US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR FEB 10

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

             USH    USJ     TYH    TYJ     FVH    FVJ     EDG     EDH

MON 1500    8.82%  8.36%   4.50%  4.40%   2.88%  2.80%    N/A    18.45%

1315        8.88%  8.30%   4.51%  4.38%   2.92%  2.82%    N/A    18.55%

1145        8.90%  8.28%   4.50%  4.39%   2.94%  2.79%    N/A    19.05%

0930        8.92%  8.27%   4.50%  4.35%   2.89%  2.78%    N/A    19.00%

MON OPEN    8.84%  8.17%   4.43%  4.27%   2.80%  2.72%    N/A    17.27%

THU 1500    7.52%  7.35%   3.78%  3.94%   2.40%  2.50%    N/A    17.25%

THU OPEN    8.25%  7.70%   4.14%  4.10%   2.57%  2.65%    N/A    17.50%

WED 1500    8.21%  7.70%   4.16%  4.12%   2.54%  2.64%    N/A    17.00%

WED OPEN    8.33%  7.75%   4.23%  4.12%   2.65%  2.62%    N/A    15.88%

TUE 1500    8.60%  8.12%   4.45%  4.25%   2.81%  2.80%    N/A    17.25%

TUE OPEN    9.05%  8.38%   4.67%  4.39%   2.93%  2.87%    N/A    21.75%

MON 1500    9.52%  8.65%   4.97%  4.60%   3.14%  2.94%    N/A    22.50%

MON OPEN    9.49%  8.58%   4.88%  4.55%   3.12%  2.88%    N/A    22.96%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

MAR20 10Y NOTE  131.50 C  115,482  +14,990   128.00 P  130,992     -403

APR20 10Y NOTE  131.00 C   69,731   +5,542   128.00 P   74,476     +502

MAR20 5Y NOTE   119.00 C   45,745       +4   111.00 P  252,174     UNCH

APR20 5Y NOTE   121.50 C   48,868     -516   119.50 P   61,958   +5,523

MAR20 2Y NOTE   108.00 C    9,566     +371   105.75 P   55,165     UNCH

APR20 2Y NOTE   108.50 C    3,402     +831   108.00 P    3,776     +411

FEB20 EURODLR    99.12 C  164,000     UNCH    98.25 P  103,965   +1,258

MAR20 EURODLR    98.50 C  541,490   +7,914    98.25 P  528,194  -11,555

MAR21 1Y-MIDC    99.75 C  238,047     UNCH    98.37 P  180,591     +596

MAR22 2Y-MIDC    98.25 C   78,546     UNCH    98.25 P  100,183     UNCH

MAR23 3Y-MIDC    98.12 C   53,469     UNCH    98.12 P   38,842     UNCH

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

MAR20 10Y NOTE  130.50 C  104,326     -886   130.50 P   81,984   +2,786

MAR20 10Y NOTE  131.00 C  115,474   +6,320   131.00 P   46,018   +6,495

APR20 10Y NOTE  130.50 C   34,758     +341   130.50 P   32,241   +2,904

APR20 10Y NOTE  131.00 C   69,731   +5,542   131.00 P   21,748   +3,166

MAR20 5Y NOTE   119.75 C   20,102     -221   119.75 P   10,788     -784

MAR20 5Y NOTE   120.00 C   36,715     +698   120.00 P    9,584     +402

APR20 5Y NOTE   120.00 C    8,074     UNCH   120.00 P    7,719     +124

APR20 5Y NOTE   120.25 C    6,186      +50   120.25 P    3,268      +50

MAR20 2Y NOTE   107.88 C    5,053     UNCH   107.88 P    7,972     UNCH

MAR20 2Y NOTE   108.00 C    9,566     +371   108.00 P    4,592     UNCH

APR20 2Y NOTE   107.88 C      416     UNCH   107.88 P    3,370     UNCH

APR20 2Y NOTE   108.00 C      146     UNCH   108.00 P    3,776     +411

FEB20 EURODLR    98.25 C   64,930     UNCH    98.25 P  103,965   +1,258

FEB20 EURODLR    98.37 C  103,323   -1,678    98.37 P   39,542     +107

MAR20 EURODLR    98.25 C  245,611     -326    98.25 P  528,194  -11,555

MAR20 EURODLR    98.37 C  465,477   +5,333    98.37 P  182,475  -23,112

MAR21 1Y-MIDC    98.37 C  118,087     UNCH    98.37 P  180,591     +596

MAR21 1Y-MIDC    98.50 C  152,491     UNCH    98.50 P  123,798  +16,048

MAR22 2Y-MIDC    98.37 C   31,398     UNCH    98.37 P   43,630     UNCH

MAR22 2Y-MIDC    98.50 C   34,378     UNCH    98.50 P   37,901     UNCH

MAR23 3Y-MIDC    98.37 C   10,870     UNCH    98.37 P   25,009   +2,320

MAR23 3Y-MIDC    98.50 C   44,909     UNCH    98.50 P   15,350     UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

MAR20 10Y NOTE PUT/CALL RATIO   -- 0.85 (225,568 PUTS VS. 262,652 CALLS)

APR20 10Y NOTE PUT/CALL RATIO   -- 1.12 (73,000 PUTS VS. 65,959 CALLS)

MAR20 5Y NOTE PUT/CALL RATIO    -- 0.73 (19,690 PUTS VS. 26,076 CALLS)

APR20 5Y NOTE PUT/CALL RATIO    -- 6.62 (53,375 PUTS VS. 8,276 CALLS)

MAP20 2Y NOTE PUT/CALL RATIO    -- 0.16 (792 PUTS VS. 4,972 CALLS)

APR20 2Y NOTE PUT/CALL RATIO    -- 0.53 (740 PUTS VS. 1,393 CALLS)

FEB20 EURODLRS PUT/CALL RATIO   -- 0.05 (1,393 PUTS VS. 23,008 CALLS)

MAR20 EURODLRS PUT/CALL RATIO   -- 0.45 (45,018 PUTS VS. 100,081 CALLS)

MAR21 1Y-MIDCRVE PUT/CALL RATIO -- 1.25 (54,055 PUTS VS. 43,339 CALLS)

MAR22 2Y-MIDCRVE PUT/CALL RATIO -- 0.76 (8,744 PUTS VS. 11,394 CALLS)

MAR23 3Y-MIDCRVE PUT/CALL RATIO -- 1.22 (8,810 PUTS VS. 7,210 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

Mon 1500    61.14    72.89    67.51    68.90    65.52     65.58

1315        61.14    72.91    67.54    68.89    65.51     65.69

1145        61.55    73.35    67.75    68.97    65.55     65.71

0930        59.44    72.74    67.06    67.95    65.49     65.44

Mon Open    59.25    70.43    65.55    67.65    65.25     65.46

Thu 1500    55.84    66.48    61.92    63.96    64.36     64.83

Thu Open    56.65    68.52    63.70    64.84    64.34     65.12

Wed 1500    56.90    67.62    64.15    65.39    64.64     65.66

Wed Open    58.07    71.60    65.38    66.66    64.90     65.84

Tue 1500    59.35    72.38    66.39    67.59    65.48     66.32

Tue Open    63.90    73.78    69.44    69.37    66.33     66.72

Mon 1500    64.00    77.14    70.77    70.67    66.78     66.83

Mon Open    63.45    77.93    70.50    71.37    66.70     66.78

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

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