US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JAN 30

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

             USH    USJ     TYH    TYJ     FVH    FVJ     EDG     EDH

THU 1500    9.25%  8.58%   4.69%  4.42%   2.93%  2.88%   15.50%  12.89%

1330        9.31%  8.64%   4.75%  4.47%   2.97%  2.90%   12.25%  12.65%

1100        9.47%  8.75%   4.70%  4.50%   3.00%  2.95%   12.30%  12.80%

THU OPEN    8.99%  8.57%   4.60%  4.35%   2.92%  2.82%   12.00%  12.40%

WED 1500    8.02%  8.36%   4.58%  4.30%   2.87%  2.75%   11.80%  11.60%

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  149,870   +9,611   128.00 P  137,566     -983

APR20 10Y NOTE  131.00 C   60,116     -234   128.00 P   67,074   +8,346

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

APR20 5Y NOTE   119.25 C   11,745       +6   118.00 P   12,772      +10

MAR20 2Y NOTE   108.00 C   13,550      -50   105.75 P   55,165     UNCH

APR20 2Y NOTE   108.12 C    1,097     +746   106.00 P      536     UNCH

FEB20 EURODLR    99.12 C  164,000     UNCH    98.25 P  130,889     +250

MAR20 EURODLR    98.37 C  507,174   +6,412    98.25 P  504,025   +1,533

MAR21 1Y-MIDC    99.75 C  247,313     UNCH    98.25 P   80,083   +2,478

MAR22 2Y-MIDC    98.25 C   79,246     UNCH    98.25 P  100,428     -250

MAR23 3Y-MIDC    98.12 C   53,469     UNCH    98.12 P   38,433     +327

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

MAR20 10Y NOTE  130.50 C  112,967   -1,456   130.50 P   30,493   +3,729

MAR20 10Y NOTE  131.00 C  149,870   +9,611   131.00 P   13,737   +3,176

APR20 10Y NOTE  130.50 C   33,376  +18,616   130.50 P    7,159   +2,099

APR20 10Y NOTE  131.00 C   60,116     -234   131.00 P    3,537      +25

MAR20 5Y NOTE   119.75 C   18,048     -997   119.75 P    6,959   +3,210

MAR20 5Y NOTE   120.00 C   39,982   +1,959   120.00 P    4,307     UNCH

APR20 5Y NOTE   120.00 C    5,297     +135   120.00 P    4,189   +3,425

APR20 5Y NOTE   120.25 C    6,286     +871   120.25 P    3,060   +1,742

MAR20 2Y NOTE   107.87 C    5,074     UNCH   107.87 P    4,656     -723

MAR20 2Y NOTE   108.00 C   13,500      -50   108.00 P      669      +18

APR20 2Y NOTE   107.87 C      416     UNCH   107.87 P      436      +20

APR20 2Y NOTE   108.00 C      150     UNCH   108.00 P      601     +600

FEB20 EURODLR    98.25 C   66,921     +250    98.25 P  130,889     +250

FEB20 EURODLR    98.37 C   92,753     +178    98.37 P   52,287     UNCH

MAR20 EURODLR    98.25 C  272,049   +1,842    98.25 P  504,025   +1,533

MAR20 EURODLR    98.37 C  507,174   +6,412    98.37 P  226,002     -202

MAR21 1Y-MIDC    98.37 C  118,087     UNCH    98.37 P   78,850   -4,366

MAR21 1Y-MIDC    98.50 C  153,491     -300    98.50 P   56,592     +150

MAR22 2Y-MIDC    98.37 C   31,398     UNCH    98.37 P   46,079     +944

MAR22 2Y-MIDC    98.50 C   34,669     UNCH    98.50 P   31,622   +1,000

MAR23 3Y-MIDC    98.37 C   10,870     UNCH    98.37 P   18,998     +990

MAR23 3Y-MIDC    98.50 C   45,284     -500    98.50 P    9,633     +449

PUT/CALL RATIO FOR VOLUME CLEARED:

MAR20 10Y NOTE PUT/CALL RATIO   -- 1.10 (187,628 PUTS VS. 169,450 CALLS)

APR20 10Y NOTE PUT/CALL RATIO   -- 0.37 (61,060 PUTS VS. 162,329 CALLS)

MAR20 5Y NOTE PUT/CALL RATIO    -- 1.61 (50,308 PUTS VS. 31,943 CALLS)

APR20 5Y NOTE PUT/CALL RATIO    -- 0.64 (9,616 PUTS VS. 14,941 CALLS)

MAP20 2Y NOTE PUT/CALL RATIO    -- 0.58 (4,594 PUTS VS. 7,784 CALLS)

APR20 2Y NOTE PUT/CALL RATIO    -- 0.57 (620 PUTS VS. 1,072 CALLS)

FEB20 EURODLRS PUT/CALL RATIO   -- 0.11 (500 PUTS VS. 4,628 CALLS)

FEB20 EURODLRS PUT/CALL RATIO   -- 0.08 (6,234 PUTS VS. 75,200 CALLS)

MAR21 1Y-MIDCRVE PUT/CALL RATIO -- 0.71 (21,553 PUTS VS. 30,119 CALLS)

MAR22 2Y-MIDCRVE PUT/CALL RATIO -- 3.25 (13,200 PUTS VS. 4,200 CALLS)

MAR23 3Y-MIDCRVE PUT/CALL RATIO -- 3.11 (16,790 PUTS VS. 5,450 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

Thu 1500    60.35    75.97    69.72    71.04    66.61     66.68

1330        60.27    75.97    69.78    71.11    66.53     66.76

1100        60.41    76.81    70.28    71.37    66.65     66.81

Thu Open    59.81    75.44    68.70    70.57    65.99     66.21

Wed 1500    57.40    72.91    66.45    68.22    65.04     65.85

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

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

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