US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR DEC 2

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

             USF    USH     TYJ    TYH     FVF    FVH     EDZ     EDF

1200        7.72%  7.75%   4.09%  4.15%   2.58%  2.63%  14.25%  23.05%

MON OPEN    7.80%  7.75%   4.15%  4.17%   2.62%  2.64%  13.85%  22.85%

WED 1500    7.22%  7.55%   3.92%  4.05%   2.48%  2.59%  13.30%  23.05%

WED OPEN    7.35%  7.62%   4.02%  4.13%   2.52%  2.63%  14.16%  23.82%

TUE 1500    7.47%  7.65%   4.05%  4.10%   2.55%  2.64%  14.15%  23.66%

TUE OPEN    7.41%  7.61%   4.00%  4.12%   2.57%  2.65%  14.98%  23.99%

MON OPEN    7.42%  7.61%   4.04%  4.14%   2.62%  2.66%  15.95%  24.55%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

JAN20 10Y NOTE  131.00 C  111,773   +9,252   127.00 P   84,792   +3,917

MAR20 10Y NOTE  134.50 C   56,034     UNCH   117.50 P   63,246     +114

JAN20 5Y NOTE   120.50 C   71,634       +2   118.25 P   69,125     -398

MAR20 5Y NOTE   120.50 C   19,951     UNCH   111.00 P  250,582     UNCH

JAN20 2Y NOTE   108.00 C    9,878      +41   107.62 P   10,721     UNCH

MAR20 2Y NOTE   110.37 C    7,692     UNCH   105.75 P   55,000     UNCH

DEC19 EURODLR    98.25 C  629,397   +1,956    97.25 P1,065,805     -250

JAN20 EURODLR    99.00 C   97,724     UNCH    98.12 P  162,307   +3,251

DEC20 1Y-MIDC    98.75 C  192,944   -4,120    97.50 P  171,536     UNCH

DEC21 2Y-MIDC    98.00 C   84,249     UNCH    97.37 P  125,829     UNCH

DEC22 3Y-MIDC    98.75 C   65,614  +10,606    97.37 P   63,651     UNCH

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

JAN20 10Y NOTE  128.50 C   17,248     UNCH   128.50 P   55,448   +2,129

JAN20 10Y NOTE  129.00 C   32,154     -157   129.00 P   26,876     +200

MAR20 10Y NOTE  128.50 C   13,010       -1   128.50 P   10,528   +4,130

MAR20 10Y NOTE  129.00 C   10,598     +783   129.00 P    4,758     +289

JAN20 5Y NOTE   119.00 C   16,966      -19   119.00 P   12,888     -261

JAN20 5Y NOTE   119.25 C   31,163     -161   119.25 P    6,019     +194

MAR20 5Y NOTE   119.00 C   15,330     UNCH   119.00 P    3,591     UNCH

MAR20 5Y NOTE   119.25 C    4,788     +478   119.25 P    4,505     +400

JAN20 2Y NOTE   107.75 C      843     UNCH   107.75 P    7,456     UNCH

JAN20 2Y NOTE   107.88 C    5,505     -377   107.88 P    6,674     UNCH

MAR20 2Y NOTE   107.75 C      500     UNCH   107.75 P      373     UNCH

MAR20 2Y NOTE   107.88 C      300     UNCH   107.88 P      330       +5

DEC19 EURODLR    98.00 C  324,701   -1,682    98.00 P  308,841     -250

DEC19 EURODLR    98.12 C  559,409  +10,000    98.12 P  230,136   +5,055

JAN20 EURODLR    98.25 C   31,140     UNCH    98.25 P  145,278     UNCH

JAN20 EURODLR    98.37 C   53,316     +823    98.37 P   29,473     +514

DEC20 1Y-MIDC    98.50 C   87,726   -1,201    98.50 P  106,107   -2,555

DEC20 1Y-MIDC    98.62 C  144,568   +3,750    98.62 P   49,071     UNCH

DEC21 2Y-MIDC    98.50 C   79,314     -100    98.50 P   58,836   +3,416

DEC21 2Y-MIDC    98.62 C   62,709   +3,704    98.62 P   22,017     +262

DEC22 3Y-MIDC    98.50 C   37,824     -650    98.50 P   19,553     -500

DEC22 3Y-MIDC    98.62 C   43,056   -1,740    98.62 P   18,440     UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

JAN20 10Y NOTE PUT/CALL RATIO   -- 0.72 (63,971 PUTS VS. 54,213 CALLS)

MAR20 10Y NOTE PUT/CALL RATIO   -- 2.18 (59,448 PUTS VS. 12,307 CALLS)

JAN20 5Y NOTE PUT/CALL RATIO    -- 2.75 (33,626 PUTS VS. 12,239 CALLS)

MAR20 5Y NOTE PUT/CALL RATIO    -- 12.3 (55,468 PUTS VS. 4,508 CALLS)

JAN20 2Y NOTE PUT/CALL RATIO    -- 0.14 (345 PUTS VS. 2,374 CALLS)

MAR20 2Y NOTE PUT/CALL RATIO    -- 2.66 (1,659 PUTS VS. 605 CALLS)

DEC19 EURODLRS PUT/CALL RATIO   -- 0.17 (17,108 PUTS VS. 96,048 CALLS)

JAN20 EURODLRS PUT/CALL RATIO   -- 2.88 (26,093 PUTS VS. 9,016 CALLS)

DEC20 1Y-MIDCRVE PUT/CALL RATIO -- 0.71 (52,035 PUTS VS. 73,185 CALLS)

DEC21 2Y-MIDCRVE PUT/CALL RATIO -- 0.63 (7,574 PUTS VS. 11,819 CALLS)

DEC22 3Y-MIDCRVE PUT/CALL RATIO -- 0.09 (2,583 PUTS VS. 25,675 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

1200        54.68    63.21    64.50    64.79    66.39     66.42

Mon Open    54.54    61.36    64.24    64.40    66.92     67.15

Wed 1500    56.39    61.79    64.70    64.25    67.25     67.11

Wed Open    57.51    64.32    65.64    65.27    67.37     67.05

Tue 1500    57.46    65.08    65.57    65.16    67.30     66.88

Tue Open    57.99    66.01    65.98    66.13    67.15     66.55

Mon Open    59.16    66.53    66.84    66.81    67.17     66.44

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

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