US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JAN 13

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

             USG    USH     TYG    TYH     FVG    FVH     EDG     EDH

0930        7.20%  7.15%   3.59%  3.57%   2.02%  2.19%   9.95%   10.05%

MON OPEN    7.17%  7.07%   3.62%  3.64%   2.05%  2.20%   9.65%   11.00%

FRI 1500    6.63%  6.96%   3.29%  3.54%   1.92%  2.18%   11.45%  10.75%

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

FEB20 10Y NOTE  129.50 C  209,922     -705   127.00 P  110,353   -6,071

MAR20 10Y NOTE  131.50 C  177,569   +3,763   128.00 P   91,499  +11,684

FEB20 5Y NOTE   119.25 C   58,441   -1,008   118.00 P   38,220     +168

MAR20 5Y NOTE   119.00 C   30,681   -1,480   111.00 P  252,174     UNCH

FEB20 2Y NOTE   107.75 C    5,734       +4   107.12 P   24,223     UNCH

MAR20 2Y NOTE   108.00 C   14,028       +3   105.75 P   55,165     UNCH

FEB20 EURODLR    98.50 C  150,155     UNCH    98.25 P  126,994     UNCH

MAR20 EURODLR    98.50 C  484,609     -700    98.25 P  520,131   -7,912

MAR21 1Y-MIDC    99.75 C  247,313     UNCH    98.37 P   86,830   -2,500

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

MAR23 3Y-MIDC    98.12 C   53,469     UNCH    98.25 P   36,833   +4,854

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

FEB20 10Y NOTE  129.00 C  109,797  -16,898   129.00 P   38,818     +592

FEB20 10Y NOTE  129.50 C  209,922     -705   129.50 P   25,609     -274

MAR20 10Y NOTE  129.00 C   32,834   -2,966   129.00 P   33,641     -769

MAR20 10Y NOTE  129.50 C   36,623   +5,184   129.50 P   11,376     +312

FEB20 5Y NOTE   119.00 C   49,086     -171   119.00 P   16,141     +200

FEB20 5Y NOTE   119.25 C   58,441   -1,008   119.25 P    2,286     UNCH

MAR20 5Y NOTE   119.00 C   30,681   -1,480   119.00 P   11,706     +234

MAR20 5Y NOTE   119.25 C   29,332     +511   119.25 P    6,185     UNCH

FEB20 2Y NOTE   107.75 C    5,734       +4   107.75 P    8,045     -120

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

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

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

FEB20 EURODLR    98.25 C   69,743     UNCH    98.25 P  126,994     UNCH

FEB20 EURODLR    98.37 C  107,661   +1,000    98.37 P   53,473     UNCH

MAR20 EURODLR    98.25 C  278,654     +250    98.25 P  520,131   -7,912

MAR20 EURODLR    98.37 C  483,035   +5,200    98.37 P  245,884   -2,600

MAR21 1Y-MIDC    98.37 C   81,673   +8,352    98.37 P   86,830   -2,500

MAR21 1Y-MIDC    98.50 C   86,849  +22,835    98.50 P   57,724     -525

MAR22 2Y-MIDC    98.37 C   31,398     UNCH    98.37 P   33,814     +310

MAR22 2Y-MIDC    98.50 C   38,983     UNCH    98.50 P   32,396     +310

MAR23 3Y-MIDC    98.37 C   10,546     +601    98.37 P   15,302   +1,000

MAR23 3Y-MIDC    98.50 C   45,639     -600    98.50 P    7,582     -210

PUT/CALL RATIO FOR VOLUME CLEARED:

FEB20 10Y NOTE PUT/CALL RATIO   -- 1.75 (162,145 PUTS VS. 150,628 CALLS)

MAR20 10Y NOTE PUT/CALL RATIO   -- 0.27 (125,705 PUTS VS. 125,251 CALLS)

FEB20 5Y NOTE PUT/CALL RATIO    -- 0.45 (18,915 PUTS VS. 16,451 CALLS)

MAR20 5Y NOTE PUT/CALL RATIO    -- 0.81 (11,289 PUTS VS. 13,754 CALLS)

FEB20 2Y NOTE PUT/CALL RATIO    -- 4.28 (10,701 PUTS VS. 2,660 CALLS)

MAR20 2Y NOTE PUT/CALL RATIO    -- 0.46 (368 PUTS VS. 132 CALLS)

FEB20 EURODLRS PUT/CALL RATIO   -- 0.00 (0 PUTS VS. 2,100 CALLS)

FEB20 EURODLRS PUT/CALL RATIO   -- 1.17 (56,159 PUTS VS. 45,124 CALLS)

MAR21 1Y-MIDCRVE PUT/CALL RATIO -- 0.40 (15,377 PUTS VS. 178,451 CALLS)

MAR22 2Y-MIDCRVE PUT/CALL RATIO -- 0.41 (10,450 PUTS VS. 29,100 CALLS)

MAR23 3Y-MIDCRVE PUT/CALL RATIO -- 8.01 (26,782 PUTS VS. 15,900 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        47.22    58.51    57.62    60.23    63.30     64.73

Mon Open    47.24    58.38    57.64    60.28    63.29     64.72

Fri 1500    49.04    59.21    60.16    62.64    63.75     64.77

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

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

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