US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR FEB 25

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

             USJ    USM     TYJ    TYM     FVH    FVJ     EDH     EDJ

1145        10.25% 9.24%   5.42%  5.02%   3.55%  3.22%   23.62%  51.45%

1000        10.16% 9.15%   5.32%  4.93%   3.47%  3.17%   23.25%  49.89%

TUE OPEN    10.08% 9.13%   5.30%  4.90%   3.45%  3.16%   21.40%  49.48%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

APR20 10Y NOTE  132.00 C  100,760   -6,128   129.50 P  105,494   +9,805

JUN20 10Y NOTE  134.00 C   56,104   +3,772   128.50 P   70,765     -485

APR20 5Y NOTE   121.25 C   46,132  +10,191   119.50 P   88,220  +26,439

JUN20 5Y NOTE   123.25 C   12,091  +11,458   113.00 P  198,610   +2,575

APR20 2Y NOTE   108.75 C    5,000   +3,877   107.50 P   23,000     UNCH

JUN20 2Y NOTE   111.00 C    5,699     UNCH   106.50 P   41,191     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

APR20 10Y NOTE  132.50 C   80,419  +17,407   132.50 P   11,230  +10,213

APR20 10Y NOTE  133.00 C   74,419     +435   133.00 P    6,989   +6,536

JUN20 10Y NOTE  132.50 C   14,664   +2,301   132.50 P    4,288   +4,189

JUN20 10Y NOTE  133.00 C   46,255     -136   133.00 P      272     +225

APR20 5Y NOTE   121.25 C   46,132  +10,191   121.25 P    5,003   +4,999

APR20 5Y NOTE   121.50 C   15,804  -29,665   121.50 P       84      +63

JUN20 5Y NOTE   121.25 C    8,070   +5,737   121.25 P    8,748   +8,741

JUN20 5Y NOTE   121.50 C   11,883     +419   121.50 P        4     UNCH

APR20 2Y NOTE   108.38 C    1,645     UNCH   108.38 P        1     UNCH

APR20 2Y NOTE   108.50 C    4,245     +543   108.50 P        0     UNCH

JUN20 2Y NOTE   108.38 C      150     UNCH   108.38 P      120     UNCH

JUN20 2Y NOTE   108.50 C    1,739       +1   108.50 P       35      +35

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 (332,239 PUTS VS. 338,349 CALLS)

APR20 10Y NOTE PUT/CALL RATIO   -- 0.71 (90,981 PUTS VS. 134,163 CALLS)

MAR20 5Y NOTE PUT/CALL RATIO    -- 1.09 (90,143 PUTS VS. 93,475 CALLS)

APR20 5Y NOTE PUT/CALL RATIO    -- 0.57 (79,342 PUTS VS. 52,660 CALLS)

MAP20 2Y NOTE PUT/CALL RATIO    -- 0.52 (115 PUTS VS. 6,862 CALLS)

APR20 2Y NOTE PUT/CALL RATIO    -- 196.5 (2,848 PUTS VS. 4,467 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

1145        72.81    89.56    76.94    77.75    68.14     67.59

1000        73.04    87.60    75.03    76.63    68.27     67.68

Tue Open    74.58    90.02    76.76    78.25    68.59     67.97

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

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