US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JULY 14

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

              USQ    USU     TYQ    TYU     FVQ    FVU     EDQ     EDU

MON 1500     8.32%  8.46%   2.91%  3.25%   1.31%  1.46%   62.55%  54.60%

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%

LARGEST O/I:      STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

AUG'20 10Y NOTE  139.50 C   68,230   -1,386   137.50 P   67,369   -4,587

SEP'20 10Y NOTE  142.00 C   65,723      -75   137.00 P  105,683     -923

AUG'20 5Y NOTE   125.75 C   31,103     +225   116.50 P   59,016     UNCH

SEP'20 5Y NOTE   126.00 C   45,396      -10   119.00 P   58,062     UNCH

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

SEP'20 2Y NOTE   110.50 C   41,836     +495   109.88 P    8,500     UNCH

AUG'20 EURODLR    99.75 C   78,105       +1    98.25 P   22,197     UNCH

SEP'20 EURODLR    99.87 C  557,041   +2,200    98.25 P  667,814     UNCH

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

SEP'22 2Y-MIDC    99.75 C  128,660     UNCH    99.62 P   82,206      -63

SEP'23 3Y-MIDC    99.75 C   71,094  +16,220    99.37 P   68,656   +2,221

NEAREST ATM:      STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

AUG'20 10Y NOTE  139.00 C   34,218     -313   139.00 P   49,832   +3,779

AUG'20 10Y NOTE  139.50 C   68,230   -1,386   138.50 P    3,870      +16

SEP'20 10Y NOTE  139.00 C   49,409     +637   139.00 P   59,409   +1,193

SEP'20 10Y NOTE  139.50 C   44,370      +18   139.50 P   12,671   +1,040

AUG'20 5Y NOTE   125.50 C   11,185     UNCH   125.50 P   14,887   -1,068

AUG'20 5Y NOTE   125.75 C   31,103     +225   125.75 P    6,906      +30

SEP'20 5Y NOTE   125.50 C   24,123     -125   125.50 P   18,959   +2,164

SEP'20 5Y NOTE   125.75 C   42,808   +1,169   125.75 P    9,531     UNCH

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      546       +2   110.38 P      168     UNCH

SEP'20 2Y NOTE   110.50 C   41,836     +495   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   78,105       +1    99.75 P   12,067     UNCH

SEP'20 EURODLR    99.62 C  245,222     UNCH    99.62 P  245,416   +4,978

SEP'20 EURODLR    99.75 C  415,239   +2,093    99.75 P   63,336   +6,277

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

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

SEP'22 2Y-MIDC    99.62 C   54,884     UNCH    99.62 P   82,206      -63

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

SEP'23 3Y-MIDC    99.50 C   33,467   +8,204    99.50 P   58,902   +7,148

SEP'23 3Y-MIDC    99.62 C   39,213   -2,581    99.62 P   60,437   +5,900

PUT/CALL RATIO FOR VOLUME CLEARED:

AUG'20 10Y NOTE PUT/CALL RATIO   -- 1.91 (33,786 PUTS VS. 17,695 CALLS)

SEP'20 10Y NOTE PUT/CALL RATIO   -- 1.43 (59,851 PUTS VS. 41,459 CALLS)

AUG'20 5Y NOTE PUT/CALL RATIO    -- 0.95 (2,016 PUTS VS. 2,112 CALLS)

SEP'20 5Y NOTE PUT/CALL RATIO    -- 2.55 (16,662 PUTS VS. 6,542 CALLS

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

SEP'20 2Y NOTE PUT/CALL RATIO    -- 1.45 (801 PUTS VS. 550 CALLS)

AUG'20 EURODLRS PUT/CALL RATIO   -- 0.00 (0 PUTS VS. 4 CALLS)

SEP'20 EURODLRS PUT/CALL RATIO   -- 5.15 (26,326 PUTS VS. 5,170 CALLS)

SEP'21 1Y-MIDCRVE PUT/CALL RATIO -- 1.15 (8,264 PUTS VS. 7,122 CALLS)

SEP'22 2Y-MIDCRVE PUT/CALL RATIO -- 1.29 (6,626 PUTS VS. 5,152 CALLS)

SEP'23 3Y-MIDCRVE PUT/CALL RATIO -- 0.76 (38,650 PUTS VS. 50,450 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

Mon 1500    21.08   58.23    38.10    59.93     64.63     60.64

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

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

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