US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JAN 3

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

             USG    USH     TYG    TYH     FVG    FVH     EDF     EDH

1315        7.78%  7.73%   3.90%  3.99%   2.45%  2.47%    N/A    11.90%

1145        7.87%  7.85%   3.96%  4.03%   2.47%  2.51%   20.80%  12.12%

1000        7.88%  7.85%   3.93%  4.08%   2.43%  2.52%   19.20%  12.15%

FRI OPEN    8.08%  7.95%   4.04%  4.11%   2.52%  2.53%   17.35%  11.95%

THU 1500    7.59%  7.59%   3.84%  3.95%   2.34%  2.39%   14.60%  11.40%

THU OPEN    7.57%  7.60%   3.88%  3.98%   2.40%  2.42%   13.00%  11.05%

TUE 1300    7.51%  7.56%   3.87%  3.98%   2.35%  2.42%   13.05%  11.85%

TUE OPEN    7.62%  7.51%   3.97%  4.02%   2.38%  2.45%   13.90%  11.35%

MON 1500    7.62%  7.55%   4.01%  4.05%   2.44%  2.45%   13.40%  11.50%

MON OPEN     N/A   7.25%    N/A   3.91%    N/A   2.37%   13.20%  11.90%

FRI 1500     N/A   7.25%    N/A   3.91%    N/A   2.37%   13.20%  11.90%

FRI OPEN     N/A   7.23%    N/A   3.94%    N/A   2.43%   12.25%  11.75%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

FEB20 10Y NOTE  129.50 C  198,299     +823   127.00 P  125,350   +2,702

MAR20 10Y NOTE  131.00 C   77,280     -438   117.50 P   66,948     UNCH

FEB20 5Y NOTE   119.25 C   53,047     -526   118.00 P   33,510     -178

MAR20 5Y NOTE   119.00 C   32,200      +56   111.00 P  252,174     UNCH

FEB20 2Y NOTE   107.75 C    5,867     -223   107.12 P   24,223     UNCH

MAR20 2Y NOTE   108.00 C   13,072     UNCH   105.75 P   55,165     UNCH

JAN20 EURODLR    98.50 C  126,858     UNCH    98.12 P  105,555     UNCH

MAR20 EURODLR    99.00 C  467,063     UNCH    98.25 P  536,505      -30

MAR21 1Y-MIDC    99.75 C  247,313     UNCH    98.25 P   88,487   +7,800

MAR22 2Y-MIDC    98.25 C   79,246     UNCH    97.37 P   96,133     UNCH

MAR23 3Y-MIDC    98.12 C   53,469     UNCH    97.62 P   29,500     UNCH

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

FEB20 10Y NOTE  129.00 C  123,367   -2,301   129.00 P   25,510     +207

FEB20 10Y NOTE  129.50 C  198,299     +823   129.50 P   16,109     -310

MAR20 10Y NOTE  129.00 C   25,230   +1,665   129.00 P   26,014     -347

MAR20 10Y NOTE  129.50 C   23,571     -594   129.50 P   11,506       -3

FEB20 5Y NOTE   118.50 C   46,022      -66   118.50 P   19,766   +1,191

FEB20 5Y NOTE   118.75 C   23,336     +178   118.75 P   12,676     -250

MAR20 5Y NOTE   118.50 C   15,213     -102   118.50 P   18,822   +1,572

MAR20 5Y NOTE   118.75 C   13,878     +830   118.75 P   11,307     +301

FEB20 2Y NOTE   107.75 C    5,867     -223   107.75 P   10,441   -1,857

FEB20 2Y NOTE   107.87 C    2,535     UNCH   107.87 P    1,878     UNCH

MAR20 2Y NOTE   107.75 C    1,055     UNCH   107.75 P    2,726     UNCH

MAR20 2Y NOTE   107.87 C    3,032     UNCH   107.87 P    4,507     UNCH

JAN20 EURODLR    98.25 C   75,313     UNCH    98.25 P   82,276      -61

JAN20 EURODLR    98.37 C   87,026     UNCH    98.37 P   25,287     UNCH

MAR20 EURODLR    98.25 C  351,135  -25,999    98.25 P  536,505      -30

MAR20 EURODLR    98.37 C  459,101   +6,100    98.37 P  265,988   -4,800

MAR21 1Y-MIDC    98.37 C   73,321     UNCH    98.37 P   70,095   -3,255

MAR21 1Y-MIDC    98.50 C   62,966   -1,879    98.50 P   48,260   -2,640

MAR22 2Y-MIDC    98.37 C   31,398     UNCH    98.37 P   29,952     +215

MAR22 2Y-MIDC    98.50 C   38,404   +3,238    98.50 P   30,540     UNCH

MAR23 3Y-MIDC    98.37 C    9,745     UNCH    98.37 P   15,276     UNCH

MAR23 3Y-MIDC    98.50 C   44,729     UNCH    98.50 P    7,719     UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

FEB20 10Y NOTE PUT/CALL RATIO   -- 1.13 (104,271 PUTS VS. 92,994 CALLS)

MAR20 10Y NOTE PUT/CALL RATIO   -- 1.15 (45,325 PUTS VS. 39,328 CALLS)

FEB20 5Y NOTE PUT/CALL RATIO    -- 0.61 (28,782 PUTS VS. 46,014 CALLS)

MAR20 5Y NOTE PUT/CALL RATIO    -- 1.12 (15,891 PUTS VS. 12,796 CALLS)

FEB20 2Y NOTE PUT/CALL RATIO    -- 10.1 (2,265 PUTS VS. 223 CALLS)

MAR20 2Y NOTE PUT/CALL RATIO    -- 1.69 (71 PUTS VS. 42 CALLS)

JAN20 EURODLRS PUT/CALL RATIO   -- 0.50 (61 PUTS VS. 122 CALLS)

MAR20 EURODLRS PUT/CALL RATIO   -- 0.35 (46,383 PUTS VS. 131,750 CALLS)

MAR21 1Y-MIDCRVE PUT/CALL RATIO -- 0.90 (28,894 PUTS VS. 31,929 CALLS)

MAR22 2Y-MIDCRVE PUT/CALL RATIO -- 1.87 (58,281 PUTS VS. 31,074 CALLS)

MAR23 3Y-MIDCRVE PUT/CALL RATIO -- 5.00 (325 PUTS VS. 65 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

1315        49.74    65.61    63.72    66.21    63.83     64.26

1145        49.67    65.80    63.68    66.16    63.85     64.29

1000        47.75    66.29    63.85    66.27    63.72     64.28

Fri Open    47.70    66.41    63.95    66.40    63.80     64.23

Thu 1500    48.70    64.37    62.65    64.95    63.38     64.14

Thu Open    48.45    65.10    62.40    64.60    63.45     64.05

Tue 1300    48.65    66.28    62.60    64.91    63.91     64.21

Tue Open    48.77    66.40    62.41    64.68    63.75     64.26

Mon 1500    47.53    66.33    62.29    64.65    63.75     64.31

Mon Open    48.53    63.11    61.81    63.97    63.64     64.27

Fri 1500    48.55    61.60    61.62    64.01    63.65     64.27

Fri Open    47.76    62.54    61.91    64.45    64.30     64.25

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

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