US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR DEC 27

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

             USF    USH     TYF    TYH     FVF    FVH     EDF     EDH

1300         N/A   7.28%    N/A   3.92%    N/A   2.40%   12.75%  12.06%

1145         N/A   7.28%    N/A   3.93%    N/A   2.41%   13.05%  12.22%

0915         N/A   7.28%    N/A   3.95%    N/A   2.42%   13.50%  12.50%

FRI OPEN     N/A   7.23%    N/A   3.94%    N/A   2.43%   12.25%  11.75%

THU 1500     N/A   7.47%    N/A   4.04%    N/A   2.45%   13.00%  12.10%

THU OPEN    8.80%  7.47%   4.14%  4.02%   2.89%  2.45%   14.05%  12.45%

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

JAN20 10Y NOTE  131.00 C  154,691     UNCH   128.00 P   77,775   +1,639

MAR20 10Y NOTE  131.00 C   72,541       -3   117.50 P   66,948     UNCH

JAN20 5Y NOTE   120.50 C   71,087     UNCH   118.25 P   46,679   -3,033

MAR20 5Y NOTE   119.00 C   31,501      +15   111.00 P  252,174     UNCH

JAN20 2Y NOTE   108.00 C   10,713      -25   107.62 P   11,326     -950

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  114,555   -2,952

MAR20 EURODLR    98.37 C  468,947       +2    98.25 P  540,686     UNCH

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   11,460      -41   128.00 P   77,775   +1,639

JAN20 10Y NOTE  128.50 C   37,745   -1,799   128.50 P   70,737     -577

MAR20 10Y NOTE  128.00 C    9,979      +28   128.00 P   35,724     +509

MAR20 10Y NOTE  128.50 C   25,346     +775   128.50 P   22,322   +3,168

JAN20 5Y NOTE   118.25 C    6,348   -2,158   118.25 P   46,679   -3,033

JAN20 5Y NOTE   118.50 C   32,746     +115   118.50 P   27,776   -1,857

MAR20 5Y NOTE   118.25 C    2,620     UNCH   118.25 P    7,853     +265

MAR20 5Y NOTE   118.50 C   12,176     -473   118.50 P   18,730     -451

JAN20 2Y NOTE   107.62 C    3,641     UNCH   107.62 P   11,326     -950

JAN20 2Y NOTE   107.75 C    6,337     UNCH   107.75 P    6,077     -767

MAR20 2Y NOTE   107.62 C      565     UNCH   107.62 P    3,317     +105

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     UNCH

JAN20 EURODLR    98.37 C   75,290     UNCH    98.37 P   25,287     UNCH

MAR20 EURODLR    98.25 C  376,524       +4    98.25 P  540,686     UNCH

MAR20 EURODLR    98.37 C  468,947       +2    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     UNCH    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   -- 0.97 (35,546 PUTS VS. 36,284 CALLS)

MAR20 10Y NOTE PUT/CALL RATIO   -- 0.81 (16,663 PUTS VS. 20,427 CALLS)

JAN20 5Y NOTE PUT/CALL RATIO    -- 0.58 (8,412 PUTS VS. 14,330 CALLS)

MAR20 5Y NOTE PUT/CALL RATIO    -- 1.43 (3,331 PUTS VS. 2,332 CALLS)

JAN20 2Y NOTE PUT/CALL RATIO    -- 88.2 (2,207 PUTS VS. 25 CALLS)

MAR20 2Y NOTE PUT/CALL RATIO    -- 128. (2,305 PUTS VS. 18 CALLS)

JAN20 EURODLRS PUT/CALL RATIO   -- 0.00 (3,653 PUTS VS. 0 CALLS)

MAR20 EURODLRS PUT/CALL RATIO   -- 0.00 (0 PUTS VS. 662 CALLS)

MAR21 1Y-MIDCRVE PUT/CALL RATIO -- 0.01 (14 PUTS VS. 924 CALLS)

MAR22 2Y-MIDCRVE PUT/CALL RATIO -- 0.00 (600 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

1300        47.93    62.26    61.69    64.13    63.89     64.39

1145        47.81    62.29    61.71    64.16    63.91     64.27

0915        47.72    62.37    61.74    64.26    63.95     64.22

Fri Open    47.76    62.54    61.91    64.45    64.30     64.25

Thu 1500    48.11    62.76    62.20    64.64    64.50     64.72

Thu Open    48.32    63.03    62.25    64.64    64.49     64.70

Tue 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

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

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