US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JULY 10

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

              USQ    USU     TYQ    TYU     FVQ    FVU     EDN     EDU

1345         8.04%  8.64%   2.85%  3.25%   1.27%  1.45%    N/A    59.10%

1230         8.23%  8.73%   2.85%  3.23%   1.32%  1.47%    N/A    59.50%

1045         8.50%  8.87%   2.94%  3.30%   1.37%  1.53%    N/A    64.50%

0930         8.56%  8.90%   3.06%  3.35%   1.39%  1.54%    N/A    61.20%

FRI OPEN     8.60%  8.95%   3.08%  3.36%   1.37%  1.54%    N/A    61.98%

THU 1500     7.99%  8.55%   2.85%  3.27%   1.35%  1.47%    N/A    63.30%

THU OPEN     7.97%  8.55%   2.85%  3.27%   1.35%  1.46%    N/A    63.25%

WED 1500     8.13%  8.64%   2.88%  3.32%   1.36%  1.51%    N/A    60.25%

WED OPEN     8.25%  8.65%   3.00%  3.32%   1.42%  1.50%    N/A    63.50%

TUE 1500     8.45%  8.80%   3.13%  3.36%   1.46%  1.53%    N/A    64.50%

TUE OPEN     8.57%  8.80%   3.20%  3.38%   1.55%  1.60%    N/A    65.60%

MON 1500     8.88%  8.93%   3.36%  3.50%   1.65%  1.65%    N/A    69.00%

MON 0645     8.75%  8.99%   3.27%  3.46%   1.62%  1.63%    N/A    69.40%

LARGEST O/I:      STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

AUG'20 10Y NOTE  139.50 C   69,044     -310   137.50 P   71,945     -465

SEP'20 10Y NOTE  142.00 C   64,442   +1,643   137.00 P  101,204   +1,364

AUG'20 5Y NOTE   125.75 C   28,928       -1   116.50 P   59,016     UNCH

SEP'20 5Y NOTE   125.75 C   45,314     +911   119.00 P   58,062     UNCH

AUG'20 2Y NOTE   110.62 C    3,948     UNCH   110.25 P    7,841     UNCH

SEP'20 2Y NOTE   110.50 C   41,065     +163   110.00 P    8,775      -11

JUL'20 EURODLR    99.62 C  164,484     UNCH    99.50 P  216,105     UNCH

SEP'20 EURODLR    99.87 C  565,841     +509    98.25 P  667,814     UNCH

SEP'21 1Y-MIDC    99.75 C  341,016     +495    99.62 P  179,476  +10,372

SEP'22 2Y-MIDC    99.75 C  128,660     UNCH    99.62 P   80,319   +6,607

SEP'23 3Y-MIDC    99.62 C   42,001  -25,312    99.50 P   70,583  +19,127

NEAREST ATM:      STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

AUG'20 10Y NOTE  139.00 C   35,348     -484   139.00 P   44,229     +659

AUG'20 10Y NOTE  139.50 C   69,044     -310   138.50 P    2,536     +129

SEP'20 10Y NOTE  139.00 C   46,799     -940   139.00 P   55,886   +7,394

SEP'20 10Y NOTE  139.50 C   43,256   +2,670   139.50 P    8,682   +3,589

AUG'20 5Y NOTE   125.50 C   11,185     UNCH   125.50 P   16,636      -54

AUG'20 5Y NOTE   125.75 C   28,928       -1   125.75 P    4,712     +104

SEP'20 5Y NOTE   125.50 C   24,439       +6   125.50 P   16,918     -100

SEP'20 5Y NOTE   125.75 C   45,314     +911   125.75 P    8,586   +2,354

AUG'20 2Y NOTE   110.38 C    1,939     UNCH   110.38 P    7,100     UNCH

AUG'20 2Y NOTE   110.50 C    2,265     UNCH   110.50 P        5     UNCH

SEP'20 2Y NOTE   110.38 C      544     UNCH   110.38 P      168     UNCH

SEP'20 2Y NOTE   110.50 C   41,065     +163   110.50 P    1,052     UNCH

JUL'20 EURODLR    99.62 C  164,484     UNCH    99.62 P  133,896     UNCH

JUL'20 EURODLR    99.75 C  154,621     UNCH    99.75 P   77,113     UNCH

SEP'20 EURODLR    99.62 C  245,222     UNCH    99.62 P  237,735      -22

SEP'20 EURODLR    99.75 C  413,666     -865    99.75 P   47,508      -10

SEP'21 1Y-MIDC    99.75 C  341,016     +495    99.75 P  163,573   +3,600

SEP'21 1Y-MIDC    99.88 C  245,615     +100    99.88 P   30,825     UNCH

SEP'22 2Y-MIDC    99.62 C   54,195     +265    99.62 P   80,319   +6,607

SEP'22 2Y-MIDC    99.75 C  128,660     UNCH    99.75 P   61,660   +5,000

SEP'23 3Y-MIDC    99.50 C   29,365   -9,975    99.50 P   70,583  +19,127

SEP'23 3Y-MIDC    99.62 C   42,001  -25,312    99.62 P   55,037  +30,750

PUT/CALL RATIO FOR VOLUME CLEARED:

AUG'20 10Y NOTE PUT/CALL RATIO   -- 0.86 (50,082 PUTS VS. 57,737 CALLS)

SEP'20 10Y NOTE PUT/CALL RATIO   -- 1.71 (110,176 PUTS VS. 64,798 CALLS)

AUG'20 5Y NOTE PUT/CALL RATIO    -- 1.09 (2,411 PUTS VS. 2,224 CALLS)

SEP'20 5Y NOTE PUT/CALL RATIO    -- 1.75 (14,871 PUTS VS. 8,803 CALLS

AUG'20 2Y NOTE PUT/CALL RATIO    -- 0.00 (0 PUTS VS. 0 CALLS)

SEP'20 2Y NOTE PUT/CALL RATIO    -- 0.32 (111 PUTS VS. 345 CALLS)

JUL'20 EURODLRS PUT/CALL RATIO   -- 0.00 (0 PUTS VS. 1 CALLS)

SEP'20 EURODLRS PUT/CALL RATIO   -- 0.09 (850 PUTS VS. 18,757 CALLS)

SEP'21 1Y-MIDCRVE PUT/CALL RATIO -- 1.13 (26,844 PUTS VS. 23,378 CALLS)

SEP'22 2Y-MIDCRVE PUT/CALL RATIO -- 2.42 (17,670 PUTS VS. 7,640 CALLS)

SEP'23 3Y-MIDCRVE PUT/CALL RATIO -- 1.40 (129,292 PUTS VS. 92,472 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

1345        21.16   58.95    38.47    60.13     64.90     61.03

1230        20.96   59.94    38.55    60.31     64.95     61.01

1045        21.34   59.45    38.89    60.88     65.29     61.41

0930        21.31   60.09    38.78    60.70     65.14     61.51

Fri Open    21.35   59.99    38.74    60.78     65.14     61.41

Thu 1500    22.09   59.14    39.24    61.39     64.96     61.47

Thu Open    21.64   58.77    39.13    61.24     65.00     61.54

Wed 1500    21.89   58.90    39.54    61.64     65.22     61.82

Wed Open    22.29   59.55    39.95    62.02     65.36     61.95

Tue 1500    22.25   60.57    39.82    61.96     65.32     61.97

Tue Open    22.72   62.16    40.90    63.37     65.31     62.88

Mon 1500    24.59   61.84    40.91    63.95     65.55     62.39

Mon 0900    25.05   62.20    41.36    64.41     65.52     62.45

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

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