US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JAN 23

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

             USG    USH     TYG    TYH     FVG    FVH     EDG     EDH

THU 1500    8.30%  7.20%   3.80%  3.75%   2.53%  2.37%   11.55%  11.50%

1315        8.67%  7.23%   4.08%  3.74%   2.49%  2.39%   12.80%  12.25%

1130        8.75%  7.36%   4.20%  3.79%   2.72%  2.40%   11.55%  11.90%

0900        8.98%  7.34%   4.37%  3.78%   2.84%  2.40%   11.50%  11.80%

THU OPEN    9.00%  7.30%   4.55%  3.75%   2.91%  2.40%   11.35%  10.70%

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

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

FEB20 10Y NOTE  129.00 C  122,020   +5,386   127.00 P  107,074       +6

MAR20 10Y NOTE  131.50 C  176,899   -5,278   128.00 P  132,674   +8,479

FEB20 5Y NOTE   119.00 C   61,333   +5,421   118.00 P   37,409     UNCH

MAR20 5Y NOTE   119.00 C   46,256   +4,007   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   14,996       +1   105.75 P   55,165     UNCH

FEB20 EURODLR    99.12 C  164,000     UNCH    98.25 P  133,255   +3,354

MAR20 EURODLR    98.37 C  526,783   -3,605    98.25 P  511,103   -4,842

MAR21 1Y-MIDC    99.75 C  247,313     UNCH    98.37 P   83,495   -1,700

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

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

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

FEB20 10Y NOTE  129.00 C  122,020   +5,386   129.00 P   95,798   +5,421

FEB20 10Y NOTE  129.50 C   73,113   -4,871   129.50 P   27,754   +2,962

MAR20 10Y NOTE  129.00 C   48,011   +6,653   129.00 P   87,663   +4,520

MAR20 10Y NOTE  129.50 C   49,426   +8,120   129.50 P   30,454   +8,453

FEB20 5Y NOTE   119.00 C   61,333   +5,421   119.00 P   25,518   +8,001

FEB20 5Y NOTE   119.25 C   57,999   -6,890   119.25 P    2,522     +260

MAR20 5Y NOTE   119.00 C   46,256   +4,007   119.00 P   16,361   +1,079

MAR20 5Y NOTE   119.25 C   38,731   +2,765   119.25 P    6,876     +692

FEB20 2Y NOTE   107.75 C    5,454     -432   107.75 P    6,331     UNCH

FEB20 2Y NOTE   107.87 C    4,121     -151   107.87 P    2,984     UNCH

MAR20 2Y NOTE   107.75 C    1,627      +50   107.75 P    5,195     +385

MAR20 2Y NOTE   107.87 C    5,084     +100   107.87 P    4,679     UNCH

FEB20 EURODLR    98.25 C   68,745     -400    98.25 P  133,255   +3,354

FEB20 EURODLR    98.37 C  109,901   -1,341    98.37 P   50,083     UNCH

MAR20 EURODLR    98.25 C  284,338     -859    98.25 P  511,103   -4,842

MAR20 EURODLR    98.37 C  526,783   -3,605    98.37 P  241,190   -1,750

MAR21 1Y-MIDC    98.37 C  118,087     UNCH    98.37 P   83,495   -1,700

MAR21 1Y-MIDC    98.50 C  159,834     -525    98.50 P   57,714   +1,150

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

MAR22 2Y-MIDC    98.50 C   38,133     UNCH    98.50 P   29,255     UNCH

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   -- 1.03 (120,762 PUTS VS. 116,406 CALLS)

MAR20 10Y NOTE PUT/CALL RATIO   -- 1.30 (171,631 PUTS VS. 131,259 CALLS)

FEB20 5Y NOTE PUT/CALL RATIO    -- 1.15 (23,740 PUTS VS. 20,314 CALLS)

MAR20 5Y NOTE PUT/CALL RATIO    -- 0.98 (24,475 PUTS VS. 24,870 CALLS)

FEB20 2Y NOTE PUT/CALL RATIO    -- 0.00 (0 PUTS VS. 1,205 CALLS)

MAR20 2Y NOTE PUT/CALL RATIO    -- 1.55 (3,153 PUTS VS. 2,072 CALLS)

FEB20 EURODLRS PUT/CALL RATIO   -- 3.55 (32,345 PUTS VS. 9,490 CALLS)

FEB20 EURODLRS PUT/CALL RATIO   -- 0.72 (9,775 PUTS VS. 13,434 CALLS)

MAR21 1Y-MIDCRVE PUT/CALL RATIO -- 0.91 (14,200 PUTS VS. 15,683 CALLS)

MAR22 2Y-MIDCRVE PUT/CALL RATIO -- 0.33 (50 PUTS VS. 150 CALLS)

MAR23 3Y-MIDCRVE PUT/CALL RATIO -- 1.00 (1,000 PUTS VS. 1,000 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

Thu 1500    48.71    59.81    59.98    62.96    64.13     65.35

1315        49.30    60.01    60.52    63.08    64.18     65.36

1130        48.69    58.42    59.77    62.71    63.91     65.15

0900        47.97    58.01    59.27    62.47    63.67     64.89

Thu Open    47.02    57.31    58.73    61.63    63.45     64.79

Wed 1500    46.72    57.41    58.32    61.20    63.41     64.83

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

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

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