US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR FEB 14

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

             USH    USJ     TYH    TYJ     FVH    FVJ     EDG     EDH

1230        7.28%  7.56%   3.68%  3.95%   2.20%  2.61%    N/A    17.31%

1000        7.24%  7.55%   3.71%  3.98%   2.11%  2.60%    N/A    16.85%

FRI OPEN    7.22%  7.55%   3.90%  4.00%   2.06%  2.60%    N/A    16.30%

THU 1500    7.56%  7.90%   3.97%  4.18%   2.56%  2.66%    N/A    15.95%

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

MAR20 10Y NOTE  131.50 C  150,505   +2,886   130.00 P  136,405   +6,728

APR20 10Y NOTE  131.00 C   75,021   +3,735   129.00 P   94,874   +1,722

MAR20 5Y NOTE   119.00 C   45,738       -5   111.00 P  252,174     UNCH

APR20 5Y NOTE   121.50 C   48,887       +4   119.50 P   59,423     +919

MAR20 2Y NOTE   108.00 C    9,420       +3   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  544,090     +300    98.12 P  409,726     UNCH

MAR21 1Y-MIDC    99.75 C  238,047     UNCH    98.37 P  175,808  -25,473

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  112,474     -555   130.50 P   81,060   -4,084

MAR20 10Y NOTE  131.00 C  113,823     -259   131.00 P   47,272     -817

APR20 10Y NOTE  130.50 C   34,013     -345   130.50 P   29,218   -2,719

APR20 10Y NOTE  131.00 C   75,021   +3,735   131.00 P   26,862   +1,593

MAR20 5Y NOTE   119.75 C   20,520     -811   119.75 P   21,095     +707

MAR20 5Y NOTE   120.00 C   35,850     +276   120.00 P   12,121     +183

APR20 5Y NOTE   120.00 C   14,676     +100   120.00 P   16,691      +20

APR20 5Y NOTE   120.25 C    7,893     +541   120.25 P    5,182     +309

MAR20 2Y NOTE   107.88 C    5,053     UNCH   107.88 P    9,982     -300

MAR20 2Y NOTE   108.00 C    9,420       +3   108.00 P    1,347     UNCH

APR20 2Y NOTE   107.88 C      441     UNCH   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     UNCH    98.25 P  105,859     UNCH

FEB20 EURODLR    98.37 C   93,890   -6,001    98.37 P   41,183     UNCH

MAR20 EURODLR    98.25 C  246,398     -500    98.25 P  332,770  -39,375

MAR20 EURODLR    98.37 C  422,017   -3,937    98.37 P  156,585  -14,747

MAR21 1Y-MIDC    98.37 C  113,716     UNCH    98.37 P  175,808  -25,473

MAR21 1Y-MIDC    98.50 C  146,063     UNCH    98.50 P  173,909   +9,754

MAR22 2Y-MIDC    98.37 C   31,398     UNCH    98.37 P   43,935   +1,750

MAR22 2Y-MIDC    98.50 C   34,628     UNCH    98.50 P   45,832   +6,681

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   16,418     -500

PUT/CALL RATIO FOR VOLUME CLEARED:

MAR20 10Y NOTE PUT/CALL RATIO   -- 0.88 (114,548 PUTS VS. 129,046 CALLS)

APR20 10Y NOTE PUT/CALL RATIO   -- 0.80 (74,418 PUTS VS. 92,417 CALLS)

MAR20 5Y NOTE PUT/CALL RATIO    -- 1.81 (20,916 PUTS VS. 11,307 CALLS)

APR20 5Y NOTE PUT/CALL RATIO    -- 1.91 (19,693 PUTS VS. 10,796 CALLS)

MAP20 2Y NOTE PUT/CALL RATIO    -- 132.0 (1,323 PUTS VS. 10 CALLS)

APR20 2Y NOTE PUT/CALL RATIO    -- 0.08 (87 PUTS VS. 971 CALLS)

FEB20 EURODLRS PUT/CALL RATIO   -- 0.00 (0 PUTS VS. 14,002 CALLS)

MAR20 EURODLRS PUT/CALL RATIO   -- 1.87 (75,676 PUTS VS. 40,918 CALLS)

MAR21 1Y-MIDCRVE PUT/CALL RATIO -- 0.61 (75,339 PUTS VS. 122,211 CALLS)

MAR22 2Y-MIDCRVE PUT/CALL RATIO -- 1.41 (14,874 PUTS VS. 10,655 CALLS)

MAR23 3Y-MIDCRVE PUT/CALL RATIO -- 0.35 (2,000 PUTS VS. 5,703 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

1230        60.25    66.13    65.18    66.36    64.79     65.15

1000        60.05    65.86    64.91    66.06    64.71     65.09

Fri Open    59.75    65.31    64.73    65.88    64.68     65.05

Thu 1500    59.19    67.84    64.61    65.78    64.44     65.01

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

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

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