US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR FEB 6

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

             USH    USJ     TYH    TYJ     FVH    FVJ     EDG     EDH

0915        8.17%  7.61%   4.10%  4.08%   2.61%  2.60%    N/A    17.20%

THU OPEN    8.25%  7.70%   4.14%  4.10%   2.57%  2.65%    N/A    17.50%

WED 1500    8.21%  7.70%   4.16%  4.12%   2.54%  2.64%    N/A    17.00%

WED OPEN    8.33%  7.75%   4.23%  4.12%   2.65%  2.62%    N/A    15.88%

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

MAR20 10Y NOTE  131.00 C  137,086   -2,866   128.00 P  131,653     +569

APR20 10Y NOTE  131.00 C   61,049      -52   128.00 P   72,393     -440

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

APR20 5Y NOTE   121.50 C   50,236     UNCH   119.50 P   56,834      +75

MAR20 2Y NOTE   108.00 C    9,195   -1,861   105.75 P   55,165     UNCH

APR20 2Y NOTE   108.50 C    2,571   +2,101   108.00 P    3,400     UNCH

FEB20 EURODLR    99.12 C  164,000     UNCH    98.25 P  102,353   +2,900

MAR20 EURODLR    98.50 C  532,695     -746    98.25 P  549,187   +1,988

MAR21 1Y-MIDC    99.75 C  238,047   -9,053    98.37 P  180,395  +62,667

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     UNCH

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

MAR20 10Y NOTE  130.50 C  103,395   -3,556   130.50 P   78,868   +3,970

MAR20 10Y NOTE  131.00 C  137,086   -2,866   131.00 P   39,507     -123

APR20 10Y NOTE  130.50 C   32,918   +1,822   130.50 P   27,359   +8,421

APR20 10Y NOTE  131.00 C   61,049      -52   131.00 P   18,323     +102

MAR20 5Y NOTE   119.75 C   20,244   +1,449   119.75 P   13,231   +1,344

MAR20 5Y NOTE   120.00 C   38,959     -537   120.00 P   10,085     -100

APR20 5Y NOTE   120.00 C    7,691   +1,611   120.00 P    7,245     +944

APR20 5Y NOTE   120.25 C    6,237     UNCH   120.25 P    3,923      -25

MAR20 2Y NOTE   107.88 C    5,053      -11   107.88 P    5,541     +273

MAR20 2Y NOTE   108.00 C    9,195   -1,861   108.00 P    4,587     UNCH

APR20 2Y NOTE   107.88 C      416     UNCH   107.88 P    2,370     UNCH

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

FEB20 EURODLR    98.25 C   64,929     UNCH    98.25 P  102,353   +2,900

FEB20 EURODLR    98.37 C  104,134     +600    98.37 P   39,435     UNCH

MAR20 EURODLR    98.25 C  245,611     -326    98.25 P  549,187   +1,988

MAR20 EURODLR    98.37 C  465,477   +5,333    98.37 P  211,686   -1,112

MAR21 1Y-MIDC    98.37 C  118,087     UNCH    98.37 P  180,395  +62,667

MAR21 1Y-MIDC    98.50 C  152,491   -1,000    98.50 P  105,238  +21,213

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

MAR22 2Y-MIDC    98.50 C   34,378     UNCH    98.50 P   37,651   -1,073

MAR23 3Y-MIDC    98.37 C   10,870     UNCH    98.37 P   20,989   +1,704

MAR23 3Y-MIDC    98.50 C   44,909     -375    98.50 P   14,729   +3,096

PUT/CALL RATIO FOR VOLUME CLEARED:

MAR20 10Y NOTE PUT/CALL RATIO   -- 1.38 (159,947 PUTS VS. 247,623 CALLS)

APR20 10Y NOTE PUT/CALL RATIO   -- 0.79 (119,016 PUTS VS. 82,431 CALLS)

MAR20 5Y NOTE PUT/CALL RATIO    -- 1.54 (69,725 PUTS VS. 26,789 CALLS)

APR20 5Y NOTE PUT/CALL RATIO    -- 3.29 (17,754 PUTS VS. 22,232 CALLS)

MAP20 2Y NOTE PUT/CALL RATIO    -- 0.42 (1,082 PUTS VS. 6,806 CALLS)

APR20 2Y NOTE PUT/CALL RATIO    -- 5.94 (346 PUTS VS. 2,567 CALLS)

FEB20 EURODLRS PUT/CALL RATIO   -- 2.00 (4,000 PUTS VS. 2,000 CALLS)

MAR20 EURODLRS PUT/CALL RATIO   -- 0.12 (16,946 PUTS VS. 93,006 CALLS)

MAR21 1Y-MIDCRVE PUT/CALL RATIO -- 0.77 (166,187 PUTS VS. 53,713 CALLS)

MAR22 2Y-MIDCRVE PUT/CALL RATIO -- 3.16 (11,990 PUTS VS. 9,950 CALLS)

MAR23 3Y-MIDCRVE PUT/CALL RATIO -- 0.00 (18,100 PUTS VS. 5,101 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

0915        56.70    68.60    63.69    65.02    64.42     65.33

Thu Open    56.65    68.52    63.70    64.84    64.34     65.12

Wed 1500    56.90    67.62    64.15    65.39    64.64     65.66

Wed Open    58.07    71.60    65.38    66.66    64.90     65.84

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

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

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