US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JAN 22

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

             USG    USH     TYG    TYH     FVG    FVH     EDG     EDH

WED 1500    7.97%  7.03%   3.90%  3.60%   2.22%  2.35%   9.95%   10.60%

1330        7.82%  6.92%   3.94%  3.55%   2.17%  2.35%   9.30%   10.35%

1200        8.06%  7.01%   3.90%  3.54%   2.19%  2.35%   9.39%   10.90%

0930        8.06%  7.01%   3.87%  3.54%   2.21%  2.35%   9.46%   10.90%

WED OPEN    8.23%  7.00%   4.07%  3.52%   2.20%  2.35%   9.25%   10.05%

TUE 1500    8.04%  7.02%   4.05%  3.65%   2.39%  2.23%   9.10%   10.55%

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

FEB20 10Y NOTE  130.50 C  117,745   -1,717   127.00 P  107,068     +705

MAR20 10Y NOTE  131.50 C  182,177   -4,914   128.00 P  124,195   +2,640

FEB20 5Y NOTE   119.25 C   64,889   +4,874   118.00 P   37,409     UNCH

MAR20 5Y NOTE   119.00 C   42,249   +2,138   111.00 P  252,174     UNCH

FEB20 2Y NOTE   108.00 C    6,100     UNCH   107.12 P   24,223     UNCH

MAR20 2Y NOTE   108.00 C   14,995      +10   105.75 P   55,165     UNCH

FEB20 EURODLR    99.12 C  164,000     UNCH    98.25 P  129,901     -250

MAR20 EURODLR    98.37 C  530,388   +1,100    98.25 P  515,945   -3,990

MAR21 1Y-MIDC    99.75 C  247,313     UNCH    98.37 P   85,195   +1,600

MAR22 2Y-MIDC    98.25 C   79,246     UNCH    98.25 P  109,793   +2,000

MAR23 3Y-MIDC    98.12 C   53,469     UNCH    98.12 P   39,484     +310

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

FEB20 10Y NOTE  129.00 C  116,634  +40,643   129.00 P   90,377  +15,816

FEB20 10Y NOTE  129.50 C   77,984  -45,780   129.50 P   24,792   -1,210

MAR20 10Y NOTE  129.00 C   41,358     -837   129.00 P   83,173      -61

MAR20 10Y NOTE  129.50 C   40,787   +1,207   129.50 P   22,001   +5,076

FEB20 5Y NOTE   119.00 C   58,512   +1,248   119.00 P   17,517     +793

FEB20 5Y NOTE   119.25 C   64,889   +4,874   119.25 P    2,262      -16

MAR20 5Y NOTE   119.00 C   42,249   +2,138   119.00 P   15,282   +2.239

MAR20 5Y NOTE   119.25 C   35,996   +1,817   119.25 P    6,184       +8

FEB20 2Y NOTE   107.75 C    5,886     -305   107.75 P    6,331     UNCH

FEB20 2Y NOTE   107.87 C    4,272     -308   107.87 P    2,984     UNCH

MAR20 2Y NOTE   107.75 C    1,577     UNCH   107.75 P    4,810     UNCH

MAR20 2Y NOTE   107.87 C    4,984   +2,222   107.87 P    4,679     UNCH

FEB20 EURODLR    98.25 C   69,145     -250    98.25 P  129,901     -250

FEB20 EURODLR    98.37 C  111,242     UNCH    98.37 P   50,083     UNCH

MAR20 EURODLR    98.25 C  285,197     +594    98.25 P  515,945   -3,990

MAR20 EURODLR    98.37 C  530,388   +1,100    98.37 P  242,940      -30

MAR21 1Y-MIDC    98.37 C  118,087     UNCH    98.37 P   85,195   +1,600

MAR21 1Y-MIDC    98.50 C  160,359   -1,483    98.50 P   56,564   +1,309

MAR22 2Y-MIDC    98.37 C   31,398     UNCH    98.37 P   45,345     +825

MAR22 2Y-MIDC    98.50 C   38,133     -500    98.50 P   29,255     +609

MAR23 3Y-MIDC    98.37 C   10,870     UNCH    98.37 P   15,652     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   -- 0.51 (125,262 PUTS VS. 243,392 CALLS)

MAR20 10Y NOTE PUT/CALL RATIO   -- 0.54 (73,560 PUTS VS. 135,246 CALLS)

FEB20 5Y NOTE PUT/CALL RATIO    -- 0.32 (23,740 PUTS VS. 70,866 CALLS)

MAR20 5Y NOTE PUT/CALL RATIO    -- 0.96 (31,405 PUTS VS. 32,018 CALLS)

FEB20 2Y NOTE PUT/CALL RATIO    -- 0.01 (12 PUTS VS. 1,230 CALLS)

MAR20 2Y NOTE PUT/CALL RATIO    -- 0.03 (125 PUTS VS. 3,672 CALLS)

FEB20 EURODLRS PUT/CALL RATIO   -- 0.66 (500 PUTS VS. 750 CALLS)

FEB20 EURODLRS PUT/CALL RATIO   -- 0.84 (11,371 PUTS VS. 13,434 CALLS)

MAR21 1Y-MIDCRVE PUT/CALL RATIO -- 0.35 (11,302 PUTS VS. 31,451 CALLS)

MAR22 2Y-MIDCRVE PUT/CALL RATIO -- 3.34 (10,725 PUTS VS. 3,225 CALLS)

MAR23 3Y-MIDCRVE PUT/CALL RATIO -- 0.99 (1,250 PUTS VS. 1,350 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

Wed 1500    46.72    57.41    58.32    61.20    63.41     64.83

1330        46.70    57.44    58.36    61.24    63.39     64.80

1200        47.10    57.50    58.20    61.21    63.31     64.80

0930        47.75    57.57    58.07    61.18    63.44     64.80

Wed Open    47.89    58.03    58.36    61.49    63.49     64.86

Tue 1500    47.26    58.95    58.58    61.55    63.71     64.80

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

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

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