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

1330        10.35% 9.26%   5.51%  4.98%   3.58%  3.22%   23.45%  51.50%

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  563,555  +22,708    98.00 P  396,944     UNCH

APR20 EURODLR    98.62 C  180,999  +53,021    98.25 P  251,278     UNCH

MAR21 1Y-MIDC    99.75 C  235,547     UNCH    98.37 P  165,011     UNCH

MAR22 2Y-MIDC    98.25 C   72,420     UNCH    98.25 P   98,983     UNCH

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    98.37 C  423,073  +11,733    98.37 P  155,149   -2,680

MAR20 EURODLR    98.50 C  563,555  +22,708    98.50 P   35,812     +131

APR20 EURODLR    98.50 C  104,077  -37,026    98.50 P   81,783  +50,200

APR20 EURODLR    98.62 C  180,999  +53,021    98.62 P    5,000   +4,850

MAR21 1Y-MIDC    98.75 C  123,761   -1,789    98.75 P   56,584     -598

MAR21 1Y-MIDC    98.88 C  101,496   -3,714    98.88 P   24,451   +4,472

MAR22 2Y-MIDC    98.88 C   34,681     -894    98.88 P    2,224     +217

MAR22 2Y-MIDC    99.00 C   22,130     -505    99.00 P   44,752     UNCH

MAR23 3Y-MIDC    98.88 C   17,105     UNCH    98.88 P      800     UNCH

MAR23 3Y-MIDC    99.00 C   50,756   +1,078    99.00 P        0     UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

MAR20 10Y NOTE PUT/CALL RATIO   -- 0.98 (332,239 PUTS VS. 338,349 CALLS)

APR20 10Y NOTE PUT/CALL RATIO   -- 0.67 (90,981 PUTS VS. 134,163 CALLS)

MAR20 5Y NOTE PUT/CALL RATIO    -- 0.96 (90,143 PUTS VS. 93,475 CALLS)

APR20 5Y NOTE PUT/CALL RATIO    -- 1.51 (79,342 PUTS VS. 52,660 CALLS)

MAP20 2Y NOTE PUT/CALL RATIO    -- 0.01 (115 PUTS VS. 6,862 CALLS)

APR20 2Y NOTE PUT/CALL RATIO    -- 0.63 (2,848 PUTS VS. 4,467 CALLS)

MAR20 EURODLRS PUT/CALL RATIO   -- 0.03 (7,904 PUTS VS. 240,325 CALLS)

APR20 EURODLRS PUT/CALL RATIO   -- 0.27 (93,783 PUTS VS. 340,782 CALLS)

MAR21 1Y-MIDCRVE PUT/CALL RATIO -- 0.24 (24,156 PUTS VS. 97,281 CALLS)

MAR22 2Y-MIDCRVE PUT/CALL RATIO -- 0.58 (8,700 PUTS VS. 15,065 CALLS)

MAR23 3Y-MIDCRVE PUT/CALL RATIO -- 0.99 (1,928 PUTS VS. 1,969 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

1330        77.06    88.96    77.33    77.41    67.99     67.56

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$]