US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JAN 21

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

             USG    USH     TYG    TYH     FVG    FVH     EDG     EDH

1400        8.29%  6.97%   4.15%  3.65%   2.45%  2.20%   9.60%   10.50%

1245        8.30%  6.94%   4.05%  3.58%   2.30%  2.21%   9.90%   10.50%

1115        8.28%  6.97%   4.15%  3.60%   2.43%  2.19%   9.50%   10.50%

0900        7.71%  6.81%   3.70%  3.54%   2.25%  2.14%   8.75%   11.05%

TUE OPEN    7.45%  6.76%   3.62%  3.48%   2.17%  2.15%   9.18%   10.95%

FRI 1500    6.10%  6.72%   2.92%  3.40%   1.79%  2.09%   8.85%   10.25%

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

FEB20 10Y NOTE  129.50 C  123,764  -82,387   127.00 P  106,363     -723

MAR20 10Y NOTE  131.50 C  187,091     -100   128.00 P  121,555  +21,834

FEB20 5Y NOTE   119.25 C   60,015   +5,850   118.00 P   37,409      -18

MAR20 5Y NOTE   119.00 C   40,111     +976   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   14,985     +500   105.75 P   55,165     UNCH

FEB20 EURODLR    99.12 C  164,000     UNCH    98.25 P  130,151   +1,219

MAR20 EURODLR    98.37 C  529,288  +10,881    98.25 P  519,935   +3,642

MAR21 1Y-MIDC    99.75 C  247,313     UNCH    98.37 P   83,595   -8,577

MAR22 2Y-MIDC    98.25 C   79,246     UNCH    98.25 P  107,793   +6,099

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

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

FEB20 10Y NOTE  129.00 C   75,991  -14,589   129.00 P   74,561  +10,731

FEB20 10Y NOTE  129.50 C  123,764  -82,387   129.50 P   26,002     +101

MAR20 10Y NOTE  129.00 C   42,195     +630   129.00 P   83,234   +6,165

MAR20 10Y NOTE  129.50 C   39,580     -674   129.50 P   16,925   +1,011

FEB20 5Y NOTE   119.00 C   57,264     +780   119.00 P   16,724     -522

FEB20 5Y NOTE   119.25 C   60,015   +5,850   119.25 P    2,278       -1

MAR20 5Y NOTE   119.00 C   40,111     +976   119.00 P   13,043     -198

MAR20 5Y NOTE   119.25 C   34,149   +1,150   119.25 P    6,176       -2

FEB20 2Y NOTE   107.75 C    6,191     UNCH   107.75 P    6,331     -101

FEB20 2Y NOTE   107.87 C    4,580      -52   107.87 P    2,984       -4

MAR20 2Y NOTE   107.75 C    1,577     +150   107.75 P    4,810     -200

MAR20 2Y NOTE   107.87 C    2,762       +9   107.87 P    4,679     UNCH

FEB20 EURODLR    98.25 C   69,395     -120    98.25 P  130,151   +1,219

FEB20 EURODLR    98.37 C  111,242   -1,500    98.37 P   50,083     UNCH

MAR20 EURODLR    98.25 C  284,602   +2,305    98.25 P  519,935   +3,642

MAR20 EURODLR    98.37 C  529,288  +10,881    98.37 P  242,970       +4

MAR21 1Y-MIDC    98.37 C  118,087     UNCH    98.37 P   83,595   -8,577

MAR21 1Y-MIDC    98.50 C  161,842   +1,001    98.50 P   55,255     UNCH

MAR22 2Y-MIDC    98.37 C   31,398     UNCH    98.37 P   44,520   +9,800

MAR22 2Y-MIDC    98.50 C   38,633     UNCH    98.50 P   28,646   -4,500

MAR23 3Y-MIDC    98.37 C   10,750     +250    98.37 P   15,652     +350

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   -- 0.47 (168,224 PUTS VS. 357,850 CALLS)

MAR20 10Y NOTE PUT/CALL RATIO   -- 1.38 (170,595 PUTS VS. 122,319 CALLS)

FEB20 5Y NOTE PUT/CALL RATIO    -- 0.27 (12,529 PUTS VS. 44,953 CALLS)

MAR20 5Y NOTE PUT/CALL RATIO    -- 0.73 (11,267 PUTS VS. 15,307 CALLS)

FEB20 2Y NOTE PUT/CALL RATIO    -- 18.4 (2,806 PUTS VS. 152 CALLS)

MAR20 2Y NOTE PUT/CALL RATIO    -- 1.04 (956 PUTS VS. 914 CALLS)

FEB20 EURODLRS PUT/CALL RATIO   -- 0.40 (8,420 PUTS VS. 20,754 CALLS)

FEB20 EURODLRS PUT/CALL RATIO   -- 0.15 (11,096 PUTS VS. 71,614 CALLS)

MAR21 1Y-MIDCRVE PUT/CALL RATIO -- 0.56 (21,110 PUTS VS. 37,947 CALLS)

MAR22 2Y-MIDCRVE PUT/CALL RATIO -- 24.1 (48,258 PUTS VS. 2,000 CALLS)

MAR23 3Y-MIDCRVE PUT/CALL RATIO -- 1.00 (450 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

1400        47.25    58.96    58.57    61.56    63.73     64.68

1245        47.01    59.04    58.46    61.47    63.77     64.71

1115        47.05    58.78    58.57    61.59    63.69     64.60

0900        46.39    57.48    57.24    60.54    63.17     64.53

Tue Open    46.31    56.22    57.26    60.41    63.23     64.57

Fri 1500    46.45    55.47    57.65    60.73    63.45     64.61

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

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

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