US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JAN 27

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%

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

MAR20 10Y NOTE  131.00 C  144,095   -8,207   128.00 P  140,429     -262

APR20 10Y NOTE  131.00 C   53,279   +1,009   127.00 P   57,587       +7

MAR20 5Y NOTE   119.00 C   46,250       -1   111.00 P  252,174     UNCH

APR20 5Y NOTE   119.25 C   11,738     +241   118.00 P   15,513     +400

MAR20 2Y NOTE   108.00 C   13,651      +50   105.75 P   55,165     UNCH

APR20 2Y NOTE   107.87 C      416     +127   106.00 P      536     UNCH

FEB20 EURODLR    99.12 C  164,000     UNCH    98.25 P  131,430      -50

MAR20 EURODLR    98.37 C  522,205   +1,378    98.25 P  533,605   -5,222

MAR21 1Y-MIDC    99.25 C  247,376     UNCH    98.37 P   83,722   -1,192

MAR22 2Y-MIDC    98.25 C   79,246     UNCH    98.25 P  103,859   -3,863

MAR23 3Y-MIDC    98.12 C   53,469     UNCH    98.12 P   37,506   -1,416

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

MAR20 10Y NOTE  130.50 C  135,865  -10,992   130.50 P    7,766   +5,841

MAR20 10Y NOTE  131.00 C  144,095   -8,207   131.00 P      403     +123

APR20 10Y NOTE  130.50 C   12,089   +1,347   130.50 P       49      +41

APR20 10Y NOTE  131.00 C   53,279   +1,009   131.00 P       15      +12

MAR20 5Y NOTE   119.75 C   25,934     UNCH   119.75 P       31       -5

MAR20 5Y NOTE   120.00 C   22,784     -645   120.00 P       62       +2

APR20 5Y NOTE   120.00 C    5,159     +155   120.00 P      163     +150

APR20 5Y NOTE   120.25 C    5,337     UNCH   120.25 P       11     UNCH

MAR20 2Y NOTE   107.87 C    5,377     +303   107.87 P    4,679     UNCH

MAR20 2Y NOTE   108.00 C   13,651      +50   108.00 P      257     UNCH

APR20 2Y NOTE   107.87 C      416     +127   107.87 P      416     +127

APR20 2Y NOTE   108.00 C      125     UNCH   108.00 P        0     UNCH

FEB20 EURODLR    98.25 C   68,078      -49    98.25 P  131,430      -50

FEB20 EURODLR    98.37 C   92,030   -4,956    98.37 P   50,862     +875

MAR20 EURODLR    98.25 C  277,221   -4,254    98.25 P  533,605   -5,222

MAR20 EURODLR    98.37 C  522,205   +1,378    98.37 P  221,675     +235

MAR21 1Y-MIDC    98.37 C  118,087     UNCH    98.37 P   83,722   -1,192

MAR21 1Y-MIDC    98.50 C  156,725     -948    98.50 P   58,661     +300

MAR22 2Y-MIDC    98.37 C   31,398     UNCH    98.37 P   42,056     -637

MAR22 2Y-MIDC    98.50 C   34,919   -1,750    98.50 P   30,774     +500

MAR23 3Y-MIDC    98.37 C   10,870     UNCH    98.37 P   18,008   +2,356

MAR23 3Y-MIDC    98.50 C   45,784     UNCH    98.50 P    8,227      +50

PUT/CALL RATIO FOR VOLUME CLEARED:

MAR20 10Y NOTE PUT/CALL RATIO   -- 0.48 (168,033 PUTS VS. 345,388 CALLS)

APR20 10Y NOTE PUT/CALL RATIO   -- 0.78 (36,545 PUTS VS. 46,840 CALLS)

MAR20 5Y NOTE PUT/CALL RATIO    -- 0.54 (36,324 PUTS VS. 66,012 CALLS)

APR20 5Y NOTE PUT/CALL RATIO    -- 0.54 (6,172 PUTS VS. 11,087 CALLS)

MAP20 2Y NOTE PUT/CALL RATIO    -- 2.07 (2,703 PUTS VS. 1,335 CALLS)

APR20 2Y NOTE PUT/CALL RATIO    -- 0.77 (127 PUTS VS. 164 CALLS)

FEB20 EURODLRS PUT/CALL RATIO   -- 0.56 (3,588 PUTS VS. 6,208 CALLS)

FEB20 EURODLRS PUT/CALL RATIO   -- 0.20 (13,699 PUTS VS. 64,446 CALLS)

MAR21 1Y-MIDCRVE PUT/CALL RATIO -- 0.34 (14,426 PUTS VS. 41,720 CALLS)

MAR22 2Y-MIDCRVE PUT/CALL RATIO -- 2.33 (24,512 PUTS VS. 10,500 CALLS)

MAR23 3Y-MIDCRVE PUT/CALL RATIO -- 23.7 (10,942 PUTS VS. 460 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

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

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

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