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US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR DEC 26

EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
             USF    USH     TYF    TYH     FVF    FVH     EDF     EDH
TUE 1300    6.42%  7.46%   3.34%  4.02%   1.75%  2.44%   12.75%  11.85%
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%
LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE
JAN20 10Y NOTE  131.00 C  154,691     UNCH   128.00 P   76,136   -4,042
MAR20 10Y NOTE  131.00 C   72,544     UNCH   117.50 P   66,948     UNCH
JAN20 5Y NOTE   120.50 C   71,087     UNCH   118.25 P   49,711   +1,275
MAR20 5Y NOTE   119.00 C   31,486       +1   111.00 P  251,174     UNCH
JAN20 2Y NOTE   108.00 C   10,738     UNCH   107.62 P   12,276     -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  117,507     -162
MAR20 EURODLR    98.37 C  468,945  +20,749    98.25 P  540,685     -511
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   11,501     -508   128.00 P   76,136   -4,042
JAN20 10Y NOTE  128.50 C   39,544   +2,668   128.50 P   71,739     +639
MAR20 10Y NOTE  128.00 C    9,951     +101   128.00 P   35,215     +458
MAR20 10Y NOTE  128.50 C   24,571     +280   128.50 P   19,154     -176
JAN20 5Y NOTE   118.25 C    8,506   +1,578   118.25 P   49,711   +1,275
JAN20 5Y NOTE   118.50 C   32,631     +147   118.50 P   29,633       -6
MAR20 5Y NOTE   118.25 C    2,620      -28   118.25 P    7,588     UNCH
MAR20 5Y NOTE   118.50 C   12,649     UNCH   118.50 P   19,181     UNCH
JAN20 2Y NOTE   107.62 C    3,641     UNCH   107.62 P   12,276     -200
JAN20 2Y NOTE   107.75 C    6,337      +12   107.75 P    6,844     -320
MAR20 2Y NOTE   107.62 C      565     UNCH   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     UNCH    98.25 P   90,875   -5,268
JAN20 EURODLR    98.37 C   75,290     UNCH    98.37 P   25,287   -2,135
MAR20 EURODLR    98.25 C  376,520  -30,051    98.25 P  540,685     -500
MAR20 EURODLR    98.37 C  468,945  +20,749    98.37 P  270,786     UNCH
MAR21 1Y-MIDC    98.37 C   72,771     UNCH    98.37 P   73,350     UNCH
MAR21 1Y-MIDC    98.50 C   63,069     -470    98.50 P   50,900     UNCH
MAR22 2Y-MIDC    98.37 C   31,398     UNCH    98.37 P   31,076     UNCH
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   -- 1.57 (43,783 PUTS VS. 27,838 CALLS)
MAR20 10Y NOTE PUT/CALL RATIO   -- 0.94 (20,002 PUTS VS. 21,129 CALLS)
JAN20 5Y NOTE PUT/CALL RATIO    -- 0.83 (8,293 PUTS VS. 9,867 CALLS)
MAR20 5Y NOTE PUT/CALL RATIO    -- 0.54 (2,580 PUTS VS. 4,697 CALLS)
JAN20 2Y NOTE PUT/CALL RATIO    -- 23.4 (820 PUTS VS. 35 CALLS)
MAR20 2Y NOTE PUT/CALL RATIO    -- 0.00 (0 PUTS VS. 0 CALLS)
JAN20 EURODLRS PUT/CALL RATIO   -- 0.00 (15,930 PUTS VS. 0 CALLS)
MAR20 EURODLRS PUT/CALL RATIO   -- 0.27 (71,936 PUTS VS. 265,204 CALLS)
MAR21 1Y-MIDCRVE PUT/CALL RATIO -- 0.00 (0 PUTS VS. 4,852 CALLS)
MAR22 2Y-MIDCRVE PUT/CALL RATIO -- 0.00 (3,700 PUTS VS. 0 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
Thu 1300    48.22    63.13    61.51    64.54    64.50     64.73
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
--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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