US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JULY 13

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

              USQ    USU     TYQ    TYU     FVQ    FVU     EDQ     EDU

1145         8.31%  8.48%   2.95%  3.25%   1.34%  1.46%   64.25%  59.65%

0930         8.10%  8.47%   2.89%  3.20%   1.35%  1.46%   62.50%  56.45%

MON OPEN     8.37%  8.63%   2.95%  3.26%   1.35%  1.49%   64.86%  59.90%

FRI 1500     7.91%  8.60%   2.81%  3.21%   1.25%  1.45%    N/A    59.50%

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   69,616     +572   137.50 P   71,956      +11

SEP'20 10Y NOTE  142.00 C   65,873   +1,431   137.00 P  106,606   +5,502

AUG'20 5Y NOTE   125.75 C   30,878   +1,950   116.50 P   59,016     UNCH

SEP'20 5Y NOTE   126.00 C   45,406  +10,228   119.00 P   58,062     UNCH

AUG'20 2Y NOTE   110.62 C    3,948     UNCH   110.25 P    7,845       +4

SEP'20 2Y NOTE   110.50 C   41,341     +276   110.00 P    8,771       -4

AUG'20 EURODLR    99.75 C   78,104     +500    98.25 P   22,197     UNCH

SEP'20 EURODLR    99.87 C  554,841  -11,000    98.25 P  667,814     UNCH

SEP'21 1Y-MIDC    99.75 C  341,016     UNCH    99.62 P  185,106   +5,630

SEP'22 2Y-MIDC    99.75 C  128,660     UNCH    99.62 P   82,269   +1,950

SEP'23 3Y-MIDC    99.75 C   54,874  +14,991    99.50 P   69,754     -829

NEAREST ATM:      STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

AUG'20 10Y NOTE  139.00 C   34,531     -817   139.00 P   46,053   +1,824

AUG'20 10Y NOTE  139.50 C   69,616     +572   138.50 P    3,854   +1,318

SEP'20 10Y NOTE  139.00 C   48,772   +1,973   139.00 P   58,216   +7,394

SEP'20 10Y NOTE  139.50 C   44,352   +1,096   139.50 P   11,631   +2,949

AUG'20 5Y NOTE   125.50 C   11,185     UNCH   125.50 P   15,955     -681

AUG'20 5Y NOTE   125.75 C   30,878   +1,950   125.75 P    6,876   +2,164

SEP'20 5Y NOTE   125.50 C   24,248     -191   125.50 P   16,825      -93

SEP'20 5Y NOTE   125.75 C   41,639   -3,675   125.75 P    9,531     +945

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   41,341     +276   110.50 P    1,052     UNCH

AUG'20 EURODLR    99.62 C   10,000     UNCH    99.62 P   11,759     UNCH

AUG'20 EURODLR    99.75 C   78,104     +500    99.75 P   12,067     UNCH

SEP'20 EURODLR    99.62 C  245,222     UNCH    99.62 P  240,348   +3,063

SEP'20 EURODLR    99.75 C  413,146     -520    99.75 P   57,059   +9,551

SEP'21 1Y-MIDC    99.75 C  341,016     UNCH    99.75 P  159,259   +2,000

SEP'21 1Y-MIDC    99.88 C  247,615   +2,000    99.88 P   30,825     UNCH

SEP'22 2Y-MIDC    99.62 C   54,884     +689    99.62 P   82,269   +1,950

SEP'22 2Y-MIDC    99.75 C  128,660     UNCH    99.75 P   63,660   +2,000

SEP'23 3Y-MIDC    99.50 C   25,263   -4,102    99.50 P   69,754     -829

SEP'23 3Y-MIDC    99.62 C   41,794     -207    99.62 P   54,537     -500

PUT/CALL RATIO FOR VOLUME CLEARED:

AUG'20 10Y NOTE PUT/CALL RATIO   -- 0.86 (63,488 PUTS VS. 66,162 CALLS)

SEP'20 10Y NOTE PUT/CALL RATIO   -- 1.71 (73,927 PUTS VS. 96,548 CALLS)

AUG'20 5Y NOTE PUT/CALL RATIO    -- 1.09 (8,101 PUTS VS. 18,388 CALLS)

SEP'20 5Y NOTE PUT/CALL RATIO    -- 1.75 (15,758 PUTS VS. 28,755 CALLS

AUG'20 2Y NOTE PUT/CALL RATIO    -- 0.00 (25 PUTS VS. 0 CALLS)

SEP'20 2Y NOTE PUT/CALL RATIO    -- 0.32 (10 PUTS VS. 496 CALLS)

AUG'20 EURODLRS PUT/CALL RATIO   -- 0.00 (100 PUTS VS. 2,100 CALLS)

SEP'20 EURODLRS PUT/CALL RATIO   -- 0.09 (50,582 PUTS VS. 31,568 CALLS)

SEP'21 1Y-MIDCRVE PUT/CALL RATIO -- 1.13 (12,760 PUTS VS. 5,850 CALLS)

SEP'22 2Y-MIDCRVE PUT/CALL RATIO -- 2.42 (8,731 PUTS VS. 18,121 CALLS)

SEP'23 3Y-MIDCRVE PUT/CALL RATIO -- 1.40 (9,411 PUTS VS. 62,000 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

1145        20.94   59.32    38.09    59.99     64.77     60.79

0930        20.87   59.49    38.30    60.16     65.05     61.19

Mon Open    20.86   58.52    38.14    59.89     64.86     61.08

Fri 1500    20.96   59.94    38.55    60.31     64.95     61.01

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$]