US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JAN 15

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

             USG    USH     TYG    TYH     FVG    FVH     EDG     EDH

0945        6.16%  6.63%   3.10%  3.50%   1.87%  2.10%   9.55%   9.30%

WED OPEN    6.10%  6.60%   3.05%  3.45%   1.82%  2.05%   9.40%   9.10%

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

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

FEB20 10Y NOTE  129.50 C  209,995     +543   127.00 P  108,481   -1,829

MAR20 10Y NOTE  131.50 C  177,715      +96   128.00 P   97,424   +2,392

FEB20 5Y NOTE   119.50 C   58,479   +1,335   118.00 P   37,777     -348

MAR20 5Y NOTE   119.25 C   34,065   +4,495   111.00 P  252,174     UNCH

FEB20 2Y NOTE   107.75 C    6,841      +87   107.12 P   24,223     UNCH

MAR20 2Y NOTE   108.00 C   14,503      -25   105.75 P   55,165     UNCH

FEB20 EURODLR    99.12 C  164,000     UNCH    98.25 P  128,162   +1,068

MAR20 EURODLR    98.37 C  497,534   +3,171    98.25 P  519,604     +787

MAR21 1Y-MIDC    99.75 C  247,313     UNCH    98.37 P   87,552     +500

MAR22 2Y-MIDC    98.25 C   79,246     UNCH    98.25 P   99,714     +500

MAR23 3Y-MIDC    98.12 C   53,469     UNCH    98.25 P   35,674     UNCH

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

FEB20 10Y NOTE  129.00 C  110,479      -54   129.00 P   40,135   +1,441

FEB20 10Y NOTE  129.50 C  209,995     +543   129.50 P   26,463     -296

MAR20 10Y NOTE  129.00 C   39,740   +7,329   129.00 P   34,881   +1,489

MAR20 10Y NOTE  129.50 C   39,283   +2,842   129.50 P   11,554     -111

FEB20 5Y NOTE   119.00 C   49,056     -227   119.00 P   15,441     -650

FEB20 5Y NOTE   119.25 C   55,204   -1,626   119.25 P    2,280       -4

MAR20 5Y NOTE   119.00 C   32,488     -960   119.00 P   12,007     +192

MAR20 5Y NOTE   119.25 C   34,065   +4,495   119.25 P    6,181       -5

FEB20 2Y NOTE   107.75 C    6,841      +87   107.75 P    8,045     UNCH

FEB20 2Y NOTE   107.87 C    4,657     +841   107.87 P    2,993     UNCH

MAR20 2Y NOTE   107.75 C    1,332     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   69,415      -40    98.25 P  128,162   +1,068

FEB20 EURODLR    98.37 C  111,632   +3,623    98.37 P   52,081   -1,292

MAR20 EURODLR    98.25 C  279,871   -3,649    98.25 P  519,604     +787

MAR20 EURODLR    98.37 C  497,534   +3,171    98.37 P  242,335   -2,550

MAR21 1Y-MIDC    98.37 C  117,687  +36,164    98.37 P   87,552     +500

MAR21 1Y-MIDC    98.50 C  160,139  +72,540    98.50 P   56,684     +460

MAR22 2Y-MIDC    98.37 C   31,398     UNCH    98.37 P   34,264     +100

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

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

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

PUT/CALL RATIO FOR VOLUME CLEARED:

FEB20 10Y NOTE PUT/CALL RATIO   -- 0.97 (115,279 PUTS VS. 118,429 CALLS)

MAR20 10Y NOTE PUT/CALL RATIO   -- 0.70 (124,546 PUTS VS. 175,045 CALLS)

FEB20 5Y NOTE PUT/CALL RATIO    -- 0.44 (15,776 PUTS VS. 33,991 CALLS)

MAR20 5Y NOTE PUT/CALL RATIO    -- 0.56 (14,455 PUTS VS. 25,241 CALLS)

FEB20 2Y NOTE PUT/CALL RATIO    -- 1.46 (4,700 PUTS VS. 3,200 CALLS)

MAR20 2Y NOTE PUT/CALL RATIO    -- 0.22 (262 PUTS VS. 1,169 CALLS)

FEB20 EURODLRS PUT/CALL RATIO   -- 0.34 (16,290 PUTS VS. 47,030 CALLS)

FEB20 EURODLRS PUT/CALL RATIO   -- 0.14 (32,666 PUTS VS. 215,704 CALLS)

MAR21 1Y-MIDCRVE PUT/CALL RATIO -- 0.03 (6,560 PUTS VS. 167,4002 CALLS)

MAR22 2Y-MIDCRVE PUT/CALL RATIO -- 0.09 (2,250 PUTS VS. 24,250 CALLS)

MAR23 3Y-MIDCRVE PUT/CALL RATIO -- 0.00 (1,508 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    

0945        46.28    55.75    57.46    60.11    62.91     64.51

Wed Open    46.21    55.20    57.30    60.00    62.70     64.40

Tue 1500    46.32    57.72    57.36    60.03    62.78     64.48

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

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

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