US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JAN 8

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

             USG    USH     TYG    TYH     FVG    FVH     EDF     EDH

1245        7.79%  7.74%   4.04%  4.00%   2.50%  2.52%    N/A    11.65%

1100        8.01%  7.95%   4.15%  4.10%   2.64%  2.60%    N/A    12.80%

0930        8.16%  7.95%   4.14%  4.09%   2.62%  2.57%    N/A    12.80%

WED OPEN    8.01%  7.92%   4.01%  4.07%   2.55%  2.55%    N/A    12.65%

TUE 1500    7.85%  7.80%   4.00%  4.10%   2.47%  2.52%    N/A    13.54%

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

FEB20 10Y NOTE  129.50 C  214,760     +309   127.00 P  120,987     -153

MAR20 10Y NOTE  131.00 C   99,042     -219   117.50 P   66,948     UNCH

FEB20 5Y NOTE   119.25 C   61,390   +5,039   118.00 P   33,870      +75

MAR20 5Y NOTE   119.00 C   32,006     UNCH   111.00 P  252,174     UNCH

FEB20 2Y NOTE   107.75 C    5,682     UNCH   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    98.37 C  483,320  +21,720    98.25 P  518,451   -8,600

MAR21 1Y-MIDC    99.75 C  247,313     UNCH    98.25 P   81,954     +750

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

MAR23 3Y-MIDC    98.12 C   53,469     UNCH    98.12 P   33,687  +10,539

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

FEB20 10Y NOTE  129.00 C  126,155     +393   129.00 P   35,697   +2,401

FEB20 10Y NOTE  129.50 C  214,760     +309   129.50 P   20,066     +534

MAR20 10Y NOTE  129.00 C   34,364   +5,366   129.00 P   31,676   +2,727

MAR20 10Y NOTE  129.50 C   24,870   -1,013   129.50 P   10,950     +222

FEB20 5Y NOTE   119.00 C   44,375     -383   119.00 P   18,260     +827

FEB20 5Y NOTE   119.25 C   61,390   +5,039   119.25 P    2,180       +1

MAR20 5Y NOTE   119.00 C   32,006     UNCH   119.00 P   10,689     +274

MAR20 5Y NOTE   119.25 C   15,844     UNCH   119.25 P    5,818      -25

FEB20 2Y NOTE   107.75 C    5,682     UNCH   107.75 P   10,271     UNCH

FEB20 2Y NOTE   107.87 C    4,803     UNCH   107.87 P    3,607     UNCH

MAR20 2Y NOTE   107.75 C    1,132     UNCH   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   65,450   +2,161    98.25 P   77,651   -1,400

JAN20 EURODLR    98.37 C   77,329     UNCH    98.37 P   25,286     UNCH

MAR20 EURODLR    98.25 C  284,972   +7,802    98.25 P  518,451   -8,600

MAR20 EURODLR    98.37 C  483,320  +21,720    98.37 P  248,603   +1,000

MAR21 1Y-MIDC    98.37 C   73,321     UNCH    98.37 P   77,040   +4,277

MAR21 1Y-MIDC    98.50 C   62,200     -289    98.50 P   52,709   +1,432

MAR22 2Y-MIDC    98.37 C   31,398     UNCH    98.37 P   33,104      -50

MAR22 2Y-MIDC    98.50 C   38,983     +829    98.50 P   31,458     +555

MAR23 3Y-MIDC    98.37 C    9,945     UNCH    98.37 P   14,302     -789

MAR23 3Y-MIDC    98.50 C   45,729     UNCH    98.50 P    7,792     UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

FEB20 10Y NOTE PUT/CALL RATIO   -- 0.31 (75,667 PUTS VS. 111,496 CALLS)

MAR20 10Y NOTE PUT/CALL RATIO   -- 0.52 (55,384 PUTS VS. 100,347 CALLS)

FEB20 5Y NOTE PUT/CALL RATIO    -- 0.68 (22,846 PUTS VS. 65,245 CALLS)

MAR20 5Y NOTE PUT/CALL RATIO    -- 1.28 (2,697 PUTS VS. 10,193 CALLS)

FEB20 2Y NOTE PUT/CALL RATIO    -- 0.00 (0 PUTS VS. 1,034 CALLS)

MAR20 2Y NOTE PUT/CALL RATIO    -- 4.19 (125 PUTS VS. 1,020 CALLS)

JAN20 EURODLRS PUT/CALL RATIO   -- 0.49 (4,900 PUTS VS. 9,000 CALLS)

MAR20 EURODLRS PUT/CALL RATIO   -- 0.14 (20,061 PUTS VS. 236,970 CALLS)

MAR21 1Y-MIDCRVE PUT/CALL RATIO -- 0.88 (19,012 PUTS VS. 27,116 CALLS)

MAR22 2Y-MIDCRVE PUT/CALL RATIO -- 10.4 (9,390 PUTS VS. 4,590 CALLS)

MAR23 3Y-MIDCRVE PUT/CALL RATIO -- 0.00 (40,298 PUTS VS. 0 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

1245        54.46    66.45    65.23    66.74    65.46     65.36

1100        54.89    67.65    65.66    67.29    65.50     65.32

0930        54.48    67.57    65.65    67.25    65.39     65.29

Wed Open    54.05    67.05    65.05    67.00    65.30     65.10

Tue 1500    53.90    68.70    64.96    66.58    65.31     65.11

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

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

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