US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR FEB 13

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

             USH    USJ     TYH    TYJ     FVH    FVJ     EDG     EDH

1400        7.65%  7.82%   3.98%  4.18%   2.57%  2.64%    N/A    15.45%

1230        8.01%  7.94%   3.96%  4.16%   2.58%  2.66%    N/A    16.65%

0930        8.04%  7.90%   4.14%  4.15%   2.58%  2.65%    N/A    16.12%

THU OPEN    8.29%  8.00%   4.12%  4.22%   2.64%  2.67%    N/A    17.40%

WED 1500    7.69%  7.75%   4.04%  4.11%   2.44%  2.67%    N/A    16.40%

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

MAR20 10Y NOTE  131.50 C  147,619  +34,521   128.00 P  131,164     +172

APR20 10Y NOTE  132.00 C   74,134     -188   129.00 P   93,152   +2,729

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

APR20 5Y NOTE   121.50 C   48,883     UNCH   119.50 P   58,504   +5,908

MAR20 2Y NOTE   108.00 C    9,417      -10   105.75 P   55,165     UNCH

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

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

MAR20 EURODLR    98.50 C  543,790     +968    98.12 P  409,726       -4

MAR21 1Y-MIDC    99.75 C  238,047     UNCH    98.37 P  201,531   -2,000

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  113,029  +10,381   130.50 P   85,144   +6,899

MAR20 10Y NOTE  131.00 C  114,082   -3,534   131.00 P   48,089   -1,258

APR20 10Y NOTE  130.50 C   34,358     -448   130.50 P   31,937     +151

APR20 10Y NOTE  131.00 C   71,286   +1,910   131.00 P   25,269     -117

MAR20 5Y NOTE   119.75 C   21,331   +1,449   119.75 P   20,388   +3,629

MAR20 5Y NOTE   120.00 C   35,574   -1,339   120.00 P   11,938       -9

APR20 5Y NOTE   120.00 C   14,576   +6,228   120.00 P   16,671   +2,709

APR20 5Y NOTE   120.25 C    7,352      +20   120.25 P    4,873      +38

MAR20 2Y NOTE   107.88 C    5,053     UNCH   107.88 P   10,282       +3

MAR20 2Y NOTE   108.00 C    9,417      -10   108.00 P    1,347     UNCH

APR20 2Y NOTE   107.88 C      441      +25   107.88 P    3,475       +5

APR20 2Y NOTE   108.00 C      196     UNCH   108.00 P    3,794     UNCH

FEB20 EURODLR    98.25 C   64,927       -2    98.25 P  105,859     UNCH

FEB20 EURODLR    98.37 C   99,891     -750    98.37 P   41,183     UNCH

MAR20 EURODLR    98.25 C  246,898     -535    98.25 P  372,145   -2,765

MAR20 EURODLR    98.37 C  425,954  -11,370    98.37 P  171,332   +1,350

MAR21 1Y-MIDC    98.37 C  113,716     UNCH    98.37 P  201,531   -2,000

MAR21 1Y-MIDC    98.50 C  146,063     -100    98.50 P  164,155   +4,500

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

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

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

MAR23 3Y-MIDC    98.50 C   44,709     -200    98.50 P   16,918     -100

PUT/CALL RATIO FOR VOLUME CLEARED:

MAR20 10Y NOTE PUT/CALL RATIO   -- 0.88 (194,877 PUTS VS. 203,945 CALLS)

APR20 10Y NOTE PUT/CALL RATIO   -- 2.47 (50,075 PUTS VS. 47,596 CALLS)

MAR20 5Y NOTE PUT/CALL RATIO    -- 0.46 (47,795 PUTS VS. 9,909 CALLS)

APR20 5Y NOTE PUT/CALL RATIO    -- 1.65 (33,107 PUTS VS. 21,105 CALLS)

MAP20 2Y NOTE PUT/CALL RATIO    -- 0.01 (608 PUTS VS. 17 CALLS)

APR20 2Y NOTE PUT/CALL RATIO    -- 0.00 (87 PUTS VS. 95 CALLS)

FEB20 EURODLRS PUT/CALL RATIO   -- 0.00 (0 PUTS VS. 3,904 CALLS)

MAR20 EURODLRS PUT/CALL RATIO   -- 2.28 (12,922 PUTS VS. 60,982 CALLS)

MAR21 1Y-MIDCRVE PUT/CALL RATIO -- 0.26 (13,650 PUTS VS. 68,103 CALLS)

MAR22 2Y-MIDCRVE PUT/CALL RATIO -- 2.61 (12,732 PUTS VS. 12,750 CALLS)

MAR23 3Y-MIDCRVE PUT/CALL RATIO -- 0.00 (300 PUTS VS. 491 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

1400        59.11    68.46    64.69    65.86    64.41     64.96

1230        59.56    68.25    64.80    65.90    64.31     64.98

0930        58.66    68.85    65.32    66.46    64.82     65.17

Thu Open    58.33    68.61    65.10    66.19    64.75     65.08

Wed 1500    57.88    68.43    64.94    66.20    64.97     65.42

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

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

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