US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JAN 24

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

             USG    USH     TYG    TYH     FVG    FVH     EDG     EDH

FRI 1500     N/A   7.59%    N/A   3.90%    N/A   2.44%   12.25%  11.40%

1300         N/A   7.57%    N/A   3.85%    N/A   2.44%   11.85%  11.35%

FRI OPEN     N/A   7.17%    N/A   3.70%    N/A   2.35%   11.57%  11.45%

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

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

FEB20 10Y NOTE  129.00 C  120,105   -1,915   127.00 P  106,966     -108

MAR20 10Y NOTE  131.50 C  173,518   -3,318   128.00 P  140,691   +8,017

FEB20 5Y NOTE   119.00 C   61,188     -145   118.00 P   37,409     UNCH

MAR20 5Y NOTE   119.00 C   46,251       -5   111.00 P  252,174     UNCH

FEB20 2Y NOTE   107.75 C    4,123   -1,331   107.12 P   24,223     UNCH

MAR20 2Y NOTE   108.00 C   13,601   -1,395   105.75 P   55,165     UNCH

FEB20 EURODLR    99.12 C  164,000     UNCH    98.25 P  131,480   -1,775

MAR20 EURODLR    98.37 C  520,827   -5,956    98.25 P  131,480   -1,775

MAR21 1Y-MIDC    99.25 C  247,376   +5,788    98.37 P   84,914   +1,419

MAR22 2Y-MIDC    98.25 C   79,246     UNCH    98.25 P  107,722   -2,071

MAR23 3Y-MIDC    98.12 C   53,469     UNCH    98.12 P   38,922     -562

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

FEB20 10Y NOTE  129.00 C  120,105   -1,915   129.00 P   96,098     +300

FEB20 10Y NOTE  129.50 C   72,358     -755   129.50 P   31,603   +3,849

MAR20 10Y NOTE  129.00 C   47,763     -248   129.00 P   92,938   +5,275

MAR20 10Y NOTE  129.50 C   48,892     -534   129.50 P   40,027   +9,573

FEB20 5Y NOTE   119.00 C   61,188     -145   119.00 P   24,163   -1,355

FEB20 5Y NOTE   119.25 C   51,769   -6,230   119.25 P    4,859   +2,337

MAR20 5Y NOTE   119.00 C   46,251       -5   119.00 P   18,851   +2,490

MAR20 5Y NOTE   119.25 C   38,257     -474   119.25 P    8,776   +1,900

FEB20 2Y NOTE   107.75 C    4,123   -1,331   107.75 P    6,331     UNCH

FEB20 2Y NOTE   107.87 C    3,604     -517   107.87 P    2,841     -143

MAR20 2Y NOTE   107.75 C    1,627     UNCH   107.75 P    5,195     UNCH

MAR20 2Y NOTE   107.87 C    5,074      -10   107.87 P    4,679     UNCH

FEB20 EURODLR    98.25 C   68,127     -618    98.25 P  131,480   -1,775

FEB20 EURODLR    98.37 C   96,986  -12,915    98.37 P   49,987      -96

MAR20 EURODLR    98.25 C  281,475   -2,863    98.25 P  131,480   -1,775

MAR20 EURODLR    98.37 C  520,827   -5,956    98.37 P  221,440  -19,750

MAR21 1Y-MIDC    98.37 C  118,087     UNCH    98.37 P   84,914   +1,419

MAR21 1Y-MIDC    98.50 C  157,673   -2,161    98.50 P   58,361     +647

MAR22 2Y-MIDC    98.37 C   31,398     UNCH    98.37 P   42,693   -2,652

MAR22 2Y-MIDC    98.50 C   36,669   -1,464    98.50 P   30,274   +1,019

MAR23 3Y-MIDC    98.37 C   10,870     UNCH    98.37 P   15,652     UNCH

MAR23 3Y-MIDC    98.50 C   45,784      +45    98.50 P    8,177     +595

PUT/CALL RATIO FOR VOLUME CLEARED:

FEB20 10Y NOTE PUT/CALL RATIO   -- 1.03 (112,240 PUTS VS. 270,430 CALLS)

MAR20 10Y NOTE PUT/CALL RATIO   -- 1.30 (180,993 PUTS VS. 327,840 CALLS)

FEB20 5Y NOTE PUT/CALL RATIO    -- 1.15 (20,480 PUTS VS. 42,197 CALLS)

MAR20 5Y NOTE PUT/CALL RATIO    -- 0.98 (48,538 PUTS VS. 44,825 CALLS)

FEB20 2Y NOTE PUT/CALL RATIO    -- 0.11 (676 PUTS VS. 6,057 CALLS)

MAR20 2Y NOTE PUT/CALL RATIO    -- 1.55 (346 PUTS VS. 2,111 CALLS)

FEB20 EURODLRS PUT/CALL RATIO   -- 3.55 (3,588 PUTS VS. 43,550 CALLS)

FEB20 EURODLRS PUT/CALL RATIO   -- 0.72 (62,941 PUTS VS. 221,804 CALLS)

MAR21 1Y-MIDCRVE PUT/CALL RATIO -- 0.91 (27,742 PUTS VS. 141,484 CALLS)

MAR22 2Y-MIDCRVE PUT/CALL RATIO -- 0.33 (16,029 PUTS VS. 35,223 CALLS)

MAR23 3Y-MIDCRVE PUT/CALL RATIO -- 1.00 (9,600 PUTS VS. 8,488 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

Fri 1500    51.37    64.82    62.48    65.45    64.76     65.58

1300        50.95    63.72    61.44    64.54    64.57     65.45

Fri Open    48.88    58.87    59.96    62.87    64.03     65.29

Thu 1500    48.71    59.81    59.98    62.96    64.13     65.35

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

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

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