US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JAN 17

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

             USG    USH     TYG    TYH     FVG    FVH     EDG     EDH

1345        6.10%  6.72%   2.92%  3.40%   1.79%  2.09%   8.85%   10.25%

1200        6.36%  6.77%   3.00%  3.45%   1.85%  2.11%   8.62%   10.20%

1000        6.59%  6.80%   3.17%  3.45%   1.90%  2.14%   8.55%   10.05%

FRI OPEN    6.43%  6.76%   2.95%  3.43%   1.76%  2.13%   8.45%   9.70%

THU 1500    5.90%  6.76%   2.90%  3.55%   1.82%  2.16%   9.95%   10.38%

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

FEB20 10Y NOTE  129.50 C  206,151     -776   127.00 P  107,086   -1,387

MAR20 10Y NOTE  131.50 C  187,191      +25   128.00 P   99,721   +1,915

FEB20 5Y NOTE   119.00 C   56,484   +6,343   118.00 P   37,427     -250

MAR20 5Y NOTE   119.00 C   39,135   +2,823   111.00 P  252,174     UNCH

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

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

FEB20 EURODLR    99.12 C  164,000     UNCH    98.25 P  128,932     +770

MAR20 EURODLR    98.37 C  518,477   +9,684    98.25 P  516,293   -1,510

MAR21 1Y-MIDC    99.75 C  247,313     UNCH    98.37 P   92,172   +4,620

MAR22 2Y-MIDC    98.25 C   79,246     UNCH    98.25 P  101,694   +1,980

MAR23 3Y-MIDC    98.12 C   53,469     UNCH    98.12 P   39,174   +3,500

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

FEB20 10Y NOTE  129.00 C   90,580  -19,081   129.00 P   63,830  +20,147

FEB20 10Y NOTE  129.50 C  206,151     -776   129.50 P   25,901     +408

MAR20 10Y NOTE  129.00 C   41,565   +2,022   129.00 P   75,156  +17,071

MAR20 10Y NOTE  129.50 C   40,254     +738   129.50 P   15,914   +1,125

FEB20 5Y NOTE   119.00 C   56,484   +6,343   119.00 P   17,246     -522

FEB20 5Y NOTE   119.25 C   54,165   -1,263   119.25 P    2,279     UNCH

MAR20 5Y NOTE   119.00 C   39,135   +2,823   119.00 P   13,241     +396

MAR20 5Y NOTE   119.25 C   32,999       +8   119.25 P    6,178     UNCH

FEB20 2Y NOTE   107.75 C    6,191     UNCH   107.75 P    6,433     UNCH

FEB20 2Y NOTE   107.87 C    4,632       -2   107.87 P    2,988     UNCH

MAR20 2Y NOTE   107.75 C    1,427     UNCH   107.75 P    5,010   +1,500

MAR20 2Y NOTE   107.87 C    2,753     UNCH   107.87 P    4,679     UNCH

FEB20 EURODLR    98.25 C   69,515     +100    98.25 P  128,932     +770

FEB20 EURODLR    98.37 C  112,742     +110    98.37 P   50,083   -1,998

MAR20 EURODLR    98.25 C  282,297   +6,771    98.25 P  516,293   -1,510

MAR20 EURODLR    98.37 C  518,477   +9,684    98.37 P  242,966     +631

MAR21 1Y-MIDC    98.37 C  118,087     UNCH    98.37 P   92,172   +4,620

MAR21 1Y-MIDC    98.50 C  160,841     +200    98.50 P   55,255     +800

MAR22 2Y-MIDC    98.37 C   31,398     UNCH    98.37 P   34,720     +456

MAR22 2Y-MIDC    98.50 C   38,633     +300    98.50 P   33,146     +450

MAR23 3Y-MIDC    98.37 C   10,626      -26    98.37 P   15,302     UNCH

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

PUT/CALL RATIO FOR VOLUME CLEARED:

FEB20 10Y NOTE PUT/CALL RATIO   -- 0.71 (152,907 PUTS VS. 214,249 CALLS)

MAR20 10Y NOTE PUT/CALL RATIO   -- 1.71 (91,686 PUTS VS. 53,669 CALLS)

FEB20 5Y NOTE PUT/CALL RATIO    -- 0.25 (11,590 PUTS VS. 44,846 CALLS)

MAR20 5Y NOTE PUT/CALL RATIO    -- 2.14 (30,756 PUTS VS. 14,773 CALLS)

FEB20 2Y NOTE PUT/CALL RATIO    -- 0.00 (0 PUTS VS. 504 CALLS)

MAR20 2Y NOTE PUT/CALL RATIO    -- 0.00 (6,062 PUTS VS. 0 CALLS)

FEB20 EURODLRS PUT/CALL RATIO   -- 1.13 (9,943 PUTS VS. 8,728 CALLS)

FEB20 EURODLRS PUT/CALL RATIO   -- 0.41 (15,870 PUTS VS. 36,158 CALLS)

MAR21 1Y-MIDCRVE PUT/CALL RATIO -- 1.17 (20,066 PUTS VS. 17,651 CALLS)

MAR22 2Y-MIDCRVE PUT/CALL RATIO -- 0.54 (9,586 PUTS VS. 17,526 CALLS)

MAR23 3Y-MIDCRVE PUT/CALL RATIO -- 7.95 (5,250 PUTS VS. 660 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

1345        46.45    55.47    57.65    60.73    63.45     64.61

1200        46.48    55.99    57.49    60.55    63.23     64.77

1000        46.44    56.04    57.44    60.53    63.27     64.88

Fri Open    46.50    55.58    57.62    60.60    63.36     64.75

Thu 1500    47.07    55.88    57.68    60.77    63.42     64.86

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

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

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