US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR DEC 31

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

             USG    USH     TYG    TYH     FVG    FVH     EDF     EDH

0930        7.55%  7.54%   3.84%  3.98%   2.33%  2.43%   11.40%  13.20%

TUE OPEN    7.62%  7.51%   3.97%  4.02%   2.38%  2.45%   13.90%  11.35%

MON 1500    7.62%  7.55%   4.01%  4.05%   2.44%  2.45%   13.40%  11.50%

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     N/A   7.47%    N/A   4.02%    N/A   2.45%   14.05%  12.45%

TUE 1300     N/A   7.46%    N/A   4.02%    N/A   2.44%   12.75%  11.85%

TUE OPEN     N/A   7.33%    N/A   4.01%    N/A   2.39%   11.99%  11.70%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

FEB20 10Y NOTE  130.00 C  221,191   +3,606   127.00 P  123,678      -79

MAR20 10Y NOTE  131.00 C   77,113   +4,589   117.50 P   66,948     UNCH

FEB20 5Y NOTE   119.25 C   53,384      -70   118.00 P   33,350     +359

MAR20 5Y NOTE   119.00 C   31,523      +22   111.00 P  252,174     UNCH

FEB20 2Y NOTE   107.75 C    6,090     UNCH   107.12 P   24,223      +50

MAR20 2Y NOTE   108.00 C    8,823   +2,501   105.75 P   55,165     UNCH

JAN20 EURODLR    98.50 C  126,858     UNCH    98.12 P  109,555   -5,000

MAR20 EURODLR    98.37 C  455,501  -14,746    98.25 P  538,835   -3,800

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   17,606      -29   128.00 P   64,019   +4,248

FEB20 10Y NOTE  128.50 C  103,784   +2,750   128.50 P   49,148   +6,192

MAR20 10Y NOTE  128.00 C   11,630     +240   128.00 P   35,459     -203

MAR20 10Y NOTE  128.50 C   28,261   +2,360   128.50 P   24,092     +910

FEB20 5Y NOTE   118.25 C    8,182     UNCH   118.25 P   14,122       -1

FEB20 5Y NOTE   118.50 C   45,838     UNCH   118.50 P   18,565      +65

MAR20 5Y NOTE   118.25 C    2,526      -99   118.25 P    9,060     +499

MAR20 5Y NOTE   118.50 C   12,492     UNCH   118.50 P   18,140     -179

FEB20 2Y NOTE   107.62 C    2,352     +710   107.62 P    6,262     +506

FEB20 2Y NOTE   107.75 C    6,090     UNCH   107.75 P   12,298       -1

MAR20 2Y NOTE   107.62 C      565     UNCH   107.62 P    2,962     -156

MAR20 2Y NOTE   107.75 C    1,055     UNCH   107.75 P    2,726       +6

JAN20 EURODLR    98.25 C   74,193     UNCH    98.25 P   83,913   -7,461

JAN20 EURODLR    98.37 C   90,123     UNCH    98.37 P   25,287     UNCH

MAR20 EURODLR    98.25 C  374,073   -6,525    98.25 P  538,835   -3,800

MAR20 EURODLR    98.37 C  455,501  -14,746    98.37 P  270,787       +2

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

MAR21 1Y-MIDC    98.50 C   64,159   +1,090    98.50 P   50,900     UNCH

MAR22 2Y-MIDC    98.37 C   31,398     UNCH    98.37 P   28,965      +50

MAR22 2Y-MIDC    98.50 C   34,891     -120    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   -- 0.67 (95,360 PUTS VS. 142,031 CALLS)

MAR20 10Y NOTE PUT/CALL RATIO   -- 0.51 (27,727 PUTS VS. 53,669 CALLS)

FEB20 5Y NOTE PUT/CALL RATIO    -- 0.34 (6,622 PUTS VS. 19,530 CALLS)

MAR20 5Y NOTE PUT/CALL RATIO    -- 4.75 (38,119 PUTS VS. 8,197 CALLS)

FEB20 2Y NOTE PUT/CALL RATIO    -- 2.13 (4,950 PUTS VS. 2,309 CALLS)

MAR20 2Y NOTE PUT/CALL RATIO    -- 0.99 (2,608 PUTS VS. 2,727 CALLS)

JAN20 EURODLRS PUT/CALL RATIO   -- 0.00 (19,226 PUTS VS. 0 CALLS)

MAR20 EURODLRS PUT/CALL RATIO   -- 0.20 (46,546 PUTS VS. 223,142 CALLS)

MAR21 1Y-MIDCRVE PUT/CALL RATIO -- 0.00 (2 PUTS VS. 3,145 CALLS)

MAR22 2Y-MIDCRVE PUT/CALL RATIO -- 0.04 (651 PUTS VS. 12,420 CALLS)

MAR23 3Y-MIDCRVE PUT/CALL RATIO -- 2.80 (701 PUTS VS. 250 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

0930        48.67    66.16    62.21    64.69    63.88     64.37

Tue Open    48.77    66.40    62.41    64.68    63.75     64.26

Mon 1500    47.53    66.33    62.29    64.65    63.75     64.31

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

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

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