00 C   19,329     UNCH   119.00 P    9,484       -1

JAN20 2Y NOTE   107.75 C    3,654   +2,129   107.75 P   10,389     -184

JAN20 2Y NOTE   107.88 C    5,986   -2,296   107.88 P    8,702      -66

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

MAR20 2Y NOTE   107.88 C    1,240     +759   107.88 P    4,509     UNCH

DEC19 EURODLR    98.00 C  323,006     -335    98.00 P  305,356     +137

DEC19 EURODLR    98.12 C  546,902   -1,224    98.12 P  250,252   +4,117

JAN20 EURODLR    98.25 C   43,315     -252    98.25 P  138,122   +3,625

JAN20 EURODLR    98.37 C   68,900   -1,037    98.37 P   28,522   +1,851

DEC20 1Y-MIDC    98.50 C   83,834   +2,341    98.50 P   84,588     UNCH

DEC20 1Y-MIDC    98.62 C  109,402   +2,878    98.62 P   49,298     UNCH

DEC21 2Y-MIDC    98.50 C   58,026  -14,350    98.50 P   65,790     UNCH

DEC21 2Y-MIDC    98.62 C   40,841     -200    98.62 P   23,951     UNCH

DEC22 3Y-MIDC    98.50 C   24,316     UNCH    98.50 P   18,861     +200

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

PUT/CALL RATIO FOR VOLUME CLEARED:

JAN20 10Y NOTE PUT/CALL RATIO   -- 0.96 (109,024 PUTS VS. 113,322 CALLS)

MAR20 10Y NOTE PUT/CALL RATIO   -- 0.55 (34,035 PUTS VS. 61,703 CALLS)

JAN20 5Y NOTE PUT/CALL RATIO    -- 0.42 (14,795 PUTS VS. 33,144 CALLS)

MAR20 5Y NOTE PUT/CALL RATIO    -- 1.55 (12,900 PUTS VS. 8,358 CALLS)

JAN20 2Y NOTE PUT/CALL RATIO    -- 0.25 (3,245 PUTS VS. 12,661 CALLS)

MAR20 2Y NOTE PUT/CALL RATIO    -- 0.68 (626 PUTS VS. 901 CALLS)

DEC19 EURODLRS PUT/CALL RATIO   -- 0.69 (10,925 PUTS VS. 15,608 CALLS)

JAN20 EURODLRS PUT/CALL RATIO   -- 0.87 (48,825 PUTS VS. 55,450 CALLS)

DEC20 1Y-MIDCRVE PUT/CALL RATIO -- 0.82 (29,415 PUTS VS. 35,065 CALLS)

DEC21 2Y-MIDCRVE PUT/CALL RATIO -- 1.11 (20,642 PUTS VS. 18,569 CALLS)

DEC22 3Y-MIDCRVE PUT/CALL RATIO -- 6.57 (4,654 PUTS VS. 700 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

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

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

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