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US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR FEB 26

EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
             USJ    USM     TYJ    TYM     FVH    FVJ     EDH     EDJ
WED OPEN    9.97%  8.92%   5.13%  4.65%   3.41%  3.11%   25.05%  48.45%
TUE 1500    10.29% 9.15%   5.36%  4.94%   3.52%  3.20%   24.85%  51.95%
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   97,245   -3,512   129.50 P   99,233   -6,261
JUN20 10Y NOTE  134.00 C   55,879     -225   128.50 P   68,776   -1,989
APR20 5Y NOTE   121.25 C   46,972     +840   119.50 P   90,483   +2,263
JUN20 5Y NOTE   121.50 C   14,603   +2,720   113.00 P  198,722     +112
APR20 2Y NOTE   108.75 C    5,000     UNCH   107.50 P   23,000     UNCH
JUN20 2Y NOTE   111.00 C    5,699     UNCH   106.50 P   41,091     -100
MAR20 EURODLR    98.50 C  561,774   -1,781    98.00 P  396,944     UNCH
APR20 EURODLR    98.62 C  180,446     -553    98.25 P  249,278   -2,000
MAR21 1Y-MIDC    99.75 C  235,547     UNCH    98.37 P  165,011     UNCH
MAR22 2Y-MIDC    98.25 C   71,920     -500    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   75,299  +17,407   132.50 P   19,110   +7,880
APR20 10Y NOTE  133.00 C   80,901   +6,482   133.00 P   14,732  +11,490
JUN20 10Y NOTE  132.50 C   19,559   +4,895   132.50 P   14,872  +10,584
JUN20 10Y NOTE  133.00 C   48,072   +1,817   133.00 P   10,556  +10,284
APR20 5Y NOTE   121.25 C   46,972     +840   121.25 P    5,472     +469
APR20 5Y NOTE   121.50 C   16,384     +580   121.50 P    3,100   +3,016
JUN20 5Y NOTE   121.25 C    8,350     +280   121.25 P    8,728      -20
JUN20 5Y NOTE   121.50 C   14,603   +2,720   121.50 P    5,743   +5,739
APR20 2Y NOTE   108.38 C    1,645     UNCH   108.38 P      215     +214
APR20 2Y NOTE   108.50 C    4,255      +10   108.50 P        0     UNCH
JUN20 2Y NOTE   108.38 C      150     UNCH   108.38 P      461     U+341
JUN20 2Y NOTE   108.50 C    1,738     UNCH   108.50 P      256     +221
MAR20 EURODLR    98.37 C  394,794  -28,229    98.37 P  154,714     -435
MAR20 EURODLR    98.50 C  561,774   -1,781    98.50 P   35,251     -561
APR20 EURODLR    98.50 C   99,540   -4,537    98.50 P   80,887     -896
APR20 EURODLR    98.62 C  180,446     -553    98.62 P    5,250     +250
MAR21 1Y-MIDC    98.75 C  124,810   +1,049    98.75 P   53,308   -3,276
MAR21 1Y-MIDC    98.88 C   97,696   -3,800    98.88 P   30,940   +6,489
MAR22 2Y-MIDC    98.88 C   33,294   -1,387    98.88 P    3,391   +1,167
MAR22 2Y-MIDC    99.00 C   21,970     -160    99.00 P    1,500   +1,500
MAR23 3Y-MIDC    98.88 C   17,095      -10    98.88 P    1,050     +250
MAR23 3Y-MIDC    99.00 C   45,758   -4,998    99.00 P        0     UNCH
PUT/CALL RATIO FOR VOLUME CLEARED:
MAR20 10Y NOTE PUT/CALL RATIO   -- 1.14 (275,401 PUTS VS. 241,575 CALLS)
APR20 10Y NOTE PUT/CALL RATIO   -- 1.94 (191,836 PUTS VS. 98,114 CALLS)
MAR20 5Y NOTE PUT/CALL RATIO    -- 2.23 (38,237 PUTS VS. 17,851 CALLS)
APR20 5Y NOTE PUT/CALL RATIO    -- 1.62 (57,543 PUTS VS. 35,950 CALLS)
MAP20 2Y NOTE PUT/CALL RATIO    -- 5.70 (4,495 PUTS VS. 788 CALLS)
APR20 2Y NOTE PUT/CALL RATIO    -- 7.01 (21,335 PUTS VS. 3,557 CALLS)
MAR20 EURODLRS PUT/CALL RATIO   -- 0.09 (45,320 PUTS VS. 465,986 CALLS)
APR20 EURODLRS PUT/CALL RATIO   -- 0.19 (20,358 PUTS VS. 107,300 CALLS)
MAR21 1Y-MIDCRVE PUT/CALL RATIO -- 0.15 (28,256 PUTS VS. 186,093 CALLS)
MAR22 2Y-MIDCRVE PUT/CALL RATIO -- 0.53 (3,542 PUTS VS. 6,622 CALLS)
MAR23 3Y-MIDCRVE PUT/CALL RATIO -- 0.31 (2,596 PUTS VS. 8,015 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
Wed Open    74.74    88.10    76.67    76.62    67.46     66.60
Tue 1500    77.10    89.38    77.51    77.40    67.84     67.28
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$]

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