US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JAN 14

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

             USG    USH     TYG    TYH     FVG    FVH     EDG     EDH

TUE 1500    6.29%  6.70%   3.19%  3.50%   1.85%  2.12%   10.25%  10.20%

1300        6.13%  6.70%   3.14%  3.44%   1.92%  2.14%   10.10%  10.20%

1130        6.31%  6.72%   3.21%  3.45%   1.92%  2.14%   10.15%  10.35%

0915        6.58%  6.78%   3.32%  3.48%   1.92%  2.14%   10.25%  10.65%

TUE OPEN    6.61%  6.79%   3.34%  3.49%   1.97%  2.15%   10.35%  10.15%

MON 1500    6.65%  6.82%   3.36%  3.51%   2.04%  2.17%   10.50%  9.95%

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

FEB20 10Y NOTE  129.50 C  209,452   +1,110   127.00 P  110,310      -43

MAR20 10Y NOTE  131.50 C  177,619      +50   128.00 P   95,032   +3,533

FEB20 5Y NOTE   119.50 C   57,144      -16   118.00 P   38,125      -95

MAR20 5Y NOTE   119.00 C   33,448   +2,767   111.00 P  252,174     UNCH

FEB20 2Y NOTE   107.75 C    6,754   +1,020   107.12 P   24,223     UNCH

MAR20 2Y NOTE   108.00 C   14,528     +500   105.75 P   55,165     UNCH

FEB20 EURODLR    98.50 C  150,157       +2    98.25 P  127,094     +100

MAR20 EURODLR    98.37 C  494,363  +11,328    98.25 P  518,817   -1,314

MAR21 1Y-MIDC    99.75 C  247,313     UNCH    98.37 P   87,052     +222

MAR22 2Y-MIDC    98.25 C   79,246     UNCH    98.25 P   99,214   +7,497

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

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

FEB20 10Y NOTE  129.00 C  110,533     +736   129.00 P   38,694     -124

FEB20 10Y NOTE  129.50 C  209,452   +1,110   129.50 P   26,759   +1,150

MAR20 10Y NOTE  129.00 C   32,411     -423   129.00 P   33,392      +51

MAR20 10Y NOTE  129.50 C   36,441     +718   129.50 P   11,665     +289

FEB20 5Y NOTE   119.00 C   49,283     +197   119.00 P   16,091      -50

FEB20 5Y NOTE   119.25 C   56,830   -1,611   119.25 P    2,284       -2

MAR20 5Y NOTE   119.00 C   33,448   +2,767   119.00 P   11,815     +109

MAR20 5Y NOTE   119.25 C   29,570     +238   119.25 P    6,186       +1

FEB20 2Y NOTE   107.75 C    6,754   +1,020   107.75 P    8,045     UNCH

FEB20 2Y NOTE   107.87 C    3,816     +958   107.87 P    2,993     UNCH

MAR20 2Y NOTE   107.75 C    1,332     +200   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   69,455     -288    98.25 P  127,094     +100

FEB20 EURODLR    98.37 C  108,009     +348    98.37 P   53,373     -100

MAR20 EURODLR    98.25 C  283,520   +4,866    98.25 P  518,817   -1,314

MAR20 EURODLR    98.37 C  494,363  +11,328    98.37 P  244,885     -999

MAR21 1Y-MIDC    98.37 C   81,523     -150    98.37 P   87,052     +222

MAR21 1Y-MIDC    98.50 C   87,599     +750    98.50 P   56,224   -1,500

MAR22 2Y-MIDC    98.37 C   31,398     UNCH    98.37 P   34,164     +350

MAR22 2Y-MIDC    98.50 C   38,983     UNCH    98.50 P   33,746   +1,350

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

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

PUT/CALL RATIO FOR VOLUME CLEARED:

FEB20 10Y NOTE PUT/CALL RATIO   -- 0.98 (50,594 PUTS VS. 51,532 CALLS)

MAR20 10Y NOTE PUT/CALL RATIO   -- 1.50 (66,990 PUTS VS. 44,448 CALLS)

FEB20 5Y NOTE PUT/CALL RATIO    -- 1.58 (7,978 PUTS VS. 5,099 CALLS)

MAR20 5Y NOTE PUT/CALL RATIO    -- 1.12 (8,382 PUTS VS. 7,474 CALLS)

FEB20 2Y NOTE PUT/CALL RATIO    -- 0.66 (3,020 PUTS VS. 4,525 CALLS)

MAR20 2Y NOTE PUT/CALL RATIO    -- 0.71 (500 PUTS VS. 700 CALLS)

FEB20 EURODLRS PUT/CALL RATIO   -- 0.44 (2,200 PUTS VS. 5,076 CALLS)

FEB20 EURODLRS PUT/CALL RATIO   -- 0.48 (30,856 PUTS VS. 62,410 CALLS)

MAR21 1Y-MIDCRVE PUT/CALL RATIO -- 0.25 (4,492 PUTS VS. 17,552 CALLS)

MAR22 2Y-MIDCRVE PUT/CALL RATIO -- 1.40 (35,934 PUTS VS. 25,250 CALLS)

MAR23 3Y-MIDCRVE PUT/CALL RATIO -- 0.00 (0 PUTS VS. 100 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    46.32    57.72    57.36    60.03    62.78     64.48

1300        46.21    57.73    57.28    59.93    62.62     64.45

1130        46.44    57.98    57.37    60.11    62.67     64.49

0915        46.57    58.15    57.74    60.44    62.73     64.57

Tue Open    46.62    58.31    57.77    60.50    62.91     64.61

Mon 1500    46.73    58.87    57.95    60.71    63.10     64.70

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

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

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