US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JAN 28

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

             USH    USJ     TYH    TYJ     FVH    FVJ     EDG     EDH

TUE 1500    8.70%  8.21%   4.40%  4.22%   2.77%  2.71%   11.95%  13.17%

1200        8.72%  8.29%   4.42%  4.23%   2.80%  2.71%   14.75%  12.90%

TUE OPEN    8.70%  8.27%   4.47%  4.25%   2.81%  2.70%   16.05%  14.13%

MON 1500    8.62%  8.17%   4.59%  4.28%   2.84%  2.75%   16.05%  14.13%

MON OPEN    8.47%  8.08%   4.50%  4.25%   2.83%  2.74%   16.60%  14.89%

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

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

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

MAR20 10Y NOTE  131.00 C  143,372     +141   128.00 P  140,622     +193

APR20 10Y NOTE  131.00 C   56,150   +2,871   127.00 P   57,591       +4

MAR20 5Y NOTE   119.00 C   47,847   +1,597   111.00 P  252,174     UNCH

APR20 5Y NOTE   119.25 C   11,739       +1   118.00 P   15,512       -1

MAR20 2Y NOTE   108.00 C   13,650       -1   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  132,338     +908

MAR20 EURODLR    98.37 C  506,073  -16,131    98.25 P  508,299  -25,306

MAR21 1Y-MIDC    99.75 C  247,313     UNCH    98.37 P   85,572   +1,850

MAR22 2Y-MIDC    98.25 C   79,246     UNCH    98.25 P  103,684     -175

MAR23 3Y-MIDC    98.12 C   53,469     UNCH    98.12 P   37,106     UNCH

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

MAR20 10Y NOTE  130.50 C  119,140  -16,725   130.50 P   19,085  +11,319

MAR20 10Y NOTE  131.00 C  143,372     +141   131.00 P    6,834   +6,431

APR20 10Y NOTE  130.50 C   12,540     +451   130.50 P    2,433   +2,384

APR20 10Y NOTE  131.00 C   56,150   +2,871   131.00 P    1,835   +1,820

MAR20 5Y NOTE   119.75 C   26,369     +435   119.75 P    1,120   +1,089

MAR20 5Y NOTE   120.00 C   34,759  +11,975   120.00 P    4,361   +4,299

APR20 5Y NOTE   120.00 C    5,161       +2   120.00 P      164       +1

APR20 5Y NOTE   120.25 C    5,665     +328   120.25 P    1,318   +1,307

MAR20 2Y NOTE   107.87 C    5,074     -303   107.87 P    4,669      -10

MAR20 2Y NOTE   108.00 C   13,650       -1   108.00 P      376     +119

APR20 2Y NOTE   107.87 C      416     UNCH   107.87 P      416     UNCH

APR20 2Y NOTE   108.00 C      150      +25   108.00 P        0     UNCH

FEB20 EURODLR    98.25 C   67,120     -958    98.25 P  132,338     +908

FEB20 EURODLR    98.37 C   91,595     -435    98.37 P   52,287   +1,425

MAR20 EURODLR    98.25 C  274,083   -3,137    98.25 P  508,299  -25,306

MAR20 EURODLR    98.37 C  506,073  -16,131    98.37 P  226,774   +5,099

MAR21 1Y-MIDC    98.37 C  118,087     UNCH    98.37 P   85,572   +1,850

MAR21 1Y-MIDC    98.50 C  152,591   -4,134    98.50 P   57,321   -1,340

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

MAR22 2Y-MIDC    98.50 C   34,669     -250    98.50 P   32,799   +2,025

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

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

PUT/CALL RATIO FOR VOLUME CLEARED:

MAR20 10Y NOTE PUT/CALL RATIO   -- 0.48 (265,067 PUTS VS. 527,585 CALLS)

APR20 10Y NOTE PUT/CALL RATIO   -- 0.78 (85,388 PUTS VS. 93,761 CALLS)

MAR20 5Y NOTE PUT/CALL RATIO    -- 0.54 (98,866 PUTS VS. 84,235 CALLS)

APR20 5Y NOTE PUT/CALL RATIO    -- 0.54 (21,553 PUTS VS. 8,445 CALLS)

MAP20 2Y NOTE PUT/CALL RATIO    -- 2.07 (12,009 PUTS VS. 2,467 CALLS)

APR20 2Y NOTE PUT/CALL RATIO    -- 0.77 (0 PUTS VS. 474 CALLS)

FEB20 EURODLRS PUT/CALL RATIO   -- 0.56 (16,471 PUTS VS. 129,802 CALLS)

FEB20 EURODLRS PUT/CALL RATIO   -- 0.20 (71,152 PUTS VS. 733,136 CALLS)

MAR21 1Y-MIDCRVE PUT/CALL RATIO -- 0.34 (15,095 PUTS VS. 130,124 CALLS)

MAR22 2Y-MIDCRVE PUT/CALL RATIO -- 2.33 (6,500 PUTS VS. 59,851 CALLS)

MAR23 3Y-MIDCRVE PUT/CALL RATIO -- 23.7 (460 PUTS VS. 6,129 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

Tue 1500    55.69    71.04    64.09    66.78    64.89     65.78

1200        56.10    71.21    64.27    67.07    65.13     66.51

Tue Open    56.33    71.56    64.51    68.77    65.25     66.52

Mon 1500    57.00    72.18    65.49    68.47    65.91     66.54

Mon Open    53.80    69.14    64.45    67.47    65.65     65.87

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$]