US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR FEB 5

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%

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

MAR20 10Y NOTE  131.00 C  140,712   -3,649   128.00 P  131,084   -1,433

APR20 10Y NOTE  131.00 C   61,101   +3,176   128.00 P   72,833     -331

MAR20 5Y NOTE   119.00 C   46,241       -2   111.00 P  252,174     UNCH

APR20 5Y NOTE   121.50 C   50,236   +1,145   119.50 P   56,759   +8,202

MAR20 2Y NOTE   108.00 C   11,056   -1,457   105.75 P   55,165     UNCH

APR20 2Y NOTE   108.12 C      647     -450   108.00 P    3,400     +908

FEB20 EURODLR    99.12 C  164,000     UNCH    98.25 P   99,453     +660

MAR20 EURODLR    98.50 C  533,431  +18,166    98.25 P  547,199   +9,892

MAR21 1Y-MIDC    99.75 C  247,100     UNCH    98.37 P  117,728   +9,652

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   39,600   +1,233

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

MAR20 10Y NOTE  130.50 C  106,951     +966   130.50 P   74,598  +10,089

MAR20 10Y NOTE  131.00 C  140,712   -3,649   131.00 P   39,630   +2,227

APR20 10Y NOTE  130.50 C   31,096     +248   130.50 P   18,938     -241

APR20 10Y NOTE  131.00 C   61,101   +3,176   131.00 P   18,221   +3,899

MAR20 5Y NOTE   119.75 C   18,795     +800   119.75 P   11,887   +1,365

MAR20 5Y NOTE   120.00 C   39,496     +655   120.00 P   10,185     +262

APR20 5Y NOTE   120.00 C    6,080      +90   120.00 P    6,305   +1,650

APR20 5Y NOTE   120.25 C    6,237      +95   120.25 P    3,948     UNCH

MAR20 2Y NOTE   107.88 C    5,064      -10   107.88 P    5,268      -15

MAR20 2Y NOTE   108.00 C   11,056   -1,457   108.00 P    4,587     UNCH

APR20 2Y NOTE   107.88 C      416     UNCH   107.88 P    2,370   +1,250

APR20 2Y NOTE   108.00 C      146     UNCH   108.00 P    3,400     +908

FEB20 EURODLR    98.25 C   64,929   -1,588    98.25 P   99,453     +660

FEB20 EURODLR    98.37 C  103,534   -1,682    98.37 P   39,435     -100

MAR20 EURODLR    98.25 C  245,937   -3,975    98.25 P  547,199   +9,892

MAR20 EURODLR    98.37 C  460,144  -10,183    98.37 P  212,798   -7,669

MAR21 1Y-MIDC    98.37 C  118,087     UNCH    98.37 P  117,728   +9,652

MAR21 1Y-MIDC    98.50 C  153,491     UNCH    98.50 P   84,025   +3,004

MAR22 2Y-MIDC    98.37 C   31,398     UNCH    98.37 P   43,630     +990

MAR22 2Y-MIDC    98.50 C   34,378     UNCH    98.50 P   38,724   +3,400

MAR23 3Y-MIDC    98.37 C   10,870     UNCH    98.37 P   19,285     +213

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   -- 1.38 (266,290 PUTS VS. 192,793 CALLS)

APR20 10Y NOTE PUT/CALL RATIO   -- 0.79 (68,094 PUTS VS. 86,929 CALLS)

MAR20 5Y NOTE PUT/CALL RATIO    -- 1.54 (34,940 PUTS VS. 22,535 CALLS)

APR20 5Y NOTE PUT/CALL RATIO    -- 3.29 (35,589 PUTS VS. 10,812 CALLS)

MAP20 2Y NOTE PUT/CALL RATIO    -- 0.42 (2,779 PUTS VS. 6,445 CALLS)

APR20 2Y NOTE PUT/CALL RATIO    -- 5.94 (3,750 PUTS VS. 631 CALLS)

FEB20 EURODLRS PUT/CALL RATIO   -- 0.29 (3,250 PUTS VS. 11,052 CALLS)

FEB20 EURODLRS PUT/CALL RATIO   -- 0.12 (38,150 PUTS VS. 299,938 CALLS)

MAR21 1Y-MIDCRVE PUT/CALL RATIO -- 0.77 (51,482 PUTS VS. 66,661 CALLS)

MAR22 2Y-MIDCRVE PUT/CALL RATIO -- 3.16 (19,623 PUTS VS. 6,900 CALLS)

MAR23 3Y-MIDCRVE PUT/CALL RATIO -- 0.00 (7,899 PUTS VS. 0 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

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

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

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