US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JAN 10

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

             USG    USH     TYG    TYH     FVG    FVH     EDF     EDH

0930        6.87%  7.12%   3.67%  3.64%   2.02%  2.26%    N/A    10.95%

FRI OPEN    7.27%  7.27%   3.75%  3.80%   2.25%  2.35%    N/A    11.00%

THU 1500    7.33%  7.32%   3.77%  3.80%   2.29%  2.39%    N/A    11.07%

THU OPEN    7.60%  7.50%   3.94%  3.91%   2.39%  2.45%    N/A    10.45%

WED 1500    7.82%  7.85%   4.02%  4.04%   2.51%  2.53%    N/A    10.69%

WED OPEN    8.01%  7.92%   4.01%  4.07%   2.55%  2.55%    N/A    12.65%

TUE 1500    7.85%  7.80%   4.00%  4.10%   2.47%  2.52%    N/A    13.54%

TUE OPEN    8.02%  7.90%   4.09%  4.19%   2.55%  2.55%    N/A    13.15%

MON 1500    8.00%  7.88%   4.10%  4.14%   2.50%  2.55%    N/A    13.05%

MON OPEN    7.80%  7.86%   3.96%  4.04%   2.48%  2.50%    N/A    12.70%

FRI 1500    7.80%  7.86%   3.96%  4.04%   2.48%  2.50%    N/A    12.70%

FRI OPEN    8.08%  7.95%   4.04%  4.11%   2.52%  2.53%   17.35%  11.95%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

FEB20 10Y NOTE  129.50 C  210,627   -3,407   127.00 P  116,424   -4,047

MAR20 10Y NOTE  131.50 C  173,803 +112,989   128.00 P   79,815   +5,026

FEB20 5Y NOTE   119.25 C   59,449     -940   118.00 P   38,052   +4,325

MAR20 5Y NOTE   119.00 C   32,161       +1   111.00 P  252,174     UNCH

FEB20 2Y NOTE   107.75 C    5,730     -965   107.12 P   24,223     UNCH

MAR20 2Y NOTE   108.00 C   14,025     +525   105.75 P   55,165     UNCH

JAN20 EURODLR    98.50 C  126,857     UNCH    98.12 P  105,555     UNCH

MAR20 EURODLR    98.50 C  485,309   -2,420    98.25 P  528,043  -18,524

MAR21 1Y-MIDC    99.75 C  247,313     UNCH    98.37 P   89,330   +3,060

MAR22 2Y-MIDC    98.25 C   79,246     UNCH    97.37 P   96,133     UNCH

MAR23 3Y-MIDC    98.12 C   53,469     UNCH    98.12 P   35,674     -413

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

FEB20 10Y NOTE  129.00 C  126,695   +2,366   129.00 P   38,226     +889

FEB20 10Y NOTE  129.50 C  210,627   -3,407   129.50 P   25,883      +98

MAR20 10Y NOTE  129.00 C   35,800     -362   129.00 P   34,410   -1,228

MAR20 10Y NOTE  129.50 C   31,439   +6,397   129.50 P   11,064     -407

FEB20 5Y NOTE   119.00 C   49,257   -2,905   119.00 P   15,941     -447

FEB20 5Y NOTE   119.25 C   59,449     -940   119.25 P    2,286      -25

MAR20 5Y NOTE   119.00 C   32,161       +1   119.00 P   11,472      -11

MAR20 5Y NOTE   119.25 C   28,821  +12,918   119.25 P    6,185       -1

FEB20 2Y NOTE   107.75 C    5,730     -965   107.75 P    8,165   -2,139

FEB20 2Y NOTE   107.87 C    2,858     UNCH   107.87 P    2,993     -197

MAR20 2Y NOTE   107.75 C    1,132     UNCH   107.75 P    3,512     -250

MAR20 2Y NOTE   107.87 C    3,042     UNCH   107.87 P    4,507     UNCH

JAN20 EURODLR    98.25 C   62,328   -3,122    98.25 P   77,817     +165

JAN20 EURODLR    98.37 C   75,797      +16    98.37 P   25,285     UNCH

MAR20 EURODLR    98.25 C  278,404   -3,300    98.25 P  528,043  -18,524

MAR20 EURODLR    98.37 C  477,835     -525    98.37 P  248,484   -1,000

MAR21 1Y-MIDC    98.37 C   73,321     UNCH    98.37 P   89,330   +3,060

MAR21 1Y-MIDC    98.50 C   64,014     +120    98.50 P   58,249     +550

MAR22 2Y-MIDC    98.37 C   31,398     UNCH    98.37 P   33,504     UNCH

MAR22 2Y-MIDC    98.50 C   38,983     UNCH    98.50 P   32,086     UNCH

MAR23 3Y-MIDC    98.37 C    9,945     UNCH    98.37 P   14,302     UNCH

MAR23 3Y-MIDC    98.50 C   46,239     UNCH    98.50 P    7,792     UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

FEB20 10Y NOTE PUT/CALL RATIO   -- 1.75 (126,141 PUTS VS. 71,822 CALLS)

MAR20 10Y NOTE PUT/CALL RATIO   -- 0.27 (107,672 PUTS VS. 383,376 CALLS)

FEB20 5Y NOTE PUT/CALL RATIO    -- 0.45 (18,843 PUTS VS. 40,243 CALLS)

MAR20 5Y NOTE PUT/CALL RATIO    -- 0.81 (31,189 PUTS VS. 38,050 CALLS)

FEB20 2Y NOTE PUT/CALL RATIO    -- 4.28 (10,701 PUTS VS. 2,546 CALLS)

MAR20 2Y NOTE PUT/CALL RATIO    -- 0.46 (1,865 PUTS VS. 3,945 CALLS)

JAN20 EURODLRS PUT/CALL RATIO   -- 0.51 (2,685 PUTS VS. 5,172 CALLS)

MAR20 EURODLRS PUT/CALL RATIO   -- 1.17 (112,443 PUTS VS. 95,266 CALLS)

MAR21 1Y-MIDCRVE PUT/CALL RATIO -- 0.40 (7,324 PUTS VS. 17,951 CALLS)

MAR22 2Y-MIDCRVE PUT/CALL RATIO -- 0.41 (20,814 PUTS VS. 50,460 CALLS)

MAR23 3Y-MIDCRVE PUT/CALL RATIO -- 8.01 (3,194 PUTS VS. 410 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

0930        49.52    60.30    61.17    63.42    63.97     64.50

Fri Open    50.20    63.20    62.31    64.60    64.75     64.85

Thu 1500    50.25    63.28    62.44    64.69    64.77     64.86

Thu Open    52.41    66.64    64.16    66.21    65.43     65.23

Wed 1500    51.91    66.64    64.21    66.15    65.46     65.32

Wed Open    54.05    67.05    65.05    67.00    65.30     65.10

Tue 1500    53.90    68.70    64.96    66.58    65.31     65.11

Tue Open    54.08    68.19    65.24    66.97    65.13     64.90

Mon 1500    54.28    67.80    65.73    67.38    64.78     64.80

Mon Open    49.77    65.86    64.41    66.46    64.01     64.39

Fri 1500    49.77    65.86    64.41    66.46    64.01     64.39

Fri Open    47.70    66.41    63.95    66.40    63.80     64.23

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

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