US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR DEC 19

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

             USF    USH     TYF    TYH     FVF    FVH     EDF     EDH

1245        6.57%  7.10%   3.46%  3.85%   1.98%  2.31%   13.85%  10.75%

1115        6.55%  7.15%   3.35%  3.84%   1.87%  2.30%   13.10%  11.20%

0900        6.84%  7.18%   3.46%  3.84%   1.97%  2.32%   13.00%  11.10%

THU OPEN    6.90%  7.19%   3.52%  3.84%   2.00%  2.32%   12.79%  11.20%

WED 1500    6.81%  7.16%   3.37%  3.82%   2.03%  2.33%   13.50%  10.75%

WED OPEN    6.80%  7.19%   3.49%  3.83%   2.01%  2.34%   12.80%  11.20%

TUE 1500    6.80%  7.13%   3.55%  3.80%   2.03%  2.32%   11.55%  11.05%

TUE OPEN    6.60%  7.10%   3.45%  3.80%   2.05%  2.31%   12.15%  10.65%

MON 1500    7.04%  7.22%   3.67%  3.89%   2.15%  2.34%   12.30%  11.20%

MON OPEN    6.77%  7.09%   3.60%  3.83%   2.08%  2.33%   13.20%  11.70%

FRI 1500    7.01%  7.35%   3.63%  4.01%   2.17%  2.36%   20.37%   N/A

FRI OPEN    8.37%  8.07%   4.63%  4.30%   2.75%  2.62%   21.60%   N/A

THU 1500    8.37%  8.07%   4.63%  4.30%   2.75%  2.62%   21.60%   N/A

THU OPEN    8.05%  8.03%   4.29%  4.21%   2.59%  2.62%   22.65%   N/A

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

JAN20 10Y NOTE  131.00 C  154,766     UNCH   128.00 P   97,117   +5,311

MAR20 10Y NOTE  131.00 C   63,802   +1,067   117.50 P   66,948     UNCH

JAN20 5Y NOTE   120.50 C   91,087     UNCH   118.25 P   49,268   -6,800

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

JAN20 2Y NOTE   108.00 C   10,738     -500   107.62 P   14,526     UNCH

MAR20 2Y NOTE   110.37 C    7,692     UNCH   105.75 P   55,165     +129

JAN20 EURODLR    98.50 C  126,508   -3,169    98.12 P  121,672  -16,726

MAR20 EURODLR    99.00 C  460,823     UNCH    98.25 P  575,418   +5,847

MAR21 1Y-MIDC    99.75 C  247,313     +399    98.25 P   78,515   +1,000

MAR22 2Y-MIDC    98.25 C   79,246     +400    97.37 P   96,133     UNCH

MAR23 3Y-MIDC    98.12 C   53,469     UNCH    97.62 P   29,500     UNCH

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

JAN20 10Y NOTE  128.00 C    7,392     +105   128.00 P   97,117   +5,311

JAN20 10Y NOTE  128.50 C   34,323   -1,704   128.50 P   73,739   -3,440

MAR20 10Y NOTE  128.00 C    5,669     +523   128.00 P   28,206   +1,370

MAR20 10Y NOTE  128.50 C   20,968     +378   128.50 P   19,289     -991

JAN20 5Y NOTE   118.25 C    5,758     UNCH   118.25 P   49,268   -6,800

JAN20 5Y NOTE   118.50 C   34,731   +1,000   118.50 P   31,368     -366

MAR20 5Y NOTE   118.25 C    3,007   +1,027   118.25 P    7,519     +446

MAR20 5Y NOTE   118.50 C    9,381      +50   118.50 P   18,560     -100

JAN20 2Y NOTE   107.62 C    3,641     +497   107.62 P   14,526     UNCH

JAN20 2Y NOTE   107.75 C    6,260     +400   107.75 P   10,207     UNCH

MAR20 2Y NOTE   107.62 C      450      -50   107.62 P    3,047     +250

MAR20 2Y NOTE   107.75 C    1,055       -4   107.75 P    2,720     UNCH

JAN20 EURODLR    98.25 C   48,934   +1,818    98.25 P   94,765  -15,051

JAN20 EURODLR    98.37 C   60,738   -6,253    98.37 P   27,422     UNCH

MAR20 EURODLR    98.25 C  416,156  +31,127    98.25 P  575,418   +5,847

MAR20 EURODLR    98.37 C  409,737   +9,377    98.37 P  244,415   +2,681

MAR21 1Y-MIDC    98.37 C   72,433     UNCH    98.37 P   71,350     +100

MAR21 1Y-MIDC    98.50 C   63,289     +275    98.50 P   50,909     -250

MAR22 2Y-MIDC    98.37 C   29,823     UNCH    98.37 P   30,615     +739

MAR22 2Y-MIDC    98.50 C   35,011     UNCH    98.50 P   30,640     UNCH

MAR23 3Y-MIDC    98.37 C   10,499     UNCH    98.37 P   15,426     UNCH

MAR23 3Y-MIDC    98.50 C   44,729   -4,194    98.50 P    7,719     UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

JAN20 10Y NOTE PUT/CALL RATIO   -- 0.88 (192,779 PUTS VS. 218,204 CALLS)

MAR20 10Y NOTE PUT/CALL RATIO   -- 0.99 (51,008 PUTS VS. 51,163 CALLS)

JAN20 5Y NOTE PUT/CALL RATIO    -- 0.52 (37,510 PUTS VS. 71,853 CALLS)

MAR20 5Y NOTE PUT/CALL RATIO    -- 2.40 (10,174 PUTS VS. 4,195 CALLS)

JAN20 2Y NOTE PUT/CALL RATIO    -- 0.47 (1,052 PUTS VS. 2,163 CALLS)

MAR20 2Y NOTE PUT/CALL RATIO    -- 1.94 (3,619 PUTS VS. 1,859 CALLS)

JAN20 EURODLRS PUT/CALL RATIO   -- 1.82 (75,176 PUTS VS. 41,252 CALLS)

MAR20 EURODLRS PUT/CALL RATIO   -- 0.07 (66,686 PUTS VS. 850,330 CALLS)

MAR21 1Y-MIDCRVE PUT/CALL RATIO -- 0.06 (2,988 PUTS VS. 44,283 CALLS)

MAR22 2Y-MIDCRVE PUT/CALL RATIO -- 0.98 (6,644 PUTS VS. 6,755 CALLS)

MAR23 3Y-MIDCRVE PUT/CALL RATIO -- 1.41 (14,900 PUTS VS. 10,800 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

1245        46.13    59.85    60.32    63.34    63.92     64.50

1115        46.20    60.08    60.34    63.28    63.89     64.51

0900        46.22    60.06    60.35    63.28    64.08     64.66

Thu Open    46.28    60.10    60.25    63.40    64.18     64.65

Wed 1500    46.55    59.79    60.64    63.55    64.13     64.68

Wed Open    46.51    60.93    60.45    63.14    64.39     64.87

Tue 1500    47.07    63.06    60.47    63.33    64.34     64.86

Tue Open    45.74    63.20    60.17    63.08    64.51     64.76

Mon 1500    47.61    62.06    59.91    61.84    64.00     64.61

Mon Open    49.32    65.41    62.22    64.09    64.60     64.70

Fri 1500    49.40    64.61    62.37    63.98    64.57     64.61

Fri Open    50.05    68.20    65.30    67.47    65.49     65.05

Thu 1500    50.05    68.20    65.30    67.47    65.49     65.05

Thu Open    52.59    67.58    65.66    67.05    65.78     65.41

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

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