US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR FEB 12

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

             USH    USJ     TYH    TYJ     FVH    FVJ     EDG     EDH

1145        7.85%  7.82%   4.08%  4.08%   2.46%  2.65%    N/A    16.05%

0930        7.82%  7.81%   4.07%  4.09%   2.42%  2.65%    N/A    16.11%

WED OPEN    7.81%  7.81%   4.05%  4.10%   2.41%  2.65%    N/A    16.35%

TUE 1500    8.28%  7.99%   4.25%  4.25%   2.69%  2.72%    N/A    18.10%

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

MAR20 10Y NOTE  131.00 C  117,616   -1,891   128.00 P  130,992     UNCH

APR20 10Y NOTE  132.00 C   74,362   +1,287   129.00 P   90,423  +19,564

MAR20 5Y NOTE   119.00 C   45,743       -2   111.00 P  252,174     UNCH

APR20 5Y NOTE   121.50 C   48,883      +16   119.50 P   52,596     -270

MAR20 2Y NOTE   108.00 C    9,427     -137   105.75 P   55,165     UNCH

APR20 2Y NOTE   108.50 C    3,402     UNCH   108.00 P    3,794      +18

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

MAR20 EURODLR    98.50 C  542,822     -148    98.12 P  409,730   -4,500

MAR21 1Y-MIDC    99.75 C  238,047     UNCH    98.37 P  203,531   +4,240

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  102,648       -4   130.50 P   78,245     -221

MAR20 10Y NOTE  131.00 C  117,616   -1,891   131.00 P   49,347   +3,914

APR20 10Y NOTE  130.50 C   34,806      +74   130.50 P   31,786     -170

APR20 10Y NOTE  131.00 C   69,376     +876   131.00 P   25,386   +1,752

MAR20 5Y NOTE   119.75 C   19,882     UNCH   119.75 P   16,759     +221

MAR20 5Y NOTE   120.00 C   36,913     -763   120.00 P   11,947       -2

APR20 5Y NOTE   120.00 C    8,348     +175   120.00 P   13,962   +5,347

APR20 5Y NOTE   120.25 C    7,332   +1,019   120.25 P    4,835   +1,571

MAR20 2Y NOTE   107.88 C    5,053     UNCH   107.88 P   10,279   +2,306

MAR20 2Y NOTE   108.00 C    9,427     -137   108.00 P    1,347   -3,246

APR20 2Y NOTE   107.88 C      416     UNCH   107.88 P    3,470     +100

APR20 2Y NOTE   108.00 C      146     UNCH   108.00 P    3,794      +18

FEB20 EURODLR    98.25 C   64,929     UNCH    98.25 P  105,859     UNCH

FEB20 EURODLR    98.37 C  100,641     -500    98.37 P   41,183     +250

MAR20 EURODLR    98.25 C  247,433     +752    98.25 P  374,910  -92,934

MAR20 EURODLR    98.37 C  437,324     +819    98.37 P  169,982   +1,920

MAR21 1Y-MIDC    98.37 C  113,716   -4,371    98.37 P  203,531   +4,240

MAR21 1Y-MIDC    98.50 C  146,163   -6,328    98.50 P  159,655   +2,341

MAR22 2Y-MIDC    98.37 C   31,398     UNCH    98.37 P   42,185   -1,445

MAR22 2Y-MIDC    98.50 C   34,628     UNCH    98.50 P   39,151     +750

MAR23 3Y-MIDC    98.37 C   10,870     UNCH    98.37 P   26,682   +1,673

MAR23 3Y-MIDC    98.50 C   44,909     UNCH    98.50 P   17,018   +1,689

PUT/CALL RATIO FOR VOLUME CLEARED:

MAR20 10Y NOTE PUT/CALL RATIO   -- 0.88 (70,399 PUTS VS. 80,067 CALLS)

APR20 10Y NOTE PUT/CALL RATIO   -- 2.47 (104,336 PUTS VS. 42,230 CALLS)

MAR20 5Y NOTE PUT/CALL RATIO    -- 0.46 (9,010 PUTS VS. 19,279 CALLS)

APR20 5Y NOTE PUT/CALL RATIO    -- 1.65 (13,961 PUTS VS. 8,425 CALLS)

MAP20 2Y NOTE PUT/CALL RATIO    -- 0.01 (10,388 PUTS VS. 653 CALLS)

APR20 2Y NOTE PUT/CALL RATIO    -- 0.00 (850 PUTS VS. 0 CALLS)

FEB20 EURODLRS PUT/CALL RATIO   -- 0.10 (272 PUTS VS. 2,762 CALLS)

MAR20 EURODLRS PUT/CALL RATIO   -- 2.28 (144,558 PUTS VS. 63,150 CALLS)

MAR21 1Y-MIDCRVE PUT/CALL RATIO -- 0.26 (21,751 PUTS VS. 79,788 CALLS)

MAR22 2Y-MIDCRVE PUT/CALL RATIO -- 2.61 (13,832 PUTS VS. 5,063 CALLS)

MAR23 3Y-MIDCRVE PUT/CALL RATIO -- 0.00 (11,762 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

1145        57.73    68.42    64.84    66.16    64.96     65.47

0930        58.11    68.57    64.97    66.27    64.93     65.31

Wed Open    58.90    68.98    65.09    66.54    64.86     65.27

Tue 1500    60.35    69.41    65.88    67.31    65.28     65.60

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

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

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