US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR FEB 27

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

             USJ    USM     TYJ    TYM     FVH    FVJ     EDH     EDJ

1345        14.28% 11.56%  7.27%  6.13%   4.96%  4.08%   66.85%  99.90%

1145        13.92% 11.42%  7.21%  6.16%   4.93%  4.07%   70.31%  99.64%

FRI OPEN    13.77% 11.05%  7.10%  6.05%   4.55%  3.90%   55.80%  80.05%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

APR20 10Y NOTE  132.00 C   89,603     -942   131.00 P  100,025  +12,656

JUN20 10Y NOTE  134.00 C   55,786   -1,402   129.00 P   73,415   +8,909

APR20 5Y NOTE   121.25 C   39,086      +43   119.50 P   90,670     UNCH

JUN20 5Y NOTE   123.50 C   42,892  +24,832   113.00 P  198,879     +157

APR20 2Y NOTE   108.75 C    6,900   +1,500   107.50 P   23,000     UNCH

JUN20 2Y NOTE   111.00 C    5,524     UNCH   106.50 P   41,091     UNCH

MAR20 EURODLR    98.50 C  466,432  -12,411    98.00 P  396,944     UNCH

APR20 EURODLR    98.88 C  263,274 +184,423    98.25 P  247,765   -1,913

MAR21 1Y-MIDC    99.75 C  235,547     UNCH    98.37 P  125,011   -3,000

MAR22 2Y-MIDC    98.25 C   70,733     UNCH    98.25 P   98,983     UNCH

MAR23 3Y-MIDC    98.12 C   52,969     UNCH    98.25 P   38,842     UNCH

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

APR20 10Y NOTE  134.00 C   64,080  +11,819   134.00 P    4,008   +1,017

APR20 10Y NOTE  134.50 C   36,045   +7,377   134.50 P      239     +138

JUN20 10Y NOTE  134.00 C   55,786   -1,402   134.00 P      322     +310

JUN20 10Y NOTE  134.50 C    8,523   -2,716   134.50 P        4     UNCH

APR20 5Y NOTE   121.75 C   19,068   +4,713   121.75 P   13,249   +4,165

APR20 5Y NOTE   122.00 C    8,914   +2,320   122.00 P    3,158   +2,981

JUN20 5Y NOTE   121.75 C    8,931   +7,504   121.75 P    6,221   +4,698

JUN20 5Y NOTE   122.00 C    9,187   +3,373   122.00 P    4,643   +4,643

APR20 2Y NOTE   108.88 C    2,795   +2,599   108.88 P      791     +761

APR20 2Y NOTE   109.00 C    2,328   +1,850   109.00 P        0     UNCH

JUN20 2Y NOTE   108.88 C      394     UNCH   108.88 P    1,400   +1,400

JUN20 2Y NOTE   109.00 C    1,148       +1   109.00 P       13       +7

MAR20 EURODLR    98.50 C  466,432  -12,411    98.50 P   42,624   +7,948

MAR20 EURODLR    98.62 C  406,591 +103,595    98.62 P    7,296     UNCH

APR20 EURODLR    98.88 C  263,274 +184,423    98.88 P      524     +524

APR20 EURODLR    99.00 C  238,182 +150,593    99.00 P        0     UNCH

MAR21 1Y-MIDC    99.00 C  125,163  -21,108    99.00 P    8,535   +4,179

MAR21 1Y-MIDC    99.12 C   88,342   -5,646    99.12 P    1,124      +22

MAR22 2Y-MIDC    99.00 C   21,313     -157    99.00 P    2,387     +137

MAR22 2Y-MIDC    99.12 C    8,407     UNCH    99.12 P      150     UNCH

MAR23 3Y-MIDC    98.88 C   17,145      +50    98.88 P    1,182     +132

MAR23 3Y-MIDC    99.00 C   47,799     -250    99.00 P        0     UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

APR20 10Y NOTE PUT/CALL RATIO   -- 0.30 (382,563 PUTS VS. 1,247,862 CALLS)

JUN20 10Y NOTE PUT/CALL RATIO   -- 1.08 (128,537 PUTS VS. 118,346 CALLS)

APR20 5Y NOTE PUT/CALL RATIO    -- 1.15 (74,889 PUTS VS. 64,222 CALLS)

JUN20 5Y NOTE PUT/CALL RATIO    -- 0.39 (38,426 PUTS VS. 96,142 CALLS)

APR20 2Y NOTE PUT/CALL RATIO    -- 0.89 (9,533 PUTS VS. 10,689 CALLS)

JUN20 2Y NOTE PUT/CALL RATIO    -- 6.01 (13,234 PUTS VS. 2,220 CALLS)

MAR20 EURODLRS PUT/CALL RATIO   -- 0.21 (97,693 PUTS VS. 465,986 CALLS)

APR20 EURODLRS PUT/CALL RATIO   -- 0.18 (226,639 PUTS VS. 1,240,766 CALLS)

MAR21 1Y-MIDCRVE PUT/CALL RATIO -- 0.11 (28,256 PUTS VS. 245,133 CALLS)

MAR22 2Y-MIDCRVE PUT/CALL RATIO -- 0.45 (911 PUTS VS. 1,998 CALLS)

MAR23 3Y-MIDCRVE PUT/CALL RATIO -- 1.02 (2,596 PUTS VS. 2,429 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

1345        88.75   107.11    93.43    88.84    66.14     64.99

1145        88.01   105.52    93.50    88.88    65.90     64.86

Fri Open    89.55   101.77    88.37    84.34    65.63     64.65

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

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