US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JAN 29

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

             USH    USJ     TYH    TYJ     FVH    FVJ     EDG     EDH

1330        8.70%  8.20%   4.50%  4.23%   2.74%  2.66%   13.00%  11.20%

1200        8.77%  8.22%   4.49%  4.24%   2.78%  2.68%   10.90%  10.70%

1030        8.74%  8.18%   4.52%  4.23%   2.73%  2.66%   10.95%  10.38%

WED OPEN    8.80%  8.18%   4.40%  4.22%   2.77%  2.71%   12.85%  11.20%

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

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  144,124       -3   128.00 P  138,549   -2,073

APR20 10Y NOTE  131.00 C   60,350   +4,200   128.00 P   58,728   +2,101

MAR20 5Y NOTE   119.00 C   46,245       -2   111.00 P  252,174     UNCH

APR20 5Y NOTE   119.25 C   11,739     UNCH   118.00 P   12,762   -2,750

MAR20 2Y NOTE   108.00 C   13,600      -50   105.75 P   55,165     UNCH

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

FEB20 EURODLR    99.12 C  164,000     UNCH    98.25 P  130,639   -1,699

MAR20 EURODLR    98.37 C  500,762   -5,311    98.25 P  502,492   -5,707

MAR21 1Y-MIDC    99.75 C  247,313     UNCH    98.37 P   83,216   -2,356

MAR22 2Y-MIDC    98.25 C   79,246     UNCH    98.25 P  100,678   -3,006

MAR23 3Y-MIDC    98.12 C   53,469     UNCH    98.12 P   38,106   +1,000

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

MAR20 10Y NOTE  130.50 C  114,423   -3,918   130.50 P   26,764   +7,668

MAR20 10Y NOTE  131.00 C  144,124       -3   131.00 P   10,561   +3,727

APR20 10Y NOTE  130.50 C   14,760   +2,220   130.50 P    5,060   +2,627

APR20 10Y NOTE  131.00 C   60,350   +4,200   131.00 P    3,512   +1,677

MAR20 5Y NOTE   119.75 C   19,045   -7,324   119.75 P    3,745   +2,629

MAR20 5Y NOTE   120.00 C   39,623   +4,864   120.00 P    4,307      -54

APR20 5Y NOTE   120.00 C    5,162       +1   120.00 P      764     +600

APR20 5Y NOTE   120.25 C    5,415     -250   120.25 P    1,318     UNCH

MAR20 2Y NOTE   107.87 C    5,074     UNCH   107.87 P    5,379     +710

MAR20 2Y NOTE   108.00 C   13,600      -50   108.00 P      651     +275

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

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

FEB20 EURODLR    98.25 C   66,671     -449    98.25 P  130,639   -1,699

FEB20 EURODLR    98.37 C   92,575     +980    98.37 P   52,287     UNCH

MAR20 EURODLR    98.25 C  270,207   -3,876    98.25 P  502,492   -5,707

MAR20 EURODLR    98.37 C  500,762   -5,311    98.37 P  226,204     -570

MAR21 1Y-MIDC    98.37 C  118,087     UNCH    98.37 P   83,216   -2,356

MAR21 1Y-MIDC    98.50 C  153,791   +1,200    98.50 P   56,442     -879

MAR22 2Y-MIDC    98.37 C   31,398     UNCH    98.37 P   45,135   +3,079

MAR22 2Y-MIDC    98.50 C   34,669     UNCH    98.50 P   30,622   -2,177

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    9,184     +957

PUT/CALL RATIO FOR VOLUME CLEARED:

MAR20 10Y NOTE PUT/CALL RATIO   -- 1.10 (292,162 PUTS VS. 264,200 CALLS)

APR20 10Y NOTE PUT/CALL RATIO   -- 0.89 (43,258 PUTS VS. 48,879 CALLS)

MAR20 5Y NOTE PUT/CALL RATIO    -- 1.61 (64,968 PUTS VS. 40,862 CALLS)

APR20 5Y NOTE PUT/CALL RATIO    -- 8.17 (27,873 PUTS VS. 3,458 CALLS)

MAP20 2Y NOTE PUT/CALL RATIO    -- 1.88 (7,921 PUTS VS. 4,196 CALLS)

APR20 2Y NOTE PUT/CALL RATIO    -- 0.50 (159 PUTS VS. 323 CALLS)

FEB20 EURODLRS PUT/CALL RATIO   -- 0.56 (3,209 PUTS VS. 5,714 CALLS)

FEB20 EURODLRS PUT/CALL RATIO   -- 0.22 (51,397 PUTS VS. 230,398 CALLS)

MAR21 1Y-MIDCRVE PUT/CALL RATIO -- 0.11 (12,241 PUTS VS. 102,367 CALLS)

MAR22 2Y-MIDCRVE PUT/CALL RATIO -- 1.56 (36,496 PUTS VS. 23,500 CALLS)

MAR23 3Y-MIDCRVE PUT/CALL RATIO -- 0.43 (3,000 PUTS VS. 7,000 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

1330        54.91    72.50    65.75    67.91    64.89     65.61

1200        55.73    71.21    65.30    67.45    64.83     65.56

1030        55.70    71.12    65.10    67.27    64.90     65.64

Wed Open    55.69    71.04    64.09    66.78    64.89     65.78

Tue 1500    55.69    71.04    64.09    66.78    64.89     65.78

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

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

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