US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JAN 16

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

             USG    USH     TYG    TYH     FVG    FVH     EDG     EDH

0915        5.97%  6.85%   2.92%  3.60%   1.82%  2.18%   9.68%   10.57%

THU OPEN    5.93%  6.75%   2.94%  3.50%   1.79%  2.15%   9.07%   10.05%

WED 1500    6.15%  6.74%   3.12%  3.52%   1.90%  2.17%   10.15%  9.85%

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

FEB20 10Y NOTE  129.50 C  206,927   -3,068   127.00 P  108,473       -8

MAR20 10Y NOTE  131.50 C  187,166   +9,451   128.00 P   98,656   +1,232

FEB20 5Y NOTE   119.50 C   57,027   -1,452   118.00 P   37,677     -100

MAR20 5Y NOTE   119.00 C   36,312   +3,824   111.00 P  252,174     UNCH

FEB20 2Y NOTE   107.75 C    6,191     -650   107.12 P   24,223     UNCH

MAR20 2Y NOTE   108.00 C   14,485      -18   105.75 P   55,165     UNCH

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

MAR20 EURODLR    98.37 C  508,793  +11,259    98.25 P  517,803   -1,801

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

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

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  109,661     -818   129.00 P   43,683   +3,548

FEB20 10Y NOTE  129.50 C  206,927   -3,068   129.50 P   25,493     -970

MAR20 10Y NOTE  129.00 C   39,543     -197   129.00 P   58,068  +23,187

MAR20 10Y NOTE  129.50 C   39,516     +233   129.50 P   14,789   +3,235

FEB20 5Y NOTE   119.00 C   50,141   +1,085   119.00 P   17,768   +2,327

FEB20 5Y NOTE   119.25 C   55,428     +224   119.25 P    2,279       -1

MAR20 5Y NOTE   119.00 C   36,312   +3,824   119.00 P   12,845       -3

MAR20 5Y NOTE   119.25 C   32,991   -1,074   119.25 P    6,178      -25

FEB20 2Y NOTE   107.75 C    6,191     -650   107.75 P    6,433   -1,612

FEB20 2Y NOTE   107.87 C    4,634      -23   107.87 P    2,988       -5

MAR20 2Y NOTE   107.75 C    1,427      +95   107.75 P    3,510       -2

MAR20 2Y NOTE   107.87 C    2,753     -289   107.87 P    4,679     +172

FEB20 EURODLR    98.25 C   69,415     UNCH    98.25 P  128,162     UNCH

FEB20 EURODLR    98.37 C  112,632   +1,000    98.37 P   52,081     UNCH

MAR20 EURODLR    98.25 C  276,526   -3,345    98.25 P  517,803   -1,801

MAR20 EURODLR    98.37 C  508,793  +11,259    98.37 P  242,335     UNCH

MAR21 1Y-MIDC    98.37 C  118,087     +400    98.37 P   87,552     UNCH

MAR21 1Y-MIDC    98.50 C  160,641     +502    98.50 P   54,455   -2,229

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

MAR22 2Y-MIDC    98.50 C   38,333     -650    98.50 P   32,696   -1,050

MAR23 3Y-MIDC    98.37 C   10,646     +100    98.37 P   15,302     UNCH

MAR23 3Y-MIDC    98.50 C   45,739     +100    98.50 P    7,582     UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

FEB20 10Y NOTE PUT/CALL RATIO   -- 0.55 (53,886 PUTS VS. 96,647 CALLS)

MAR20 10Y NOTE PUT/CALL RATIO   -- 1.52 (136,058 PUTS VS. 89,072 CALLS)

FEB20 5Y NOTE PUT/CALL RATIO    -- 0.41 (15,369 PUTS VS. 36,708 CALLS)

MAR20 5Y NOTE PUT/CALL RATIO    -- 0.61 (19,648 PUTS VS. 31,198 CALLS)

FEB20 2Y NOTE PUT/CALL RATIO    -- 1.01 (3,585 PUTS VS. 3,488 CALLS)

MAR20 2Y NOTE PUT/CALL RATIO    -- 0.81 (789 PUTS VS. 969 CALLS)

FEB20 EURODLRS PUT/CALL RATIO   -- 0.21 (3,000 PUTS VS. 14,198 CALLS)

FEB20 EURODLRS PUT/CALL RATIO   -- 0.08 (8,621 PUTS VS. 105,538 CALLS)

MAR21 1Y-MIDCRVE PUT/CALL RATIO -- 0.11 (3,873 PUTS VS. 33,203 CALLS)

MAR22 2Y-MIDCRVE PUT/CALL RATIO -- 5.23 (6,800 PUTS VS. 1,300 CALLS)

MAR23 3Y-MIDCRVE PUT/CALL RATIO -- 2.88 (1,300 PUTS VS. 450 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        46.96    55.46    57.74    60.82    63.37     64.68

Thu Open    47.18    55.69    58.16    61.27    63.64     64.99

Wed 1500    46.54    55.58    57.42    60.47    63.10     64.88

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

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

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