US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR FEB 4

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

             USH    USJ     TYH    TYJ     FVH    FVJ     EDG     EDH

TUE 1500    8.60%  8.12%   4.45%  4.25%   2.81%  2.80%    N/A    17.25%

1330        8.77%  8.21%   4.55%  4.29%   2.88%  2.82%    N/A    18.35%

1115        8.96%  8.35%   4.60%  4.37%   2.92%  2.82%    N/A    19.10%

0930        8.96%  8.35%   4.60%  4.37%   2.92%  2.82%    N/A    19.10%

TUE OPEN    9.05%  8.38%   4.67%  4.39%   2.93%  2.87%    N/A    21.75%

MON 1500    9.52%  8.65%   4.97%  4.60%   3.14%  2.94%    N/A    22.50%

MON OPEN    9.49%  8.58%   4.88%  4.55%   3.12%  2.88%    N/A    22.96%

THU 1500    9.25%  8.58%   4.69%  4.42%   2.93%  2.88%   15.50%  12.89%

THU OPEN    8.99%  8.57%   4.60%  4.35%   2.92%  2.82%   12.00%  12.40%

WED 1500    8.02%  8.36%   4.58%  4.30%   2.87%  2.75%   11.80%  11.60%

WED OPEN    8.80%  8.18%   4.40%  4.22%   2.77%  2.71%   12.85%  11.20%

TUE 1500    8.70%  8.21%   4.40%  4.22%   2.77%  2.71%   11.95%  13.17%

TUE OPEN    8.70%  8.27%   4.47%  4.25%   2.81%  2.70%   16.05%  14.13%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

MAR20 10Y NOTE  131.00 C  144,361   -2,073   128.00 P  132,517     -971

APR20 10Y NOTE  131.00 C   57,925   -6,165   128.00 P   73,164   +1,656

MAR20 5Y NOTE   119.00 C   46,243       -1   111.00 P  252,174     UNCH

APR20 5Y NOTE   121.50 C   49,091  +34,843   119.50 P   48,557   +9,220

MAR20 2Y NOTE   108.00 C   12,513     -700   105.75 P   55,165     UNCH

APR20 2Y NOTE   108.12 C    1,097     UNCH   108.00 P    2,492   +1,892

FEB20 EURODLR    99.12 C  164,000     UNCH    98.25 P   98,793      +45

MAR20 EURODLR    98.50 C  514,875   +2,501    98.25 P  537,307   -5,760

MAR21 1Y-MIDC    99.75 C  247,100     -213    98.37 P  108,076   +2,850

MAR22 2Y-MIDC    98.25 C   78,546     UNCH    98.25 P  100,183     UNCH

MAR23 3Y-MIDC    98.12 C   53,469     UNCH    98.12 P   38,367      -66

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

MAR20 10Y NOTE  131.00 C  144,361   -2,073   131.00 P   37,403   +7,447

MAR20 10Y NOTE  131.50 C  103,674   +1,001   131.50 P   20,801   +7,292

APR20 10Y NOTE  131.00 C   57,925   -6,165   131.00 P   14,332   +1,088

APR20 10Y NOTE  131.50 C   51,494   +7,150   131.50 P   15,161   +8,790

MAR20 5Y NOTE   120.00 C   38,841   +1,103   120.00 P    9,923     +742

MAR20 5Y NOTE   120.25 C   30,641     -943   120.25 P    1,970     -166

APR20 5Y NOTE   120.25 C    6,142     UNCH   120.25 P    3,948     +890

APR20 5Y NOTE   120.50 C   13,701   +4,710   120.50 P    5,126   +4,741

MAR20 2Y NOTE   108.00 C   12,513     -700   108.00 P    4,587   +3,282

MAR20 2Y NOTE   108.12 C    4,664     -483   108.12 P    1,005     +490

APR20 2Y NOTE   108.00 C      146     UNCH   108.00 P    2,492   +1,892

APR20 2Y NOTE   108.12 C    1,097     UNCH   108.12 P      601     UNCH

FEB20 EURODLR    98.25 C   66,517     UNCH    98.25 P   98,793      +45

FEB20 EURODLR    98.37 C  105,216     +200    98.37 P   39,535   +1,911

MAR20 EURODLR    98.25 C  249,912   -6,905    98.25 P  537,307   -5,760

MAR20 EURODLR    98.37 C  470,327     +200    98.37 P  220,467   -3,065

MAR21 1Y-MIDC    98.37 C  118,087     UNCH    98.37 P  108,076   +2,850

MAR21 1Y-MIDC    98.50 C  153,491     UNCH    98.50 P   81,021   +4,550

MAR22 2Y-MIDC    98.37 C   31,398     UNCH    98.37 P   42,640   -2,028

MAR22 2Y-MIDC    98.50 C   34,378     UNCH    98.50 P   35,324      -82

MAR23 3Y-MIDC    98.37 C   10,870     UNCH    98.37 P   19,072     UNCH

MAR23 3Y-MIDC    98.50 C   45,284     UNCH    98.50 P   11,633     UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

MAR20 10Y NOTE PUT/CALL RATIO   -- 0.97 (188,341 PUTS VS. 193,567 CALLS)

APR20 10Y NOTE PUT/CALL RATIO   -- 1.06 (97,412 PUTS VS. 91,681 CALLS)

MAR20 5Y NOTE PUT/CALL RATIO    -- 1.19 (25,241 PUTS VS. 21,219 CALLS)

APR20 5Y NOTE PUT/CALL RATIO    -- 0.44 (40,290 PUTS VS. 89,579 CALLS)

MAP20 2Y NOTE PUT/CALL RATIO    -- 1.29 (5,312 PUTS VS. 4,135 CALLS)

APR20 2Y NOTE PUT/CALL RATIO    -- 11.3 (5,700 PUTS VS. 503 CALLS)

FEB20 EURODLRS PUT/CALL RATIO   -- 0.36 (4,970 PUTS VS. 13,538 CALLS)

FEB20 EURODLRS PUT/CALL RATIO   -- 0.24 (42,608 PUTS VS. 170,590 CALLS)

MAR21 1Y-MIDCRVE PUT/CALL RATIO -- 0.34 (32,660 PUTS VS. 94,002 CALLS)

MAR22 2Y-MIDCRVE PUT/CALL RATIO -- 1.96 (5,515 PUTS VS. 2,828 CALLS)

MAR23 3Y-MIDCRVE PUT/CALL RATIO -- 9.47 (559 PUTS VS. 59 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    59.35    72.38    66.39    67.59    65.48     66.32

1330        60.20    73.01    67.90    68.60    65.95     66.44

1115        61.34    73.68    68.97    69.06    66.02     66.60

0930        61.34    73.68    68.97    69.06    66.02     66.60

Tue Open    63.90    73.78    69.44    69.37    66.33     66.72

Mon 1500    64.00    77.14    70.77    70.67    66.78     66.83

Mon Open    63.45    77.93    70.50    71.37    66.70     66.78

Thu 1500    60.35    75.97    69.72    71.04    66.61     66.68

Thu Open    59.81    75.44    68.70    70.57    65.99     66.21

Wed 1500    57.40    72.91    66.45    68.22    65.04     65.85

Wed Open    55.69    71.04    64.09    66.78    64.89     65.78

Tue 1500    55.69    71.04    64.09    66.78    64.89     65.78

Tue Open    56.33    71.56    64.51    68.77    65.25     66.52

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

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