US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR DEC 24

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

             USF    USH     TYF    TYH     FVF    FVH     EDF     EDH

1145        6.51%  7.49%   3.30%  4.03%   1.85%  2.43%   12.80%  12.12%

1030        6.69%  7.54%   3.55%  4.06%   1.97%  2.44%   12.90%  11.50%

0915        6.04%  7.48%   3.27%  4.06%   1.83%  2.43%   12.42%  11.95%

TUE OPEN    6.21%  7.33%   3.25%  4.01%   1.83%  2.39%   11.99%  11.70%

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

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

JAN20 10Y NOTE  131.00 C  154,691     UNCH   128.00 P   80,178   -5,899

MAR20 10Y NOTE  131.00 C   72,544     -304   117.50 P   66,948     UNCH

JAN20 5Y NOTE   120.50 C   71,087     UNCH   118.25 P   48,436     -338

MAR20 5Y NOTE   119.00 C   31,485   +1,000   111.00 P  251,174     UNCH

JAN20 2Y NOTE   108.00 C   10,738     UNCH   107.62 P   12,476   -1,000

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  467,063   +2,731    98.25 P  541,197  -49,500

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   12,009   -1,181   128.00 P   80,178   -5,899

JAN20 10Y NOTE  128.50 C   36,976     +230   128.50 P   71,100     +275

MAR20 10Y NOTE  128.00 C    9,850     +586   128.00 P   35,297      -90

MAR20 10Y NOTE  128.50 C   24,291     +381   128.50 P   19,330     +374

JAN20 5Y NOTE   118.25 C    6,928   +1,696   118.25 P   48,436     -338

JAN20 5Y NOTE   118.50 C   32,484     -125   118.50 P   29,639   -1,547

MAR20 5Y NOTE   118.25 C    2,648      -47   118.25 P    7,588      -50

MAR20 5Y NOTE   118.50 C   12,649     +155   118.50 P   19,181       +1

JAN20 2Y NOTE   107.62 C    3,641     UNCH   107.62 P   12,476   -1,000

JAN20 2Y NOTE   107.75 C    6,325      +65   107.75 P    7,164   -2,544

MAR20 2Y NOTE   107.62 C      565      +50   107.62 P    3,212     UNCH

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

JAN20 EURODLR    98.25 C   70,593   +5,000    98.25 P   96,143     +264

JAN20 EURODLR    98.37 C   75,290   +4,000    98.37 P   27,422     UNCH

MAR20 EURODLR    98.25 C  406,571  -32,885    98.25 P  541,197  -49,500

MAR20 EURODLR    98.37 C  448,196  +12,918    98.37 P  270,786  +22,765

MAR21 1Y-MIDC    98.37 C   72,771     UNCH    98.37 P   73,350     UNCH

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

MAR22 2Y-MIDC    98.37 C   31,395     UNCH    98.37 P   31,076     -100

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   -- 1.15 (61,327 PUTS VS. 53,603 CALLS)

MAR20 10Y NOTE PUT/CALL RATIO   -- 2.29 (39,858 PUTS VS. 17,869 CALLS)

JAN20 5Y NOTE PUT/CALL RATIO    -- 1.36 (26,797 PUTS VS. 19,899 CALLS)

MAR20 5Y NOTE PUT/CALL RATIO    -- 1.66 (3,514 PUTS VS. 2,196 CALLS)

JAN20 2Y NOTE PUT/CALL RATIO    -- 81.8 (6,625 PUTS VS. 81 CALLS)

MAR20 2Y NOTE PUT/CALL RATIO    -- 0.28 (366 PUTS VS. 1,277 CALLS)

JAN20 EURODLRS PUT/CALL RATIO   -- 0.01 (766 PUTS VS. 25,000 CALLS)

MAR20 EURODLRS PUT/CALL RATIO   -- 0.18 (104,218 PUTS VS. 576,822 CALLS)

MAR21 1Y-MIDCRVE PUT/CALL RATIO -- 0.00 (20 PUTS VS. 0 CALLS)

MAR22 2Y-MIDCRVE PUT/CALL RATIO -- 0.00 (7,253 PUTS VS. 0 CALLS)

MAR23 3Y-MIDCRVE PUT/CALL RATIO -- 0.00 (5,250 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

1145        48.29    63.12    61.52    64.55    64.50     64.75

1030        47.91    63.14    61.27    64.21    64.50     64.78

0915        44.07    62.59    61.24    64.21    64.59     64.80

Tue Open    46.11    61.47    60.66    63.71    64.21     64.71

Mon 1500    46.54    61.02    60.37    63.37    64.16     64.65

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

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

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