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US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JAN 7

EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
             USG    USH     TYG    TYH     FVG    FVH     EDF     EDH
TUE OPEN    8.02%  7.90%   4.09%  4.19%   2.55%  2.55%    N/A    13.15%
MON 1500    8.00%  7.88%   4.10%  4.14%   2.50%  2.55%    N/A    13.05%
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%
LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE
FEB20 10Y NOTE  129.50 C  214,451   +8,270   127.00 P  121,140   -1,931
MAR20 10Y NOTE  131.00 C   99,261  +22,308   117.50 P   66,948     UNCH
FEB20 5Y NOTE   119.25 C   56,351   +3,215   118.00 P   33,795      +42
MAR20 5Y NOTE   119.00 C   32,006      -96   111.00 P  252,174     UNCH
FEB20 2Y NOTE   107.75 C    5,682      +33   107.12 P   24,223     UNCH
MAR20 2Y NOTE   108.00 C   13,100     UNCH   105.75 P   55,165     UNCH
JAN20 EURODLR    98.50 C  126,856     UNCH    98.12 P  105,555     UNCH
MAR20 EURODLR    98.50 C  477,564  -10,864    98.25 P  527,051   +2,850
MAR21 1Y-MIDC    99.75 C  247,313     UNCH    98.25 P   81,204   -6,600
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  125,762   -3,522   129.00 P   33,296   +5,720
FEB20 10Y NOTE  129.50 C  214,451   +8,270   129.50 P   19,532   +3,132
MAR20 10Y NOTE  129.00 C   28,998     +390   129.00 P   28,948   +1,727
MAR20 10Y NOTE  129.50 C   25,883   +1,044   129.50 P   10,728     +384
FEB20 5Y NOTE   119.00 C   44,758       -8   119.00 P   17,433     UNCH
FEB20 5Y NOTE   119.25 C   56,351   +3,215   119.25 P    2,179       +2
MAR20 5Y NOTE   119.00 C   32,006      -96   119.00 P   10,415     +723
MAR20 5Y NOTE   119.25 C   15,844      +55   119.25 P    5,843     UNCH
FEB20 2Y NOTE   107.75 C    5,682      +33   107.75 P   10,271   +2,578
FEB20 2Y NOTE   107.87 C    4,806     -384   107.87 P    3,607     -107
MAR20 2Y NOTE   107.75 C    1,132      -48   107.75 P    2,744     UNCH
MAR20 2Y NOTE   107.87 C    3,042     UNCH   107.87 P    4,507     UNCH
JAN20 EURODLR    98.25 C   63,289     UNCH    98.25 P   79,051   -1,473
JAN20 EURODLR    98.37 C   77,329     UNCH    98.37 P   25,286     UNCH
MAR20 EURODLR    98.25 C  277,170   +1,001    98.25 P  527,051   +2,850
MAR20 EURODLR    98.37 C  461,600   +1,002    98.37 P  247,603     UNCH
MAR21 1Y-MIDC    98.37 C   73,321     UNCH    98.37 P   72,763   +2,768
MAR21 1Y-MIDC    98.50 C   62,489      -77    98.50 P   51,277   +3,210
MAR22 2Y-MIDC    98.37 C   31,398     UNCH    98.37 P   33,154   +3,253
MAR22 2Y-MIDC    98.50 C   38,154     -600    98.50 P   30,903   +1,363
MAR23 3Y-MIDC    98.37 C    9,945     +200    98.37 P   15,091     +194
MAR23 3Y-MIDC    98.50 C   44,729     UNCH    98.50 P    7,792     UNCH
PUT/CALL RATIO FOR VOLUME CLEARED:
FEB20 10Y NOTE PUT/CALL RATIO   -- 0.31 (108,711 PUTS VS. 339,943 CALLS)
MAR20 10Y NOTE PUT/CALL RATIO   -- 0.52 (61,701 PUTS VS. 116,320 CALLS)
FEB20 5Y NOTE PUT/CALL RATIO    -- 0.68 (26,648 PUTS VS. 38,820 CALLS)
MAR20 5Y NOTE PUT/CALL RATIO    -- 1.28 (32,603 PUTS VS. 25,171 CALLS)
FEB20 2Y NOTE PUT/CALL RATIO    -- 3.13 (9,428 PUTS VS. 3,074 CALLS)
MAR20 2Y NOTE PUT/CALL RATIO    -- 4.19 (915 PUTS VS. 218 CALLS)
JAN20 EURODLRS PUT/CALL RATIO   -- 0.00 (7,425 PUTS VS. 0 CALLS)
MAR20 EURODLRS PUT/CALL RATIO   -- 0.14 (30,589 PUTS VS. 216,700 CALLS)
MAR21 1Y-MIDCRVE PUT/CALL RATIO -- 0.88 (23,923 PUTS VS. 26,832 CALLS)
MAR22 2Y-MIDCRVE PUT/CALL RATIO -- 10.4 (33,424 PUTS VS. 3,215 CALLS)
MAR23 3Y-MIDCRVE PUT/CALL RATIO -- 4.46 (2,900 PUTS VS. 650 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 Open    54.08    68.19    65.24    66.97    65.13     64.90
Mon 1500    54.28    67.80    65.73    67.38    64.78     64.80
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
--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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