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US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR DEC 20

EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
             USF    USH     TYF    TYH     FVF    FVH     EDF     EDH
1245        5.90%  7.14%   2.95%  3.86%   1.65%  2.32%   12.35%  11.10%
1100        5.80%  7.11%   3.02%  3.83%   1.65%  2.32%   12.20%  10.85%
0915        6.30%  7.13%   3.34%  3.83%   1.80%  2.29%   12.60%  10.75%
FRI OPEN    6.35%  7.12%   3.28%  3.85%   1.87%  2.31%   11.65%  10.75%
THU 1500    6.47%  7.14%   3.35%  3.82%   1.88%  2.34%   13.30%  10.50%
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
LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE
JAN20 10Y NOTE  131.00 C  154,691      -75   128.00 P   92,699   -4,616
MAR20 10Y NOTE  131.00 C   69,671   +5,869   117.50 P   66,948     UNCH
JAN20 5Y NOTE   120.50 C   71,087     UNCH   118.75 P   50,072     +418
MAR20 5Y NOTE   119.00 C   25,344   +6,002   111.00 P  251,174   +1,592
JAN20 2Y NOTE   108.00 C   10,738     UNCH   107.62 P   13,676     -350
MAR20 2Y NOTE   110.37 C    7,692     UNCH   105.75 P   55,165     UNCH
JAN20 EURODLR    98.50 C  126,858     +350    98.12 P  117,699   -4,003
MAR20 EURODLR    99.00 C  460,823     UNCH    98.25 P  584,669   +9,251
MAR21 1Y-MIDC    99.75 C  247,313     UNCH    98.25 P   79,737   +1,222
MAR22 2Y-MIDC    98.25 C   79,246     UNCH    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   11,529   +4,137   128.00 P   92,699   -4,616
JAN20 10Y NOTE  128.50 C   34,852     +529   128.50 P   74,152     +413
MAR20 10Y NOTE  128.00 C    7,197   +1,458   128.00 P   30,733   +2,527
MAR20 10Y NOTE  128.50 C   20,900      -68   128.50 P   19,038     -251
JAN20 5Y NOTE   118.25 C    4,497   -1,261   118.25 P   49,546     +278
JAN20 5Y NOTE   118.50 C   31,908   -2,823   118.50 P   31,689     +321
MAR20 5Y NOTE   118.25 C    2,852     -155   118.25 P    7,876     +357
MAR20 5Y NOTE   118.50 C    9,411      +30   118.50 P   19,180     +620
JAN20 2Y NOTE   107.62 C    3,641     UNCH   107.62 P   13,676     -350
JAN20 2Y NOTE   107.75 C    6,260     UNCH   107.75 P    9,858     -349
MAR20 2Y NOTE   107.62 C      450     UNCH   107.62 P    3,047     UNCH
MAR20 2Y NOTE   107.75 C    1,055     UNCH   107.75 P    2,720     UNCH
JAN20 EURODLR    98.25 C   48,725     -209    98.25 P   94,477     -288
JAN20 EURODLR    98.37 C   61,735     +997    98.37 P   27,422     UNCH
MAR20 EURODLR    98.25 C  418,158   +2,002    98.25 P  584,669   +9,251
MAR20 EURODLR    98.37 C  418,785   +9,048    98.37 P  246,121   +1,706
MAR21 1Y-MIDC    98.37 C   72,433     UNCH    98.37 P   71,406      +56
MAR21 1Y-MIDC    98.50 C   63,289     UNCH    98.50 P   50,900       -9
MAR22 2Y-MIDC    98.37 C   29,423     -400    98.37 P   30,215     -400
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   15,376      -50
MAR23 3Y-MIDC    98.50 C   44,729     UNCH    98.50 P    7,719     UNCH
PUT/CALL RATIO FOR VOLUME CLEARED:
JAN20 10Y NOTE PUT/CALL RATIO   -- 2.02 (156,855 PUTS VS. 77,811 CALLS)
MAR20 10Y NOTE PUT/CALL RATIO   -- 0.78 (66,596 PUTS VS. 84,640 CALLS)
JAN20 5Y NOTE PUT/CALL RATIO    -- 1.24 (31,043 PUTS VS. 25,859 CALLS)
MAR20 5Y NOTE PUT/CALL RATIO    -- 1.16 (14,066 PUTS VS. 12,179 CALLS)
JAN20 2Y NOTE PUT/CALL RATIO    -- 10.6 (11,729 PUTS VS. 1,125 CALLS)
MAR20 2Y NOTE PUT/CALL RATIO    -- 10.3 (8,031 PUTS VS. 847 CALLS)
JAN20 EURODLRS PUT/CALL RATIO   -- 2.45 (24,508 PUTS VS. 10,553 CALLS)
MAR20 EURODLRS PUT/CALL RATIO   -- 0.09 (27,475 PUTS VS. 288,796 CALLS)
MAR21 1Y-MIDCRVE PUT/CALL RATIO -- 1.59 (7,552 PUTS VS. 4,758 CALLS)
MAR22 2Y-MIDCRVE PUT/CALL RATIO -- 0.10 (1,450 PUTS VS. 13,350 CALLS)
MAR23 3Y-MIDCRVE PUT/CALL RATIO -- 2.40 (2,400 PUTS VS. 1,050 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        46.45    60.46    60.35    63.37    64.08     64.60
1100        46.45    60.47    60.35    63.38    64.07     64.60
0915        46.62    60.44    60.37    63.42    64.15     64.67
Fri Open    46.63    60.53    60.39    63.45    64.15     64.67
Thu 1500    46.13    59.85    60.32    63.34    63.92     64.50
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
--MNI Chicago Bureau; tel: +1 312-431-0089; email: bill.sokolis@marketnews.com
[TOPICS: MTABLE,M$U$$$,M$$FI$,MN$FI$]

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