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US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JAN 6

EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
             USG    USH     TYG    TYH     FVG    FVH     EDF     EDH
MON 1500    8.00%  7.88%   4.10%  4.14%   2.50%  2.55%    N/A    13.05%
1330        8.09%  7.93%   4.10%  4.14%   2.54%  2.55%    N/A    13.35%
1200        8.11%  7.99%   4.11%  4.17%   2.55%  2.60%    N/A    12.90%
0930        8.13%  8.02%   4.13%  4.22%   2.59%  2.60%    N/A    12.20%
MON OPEN    7.80%  7.86%   3.96%  4.04%   2.48%  2.50%    N/A    12.70%
FRI 1500    7.80%  7.86%   3.96%  4.04%   2.48%  2.50%    N/A    12.70%
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%
LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE
FEB20 10Y NOTE  129.50 C  206,181   +7,882   127.00 P  123,071   -2,279
MAR20 10Y NOTE  131.00 C   76,953     -327   117.50 P   66,948     UNCH
FEB20 5Y NOTE   119.25 C   53,136      +89   118.00 P   33,753     +243
MAR20 5Y NOTE   119.00 C   32,102      -98   111.00 P  252,174     UNCH
FEB20 2Y NOTE   107.75 C    5,649     -218   107.12 P   24,223     UNCH
MAR20 2Y NOTE   108.00 C   13,100      +28   105.75 P   55,165     UNCH
JAN20 EURODLR    98.50 C  126,856       -2    98.12 P  105,555     UNCH
MAR20 EURODLR    98.50 C  488,428  +33,755    98.25 P  524,201  -12,304
MAR21 1Y-MIDC    99.75 C  247,313     UNCH    98.25 P   87,804     -683
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  129,284   +5,917   129.00 P   27,576   +2,066
FEB20 10Y NOTE  129.50 C  206,181   +7,882   129.50 P   16,400     +291
MAR20 10Y NOTE  129.00 C   28,608   +3,378   129.00 P   27,222   +1,208
MAR20 10Y NOTE  129.50 C   24,839   +1,268   129.50 P   10,344   -1,162
FEB20 5Y NOTE   119.00 C   44,766   -2,740   119.00 P   17,433   +7,899
FEB20 5Y NOTE   119.25 C   53,136      +89   119.25 P    2,177     UNCH
MAR20 5Y NOTE   119.00 C   32,102      -98   119.00 P    9,692     +208
MAR20 5Y NOTE   119.25 C   15,789     +369   119.25 P    5,843     UNCH
FEB20 2Y NOTE   107.75 C    5,649     -218   107.75 P    7,693   -2,748
FEB20 2Y NOTE   107.87 C    5,187   +2,652   107.87 P    3,714   +1,836
MAR20 2Y NOTE   107.75 C    1,180     +125   107.75 P    2,744      +18
MAR20 2Y NOTE   107.87 C    3,042      +10   107.87 P    4,507     UNCH
JAN20 EURODLR    98.25 C   63,289  -12,024    98.25 P   80,527   -1,752
JAN20 EURODLR    98.37 C   77,329   -9,697    98.37 P   25,286       -1
MAR20 EURODLR    98.25 C  276,169  -74,966    98.25 P  524,201  -12,304
MAR20 EURODLR    98.37 C  460,598   +1,497    98.37 P  247,603  -18,385
MAR21 1Y-MIDC    98.37 C   73,321     UNCH    98.37 P   69,995     -100
MAR21 1Y-MIDC    98.50 C   62,566     -400    98.50 P   48,517     +257
MAR22 2Y-MIDC    98.37 C   31,398     UNCH    98.37 P   29,901      -51
MAR22 2Y-MIDC    98.50 C   38,754     +350    98.50 P   29,540   -1,000
MAR23 3Y-MIDC    98.37 C    9,745     UNCH    98.37 P   14,897     -397
MAR23 3Y-MIDC    98.50 C   44,729     UNCH    98.50 P    7,792      +73
PUT/CALL RATIO FOR VOLUME CLEARED:
FEB20 10Y NOTE PUT/CALL RATIO   -- 0.97 (213,720 PUTS VS. 218,469 CALLS)
MAR20 10Y NOTE PUT/CALL RATIO   -- 0.66 (94,660 PUTS VS. 141,081 CALLS)
FEB20 5Y NOTE PUT/CALL RATIO    -- 0.85 (34,896 PUTS VS. 40,623 CALLS)
MAR20 5Y NOTE PUT/CALL RATIO    -- 0.90 (29,705 PUTS VS. 32,344 CALLS)
FEB20 2Y NOTE PUT/CALL RATIO    -- 1.11 (7,960 PUTS VS. 7,153 CALLS)
MAR20 2Y NOTE PUT/CALL RATIO    -- 0.25 (387 PUTS VS. 1,501 CALLS)
JAN20 EURODLRS PUT/CALL RATIO   -- 0.05 (4,196 PUTS VS. 80,374 CALLS)
MAR20 EURODLRS PUT/CALL RATIO   -- 0.43 (199,196 PUTS VS. 454,500 CALLS)
MAR21 1Y-MIDCRVE PUT/CALL RATIO -- 0.20 (12,228 PUTS VS. 60,815 CALLS)
MAR22 2Y-MIDCRVE PUT/CALL RATIO -- 9.16 (11,000 PUTS VS. 1,250 CALLS)
MAR23 3Y-MIDCRVE PUT/CALL RATIO -- 0.24 (1,569 PUTS VS. 6,226 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
Mon 1500    54.28    67.80    65.73    67.38    64.78     64.80
1330        53.04    67.77    65.47    66.89    64.54     64.61
1200        50.32    67.88    65.53    67.00    64.16     64.47
0930        50.32    67.88    65.53    67.00    64.16     64.47
Mon Open    49.77    65.86    64.41    66.46    64.01     64.39
Fri 1500    49.77    65.86    64.41    66.46    64.01     64.39
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
--MNI Chicago Bureau; tel: +1 312-431-0089; email: bill.sokolis@marketnews.com
[TOPICS: MTABLE,M$U$$$,M$$FI$,MN$FI$]

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