US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR FEB 19

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

             USH    USJ     TYH    TYJ     FVH    FVJ     EDH     EDJ

1130        8.55%  7.99%   4.76%  4.22%   2.92%  2.70%   16.18%  31.25%

0930        8.62%  7.95%   4.65%  4.22%   2.94%  2.72%   17.45%  31.53%

WED OPEN    8.62%  7.95%   4.65%  4.22%   2.94%  2.72%   17.45%  31.53%

TUE 1500    8.44%  8.05%   4.63%  4.29%   2.92%  2.80%   18.40%  33.00%

TUE OPEN    9.26%  8.22%   5.03%  4.34%   3.15%  2.85%   17.20%  30.60%

FRI 1500    7.25%  7.64%   3.76%  4.02%   2.19%  2.59%   16.85%   N/A

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

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

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

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

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

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

MAR20 10Y NOTE  131.50 C  129,589   -1,941   128.00 P  131,314     UNCH

APR20 10Y NOTE  132.00 C   96,724   +8,874   130.00 P   88,010  +14,655

MAR20 5Y NOTE   119.00 C   45,324     -402   111.00 P  252,174     UNCH

APR20 5Y NOTE   121.50 C   48,938      -14   119.50 P   59,237     -108

MAR20 2Y NOTE   108.00 C    9,974     -167   105.75 P   55,165     UNCH

APR20 2Y NOTE   108.50 C    3,402     UNCH   108.00 P   10,379     UNCH

MAR20 EURODLR    98.50 C  549,868   +5,278    98.12 P  410,418     +692

APR20 EURODLR    98.50 C  124,923  +14,034    98.25 P  252,458     +750

MAR21 1Y-MIDC    99.75 C  235,547     UNCH    98.37 P  165,311   -8,851

MAR22 2Y-MIDC    98.25 C   78,546     UNCH    98.25 P   98,983   -1,200

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  131.00 C  100,074   -4,846   131.00 P   44,008     +607

MAR20 10Y NOTE  131.50 C  129,589   -1,941   131.50 P   21,384   +2,541

APR20 10Y NOTE  131.00 C   78,480     +663   131.00 P   28,988   +1,591

APR20 10Y NOTE  131.50 C   72,027   +6,932   131.50 P   17,015     +935

MAR20 5Y NOTE   119.75 C   20,287     +315   119.75 P   19,810   -1,931

MAR20 5Y NOTE   120.00 C   34,153   -1,760   120.00 P   11,905     -236

APR20 5Y NOTE   120.00 C   14,782     +106   120.00 P   16,548     -114

APR20 5Y NOTE   120.25 C    7,865       +4   120.25 P    5,326      -46

MAR20 2Y NOTE   107.88 C    5,053     UNCH   107.88 P   10,163     UNCH

MAR20 2Y NOTE   108.00 C    9,974     -167   108.00 P    1,189     -162

APR20 2Y NOTE   108.00 C      196     UNCH   108.00 P   10,379     UNCH

APR20 2Y NOTE   108.12 C      647     UNCH   108.12 P      851     UNCH

MAR20 EURODLR    98.25 C  247,156   +1,258    98.25 P  332,701      -69

MAR20 EURODLR    98.37 C  421,754   +2,987    98.37 P  160,137   +3,052

APR20 EURODLR    98.25 C   78,176     UNCH    98.25 P  252,458     +750

APR20 EURODLR    98.37 C   69,372   -7,672    98.37 P  109,675   -2,340

MAR21 1Y-MIDC    98.37 C  113,716     UNCH    98.37 P  165,311   -8,851

MAR21 1Y-MIDC    98.50 C  146,274     +118    98.50 P  161,002  -11,307

MAR22 2Y-MIDC    98.37 C   31,398     UNCH    98.37 P   42,004   -1,497

MAR22 2Y-MIDC    98.50 C   34,628     UNCH    98.50 P   44,752     -580

MAR23 3Y-MIDC    98.37 C   10,870     UNCH    98.37 P   26,662      -20

MAR23 3Y-MIDC    98.50 C   44,709     UNCH    98.50 P   16,418     UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

MAR20 10Y NOTE PUT/CALL RATIO   -- 0.77 (87,737 PUTS VS. 126,833 CALLS)

APR20 10Y NOTE PUT/CALL RATIO   -- 0.71 (120,304 PUTS VS. 99,297 CALLS)

MAR20 5Y NOTE PUT/CALL RATIO    -- 1.09 (13,855 PUTS VS. 15,465 CALLS)

APR20 5Y NOTE PUT/CALL RATIO    -- 0.57 (8,127 PUTS VS. 10,771 CALLS)

MAP20 2Y NOTE PUT/CALL RATIO    -- 0.52 (115 PUTS VS. 1,142 CALLS)

APR20 2Y NOTE PUT/CALL RATIO    -- 196.5 (333 PUTS VS. 129 CALLS)

MAR20 EURODLRS PUT/CALL RATIO   -- 0.01 (7,904 PUTS VS. 95,508 CALLS)

APR20 EURODLRS PUT/CALL RATIO   -- 0.29 (21,154 PUTS VS. 215,076 CALLS)

MAR21 1Y-MIDCRVE PUT/CALL RATIO -- 0.18 (52,678 PUTS VS. 63,512 CALLS)

MAR22 2Y-MIDCRVE PUT/CALL RATIO -- 0.51 (10,150 PUTS VS. 5,525 CALLS)

MAR23 3Y-MIDCRVE PUT/CALL RATIO -- 1.00 (750 PUTS VS. 750 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

1130        62.28    71.76    66.01    67.35    65.24     65.46

0930        62.20    71.34    65.78    67.31    65.14     65.40

Wed Open    62.81    71.31    66.10    67.46    65.26     65.36

Tue 1500    63.80    71.50    65.76    66.92    65.24     65.28

Tue Open    61.18    66.71    65.39    66.72    64.86     65.10

Fri 1500    60.25    65.77    65.13    66.26    64.82     65.00

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

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

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