US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR DEC 30

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

             USG    USH     TYG    TYH     FVG    FVH     EDF     EDH

1330        7.63%  7.57%   4.00%  4.05%   2.45%  2.45%   13.00%  11.85%

1200        7.64%  7.59%   3.99%  4.04%   2.45%  2.45%   12.35%  12.30%

1045        7.71%  7.63%   4.03%  4.06%   2.45%  2.50%   13.20%  11.70%

0930        7.54%  7.46%   4.01%  4.01%   2.45%  2.44%   14.40%  11.55%

MON OPEN     N/A   7.25%    N/A   3.91%    N/A   2.37%   13.20%  11.90%

FRI 1500     N/A   7.25%    N/A   3.91%    N/A   2.37%   13.20%  11.90%

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

FEB20 10Y NOTE  130.00 C  220,111   +7,218   127.00 P  123,758   +5,591

MAR20 10Y NOTE  131.00 C   72,524      -17   117.50 P   66,948     UNCH

FEB20 5Y NOTE   119.25 C   53,454     -479   118.00 P   32,991   +1,895

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

FEB20 2Y NOTE   107.75 C    6,090      +99   107.12 P   24,173     UNCH

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     UNCH

MAR20 EURODLR    98.37 C  470,247   +1,300    98.25 P  542,635   +1,949

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

FEB20 10Y NOTE  128.00 C   17,635     -578   128.00 P   59,768   +4,669

FEB20 10Y NOTE  128.50 C  101,034   +2,707   128.50 P   42,956   +4,624

MAR20 10Y NOTE  128.00 C   11,390   +1,411   128.00 P   35,662      -62

MAR20 10Y NOTE  128.50 C   25,901     +555   128.50 P   23,182     +860

FEB20 5Y NOTE   118.25 C    8,182     UNCH   118.25 P   14,123     +693

FEB20 5Y NOTE   118.50 C   45,838     UNCH   118.50 P   18,500   +1,345

MAR20 5Y NOTE   118.25 C    2,625       +5   118.25 P    8,561     +708

MAR20 5Y NOTE   118.50 C   12,492     +316   118.50 P   18,319     -411

FEB20 2Y NOTE   107.62 C    1,642      -67   107.62 P    5,736     -609

FEB20 2Y NOTE   107.75 C    6,090      +99   107.75 P   12,299   +1,384

MAR20 2Y NOTE   107.62 C      565     UNCH   107.62 P    3,118     -199

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

JAN20 EURODLR    98.25 C   74,193   +3,600    98.25 P   91,374     +499

JAN20 EURODLR    98.37 C   90,123  +14,833    98.37 P   25,287     UNCH

MAR20 EURODLR    98.25 C  380,596   +4,074    98.25 P  542,635   +1,949

MAR20 EURODLR    98.37 C  470,247   +1,300    98.37 P  270,785       -1

MAR21 1Y-MIDC    98.37 C   72,771     UNCH    98.37 P   73,100     -250

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   28,915   -2,161

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:

FEB20 10Y NOTE PUT/CALL RATIO   -- 0.96 (111,440 PUTS VS. 115,557 CALLS)

MAR20 10Y NOTE PUT/CALL RATIO   -- 0.62 (34,953 PUTS VS. 55,865 CALLS)

FEB20 5Y NOTE PUT/CALL RATIO    -- 0.74 (23,496 PUTS VS. 31,284 CALLS)

MAR20 5Y NOTE PUT/CALL RATIO    -- 10.2 (11,209 PUTS VS. 1,120 CALLS)

FEB20 2Y NOTE PUT/CALL RATIO    -- 0.60 (4,950 PUTS VS. 8,181 CALLS)

MAR20 2Y NOTE PUT/CALL RATIO    -- 1.41 (1,785 PUTS VS. 1,219 CALLS)

JAN20 EURODLRS PUT/CALL RATIO   -- 0.02 (1,016 PUTS VS. 54,752 CALLS)

MAR20 EURODLRS PUT/CALL RATIO   -- 0.22 (19,325 PUTS VS. 85,224 CALLS)

MAR21 1Y-MIDCRVE PUT/CALL RATIO -- 0.01 (250 PUTS VS. 17,750 CALLS)

MAR22 2Y-MIDCRVE PUT/CALL RATIO -- 5.33 (4,800 PUTS VS. 900 CALLS)

MAR23 3Y-MIDCRVE PUT/CALL RATIO -- 1.00 (1,000 PUTS VS. 1,000 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

1330        48.80    66.30    62.20    64.64    63.73     64.33

1200        48.73    66.51    62.14    64.67    63.60     64.23

1045        48.92    66.28    61.91    64.25    63.26     64.30

0930        48.52    65.53    61.73    63.94    63.64     64.28

Mon Open    48.53    63.11    61.81    63.97    63.64     64.27

Fri 1500    48.55    61.60    61.62    64.01    63.65     64.27

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

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

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