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

1400        10.74% 9.33%   5.40%  4.85%   3.57%  3.18%   29.30%  50.50%

1230        10.52% 9.20%   5.31%  4.76%   3.48%  3.15%   25.50%  50.70%

1000        9.65%  8.85%   5.10%  4.62%   3.39%  3.10%   24.60%  49.05%

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

1400        75.09    87.26    76.44    76.37    66.49     65.50

1230        74.24    86.95    76.26    76.18    66.52     65.69

1000        73.88    85.55    75.80    75.80    66.10     65.50

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$]