US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JAN 9

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

             USG    USH     TYG    TYH     FVG    FVH     EDF     EDH

THU 1500    7.33%  7.32%   3.77%  3.80%   2.29%  2.39%    N/A    11.07%

1200        7.35%  7.36%   3.81%  3.83%   2.31%  2.32%    N/A    10.71%

0930        7.46%  7.49%   3.90%  3.91%   2.38%  2.42%    N/A    10.50%

THU OPEN    7.60%  7.50%   3.94%  3.91%   2.39%  2.45%    N/A    10.45%

WED 1500    7.82%  7.85%   4.02%  4.04%   2.51%  2.53%    N/A    10.69%

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  213,911     -849   127.00 P  120,471     -516

MAR20 10Y NOTE  131.00 C  105,202   +6,160   128.00 P   74,789  +25,548

FEB20 5Y NOTE   119.25 C   60,389   -1,001   118.00 P   33,727     -143

MAR20 5Y NOTE   119.00 C   32,160     +154   111.00 P  252,174     UNCH

FEB20 2Y NOTE   107.75 C    6,695   +1,013   107.12 P   24,223     UNCH

MAR20 2Y NOTE   108.00 C   13,500     +400   105.75 P   55,165     UNCH

JAN20 EURODLR    98.50 C  126,857       +1    98.12 P  105,555     UNCH

MAR20 EURODLR    98.50 C  487,729  +10,729    98.25 P  546,567  +28,116

MAR21 1Y-MIDC    99.75 C  247,313     UNCH    98.37 P   86,270   +9,230

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   36,087   +2,400

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

FEB20 10Y NOTE  129.00 C  124,329   -1,426   129.00 P   37,337   +1,640

FEB20 10Y NOTE  129.50 C  213,911     -849   129.50 P   25,785   +5,719

MAR20 10Y NOTE  129.00 C   36,162   +1,798   129.00 P   35,638   +3,692

MAR20 10Y NOTE  129.50 C   25,042     +172   129.50 P   11,471     +521

FEB20 5Y NOTE   119.00 C   52,162   +7,787   119.00 P   16,388   -1,827

FEB20 5Y NOTE   119.25 C   60,389   -1,001   119.25 P    2,311     +131

MAR20 5Y NOTE   119.00 C   32,160     +154   119.00 P   11,483     +794

MAR20 5Y NOTE   119.25 C   15,903      +59   119.25 P    6,186     +368

FEB20 2Y NOTE   107.75 C    6,695   +1,013   107.75 P   10,304      +33

FEB20 2Y NOTE   107.87 C    2,858   -1,945   107.87 P    3,190     -417

MAR20 2Y NOTE   107.75 C    1,132     UNCH   107.75 P    3,762   +1,018

MAR20 2Y NOTE   107.87 C    3,042     UNCH   107.87 P    4,507     UNCH

JAN20 EURODLR    98.25 C   65,450     UNCH    98.25 P   77,652       +1

JAN20 EURODLR    98.37 C   75,781   -1,548    98.37 P   25,285       -1

MAR20 EURODLR    98.25 C  281,704   -3,268    98.25 P  546,567  +28,116

MAR20 EURODLR    98.37 C  478,360   -4,690    98.37 P  249,484     +881

MAR21 1Y-MIDC    98.37 C   73,321     UNCH    98.37 P   86,270   +9,230

MAR21 1Y-MIDC    98.50 C   63,894   +1,694    98.50 P   57,669   +4,990

MAR22 2Y-MIDC    98.37 C   31,398     UNCH    98.37 P   33,504     +400

MAR22 2Y-MIDC    98.50 C   38,983     UNCH    98.50 P   32,086     +628

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

MAR23 3Y-MIDC    98.50 C   46,239     +510    98.50 P    7,792     UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

FEB20 10Y NOTE PUT/CALL RATIO   -- 0.62 (166,902 PUTS VS. 267,144 CALLS)

MAR20 10Y NOTE PUT/CALL RATIO   -- 1.14 (177,423 PUTS VS. 155,247 CALLS)

FEB20 5Y NOTE PUT/CALL RATIO    -- 0.70 (41,034 PUTS VS. 58,529 CALLS)

MAR20 5Y NOTE PUT/CALL RATIO    -- 1.23 (32,548 PUTS VS. 26,237 CALLS)

FEB20 2Y NOTE PUT/CALL RATIO    -- 0.24 (1,577 PUTS VS. 6,263 CALLS)

MAR20 2Y NOTE PUT/CALL RATIO    -- 10.1 (10,351 PUTS VS. 1,040 CALLS)

JAN20 EURODLRS PUT/CALL RATIO   -- 0.34 (2,253 PUTS VS. 6,308 CALLS)

MAR20 EURODLRS PUT/CALL RATIO   -- 0.21 (115,880 PUTS VS. 547,016 CALLS)

MAR21 1Y-MIDCRVE PUT/CALL RATIO -- 0.52 (37,269 PUTS VS. 70,607 CALLS)

MAR22 2Y-MIDCRVE PUT/CALL RATIO -- 5.41 (27,990 PUTS VS. 5,175 CALLS)

MAR23 3Y-MIDCRVE PUT/CALL RATIO -- 0.17 (4,000 PUTS VS. 23,001 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    50.25    63.28    62.44    64.69    64.77     64.86

1200        50.53    63.60    62.55    64.80    64.72     64.71

0930        51.11    64.81    62.94    65.27    64.70     64.66

Thu Open    52.41    66.64    64.16    66.21    65.43     65.23

Wed 1500    51.91    66.64    64.21    66.15    65.46     65.32

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$]