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

TUE 1500    10.29% 9.15%   5.36%  4.94%   3.52%  3.20%   24.85%  51.95%

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

Tue 1500    77.10    89.38    77.51    77.40    67.84     67.28

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$]