US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR DEC 23

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

             USF    USH     TYF    TYH     FVF    FVH     EDF     EDH

MON 1500    6.48%  7.26%   3.24%  3.95%   1.83%  2.36%   11.55%  11.05%

1315        6.29%  7.22%   3.13%  3.90%   1.74%  2.33%   13.06%  11.90%

1030        6.25%  7.23%   3.14%  3.89%   1.81%  2.34%   11.93%  11.70%

MON OPEN    6.45%  7.18%   3.12%  3.90%   1.83%  2.33%   12.30%  11.49%

FRI 1500    5.80%  7.13%   3.01%  3.85%   1.63%  2.32%   12.40%  10.80%

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

JAN20 10Y NOTE  131.00 C  154,691     UNCH   128.00 P   86,077   -2,856

MAR20 10Y NOTE  131.00 C   72,848   +3,177   117.50 P   66,948     UNCH

JAN20 5Y NOTE   120.50 C   71,087     UNCH   118.75 P   49,459     -613

MAR20 5Y NOTE   119.00 C   30,485   +5,141   111.00 P  251,174     UNCH

JAN20 2Y NOTE   108.00 C   10,738     UNCH   107.62 P   13,476     -200

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

JAN20 EURODLR    98.50 C  126,858     UNCH    98.12 P  117,699     UNCH

MAR20 EURODLR    99.00 C  464,332   +3,509    98.25 P  590,697   +6,028

MAR21 1Y-MIDC    99.75 C  247,313     UNCH    98.25 P   79,737     UNCH

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   13,190   +1,661   128.00 P   86,077   -2,856

JAN20 10Y NOTE  128.50 C   36,746   +1,894   128.50 P   70,825   -2,116

MAR20 10Y NOTE  128.00 C    7,197   +2,067   128.00 P   35,387   +4,654

MAR20 10Y NOTE  128.50 C   23,910   +3,010   128.50 P   18,956      -82

JAN20 5Y NOTE   118.25 C    5,232     +735   118.25 P   48,774     -773

JAN20 5Y NOTE   118.50 C   32,609     +701   118.50 P   31,186     -503

MAR20 5Y NOTE   118.25 C    2,695     -157   118.25 P    7,638     -238

MAR20 5Y NOTE   118.50 C   12,494   +3,083   118.50 P   19,180     UNCH

JAN20 2Y NOTE   107.62 C    3,641     UNCH   107.62 P   13,476     -200

JAN20 2Y NOTE   107.75 C    6,260     UNCH   107.75 P    9,708     -150

MAR20 2Y NOTE   107.62 C      515      +65   107.62 P    3,212     +165

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

JAN20 EURODLR    98.25 C   65,593  +16,868    98.25 P   95,879   +1,402

JAN20 EURODLR    98.37 C   71,290   +9,555    98.37 P   27,422     UNCH

MAR20 EURODLR    98.25 C  439,456  +21,298    98.25 P  590,697   +6,028

MAR20 EURODLR    98.37 C  435,278  +16,493    98.37 P  248,021   +1,900

MAR21 1Y-MIDC    98.37 C   72,771     +338    98.37 P   73,350   +1,944

MAR21 1Y-MIDC    98.50 C   63,539     +250    98.50 P   50,900     UNCH

MAR22 2Y-MIDC    98.37 C   31,395   +1,975    98.37 P   31,176     +961

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     UNCH

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   -- 0.95 (89,377 PUTS VS. 93,237 CALLS)

MAR20 10Y NOTE PUT/CALL RATIO   -- 0.85 (52,918 PUTS VS. 61,068 CALLS)

JAN20 5Y NOTE PUT/CALL RATIO    -- 1.47 (21,898 PUTS VS. 14,836 CALLS)

MAR20 5Y NOTE PUT/CALL RATIO    -- 0.24 (4,889 PUTS VS. 19,653 CALLS)

JAN20 2Y NOTE PUT/CALL RATIO    -- 7.69 (600 PUTS VS. 78 CALLS)

MAR20 2Y NOTE PUT/CALL RATIO    -- 0.07 (366 PUTS VS. 4,917 CALLS)

JAN20 EURODLRS PUT/CALL RATIO   -- 0.17 (9,202 PUTS VS. 53,258 CALLS)

MAR20 EURODLRS PUT/CALL RATIO   -- 0.07 (13,733 PUTS VS. 191,294 CALLS)

MAR21 1Y-MIDCRVE PUT/CALL RATIO -- 0.31 (4,736 PUTS VS. 14,908 CALLS)

MAR22 2Y-MIDCRVE PUT/CALL RATIO -- 0.50 (4,000 PUTS VS. 8,000 CALLS)

MAR23 3Y-MIDCRVE PUT/CALL RATIO -- 0.00 (0 PUTS VS. 0 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

Mon 1500    46.54    61.02    60.37    63.37    64.16     64.65

1315        46.54    61.02    60.37    63.37    64.16     64.65

1030        46.24    61.06    60.22    63.19    64.01     64.57

Mon Open    46.29    61.08    60.25    63.26    64.05     64.61

Fri 1500    46.27    60.47    60.34    63.38    64.09     64.62

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

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

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