US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR FEB 11

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

             USH    USJ     TYH    TYJ     FVH    FVJ     EDG     EDH

1000        8.44%  7.95%   4.25%  4.20%   2.61%  2.69%    N/A    17.95%

TUE OPEN    8.54%  7.65%   4.38%  4.36%   2.69%  2.71%    N/A    17.15%

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

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

MAR20 10Y NOTE  131.00 C  119,498   -1,113   128.00 P  130,992     UNCH

APR20 10Y NOTE  132.00 C   73,075  +12,166   128.00 P   74,579     +103

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

APR20 5Y NOTE   121.50 C   48,867       -1   119.50 P   58,972   -2,986

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

APR20 2Y NOTE   108.50 C    3,402     UNCH   108.00 P    3,776     UNCH

FEB20 EURODLR    99.12 C  164,000     UNCH    98.25 P  105,859   +1,894

MAR20 EURODLR    98.50 C  542,970   +1,480    98.25 P  467,844  -60,341

MAR21 1Y-MIDC    99.75 C  238,047     UNCH    98.37 P  199,291  +18,700

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  102,652   -1,674   130.50 P   78,466   -3,518

MAR20 10Y NOTE  131.00 C  119,498   -1,113   131.00 P   45,433     -585

APR20 10Y NOTE  130.50 C   34,732      -26   130.50 P   32,071     -170

APR20 10Y NOTE  131.00 C   68,500   -1,231   131.00 P   23,634   +1,886

MAR20 5Y NOTE   119.75 C   19,882     -220   119.75 P   16,538   +5,750

MAR20 5Y NOTE   120.00 C   37,676     +961   120.00 P   11,949   +2,365

APR20 5Y NOTE   120.00 C    8,173      +99   120.00 P    8,615     +896

APR20 5Y NOTE   120.25 C    6,313     +127   120.25 P    3,264       -4

MAR20 2Y NOTE   107.88 C    5,053     UNCH   107.88 P    7,973       +1

MAR20 2Y NOTE   108.00 C    9,566     UNCH   108.00 P    4,593       +1

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     UNCH

FEB20 EURODLR    98.25 C   64,929       -1    98.25 P  105,859   +1,894

FEB20 EURODLR    98.37 C  101,141   -2,182    98.37 P   40,933   +1,391

MAR20 EURODLR    98.25 C  246,681     -962    98.25 P  467,844  -60,341

MAR20 EURODLR    98.37 C  436,505  -27,676    98.37 P  168,062  -14,413

MAR21 1Y-MIDC    98.37 C  118,087     UNCH    98.37 P  199,291  +18,700

MAR21 1Y-MIDC    98.50 C  152,491     UNCH    98.50 P  157,314  +33,526

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

MAR22 2Y-MIDC    98.50 C   34,628     +250    98.50 P   38,401     +500

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

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   -- 1.06 (149,193 PUTS VS. 140,904 CALLS)

APR20 10Y NOTE PUT/CALL RATIO   -- 1.09 (115,788 PUTS VS. 105,382 CALLS)

MAR20 5Y NOTE PUT/CALL RATIO    -- 2.04 (49,391 PUTS VS. 24,721 CALLS)

APR20 5Y NOTE PUT/CALL RATIO    -- 3.38 (22,779 PUTS VS. 6,725 CALLS)

MAP20 2Y NOTE PUT/CALL RATIO    -- 0.80 (79 PUTS VS. 98 CALLS)

APR20 2Y NOTE PUT/CALL RATIO    -- 0.74 (75 PUTS VS. 101 CALLS)

FEB20 EURODLRS PUT/CALL RATIO   -- 1.22 (11,269 PUTS VS. 9,910 CALLS)

MAR20 EURODLRS PUT/CALL RATIO   -- 0.32 (119,546 PUTS VS. 362,027 CALLS)

MAR21 1Y-MIDCRVE PUT/CALL RATIO -- 2.09 (86,120 PUTS VS. 41,170 CALLS)

MAR22 2Y-MIDCRVE PUT/CALL RATIO -- 1.26 (16,833 PUTS VS. 13,338 CALLS)

MAR23 3Y-MIDCRVE PUT/CALL RATIO -- 0.00 (0 PUTS VS. 20 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

1000        61.27    70.74    66.37    67.51    65.26     65.52

Tue Open    61.56    72.04    67.06    68.07    65.43     65.54

Mon 1500    61.14    72.89    67.51    68.90    65.52     65.58

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

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

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