US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JULY 15

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

              USQ    USU     TYQ    TYU     FVQ    FVU     EDQ     EDU

1030         7.74%  8.14%   2.90%  3.17%   1.28%  1.44%   63.75%  58.50%

WED OPEN     7.87%  8.25%   2.98%  3.25%   1.40%  1.47%   62.30%  60.40%

TUE 1500     8.41%  8.60%   3.05%  3.32%   1.33%  1.52%   65.90%  63.15%

TUE OPEN     8.25%  8.54%   2.96%  3.26%   1.34%  1.48%   62.40%  60.05%

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%

LARGEST O/I:      STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

AUG'20 10Y NOTE  139.50 C   69,530   +1,300   137.50 P   67,758     +389

SEP'20 10Y NOTE  140.00 C   62,369   +3,730   137.00 P  112,544   +6,861

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

SEP'20 5Y NOTE   126.00 C   45,281     -115   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   42,080     +244   109.88 P    8,500     UNCH

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

SEP'20 EURODLR    99.87 C  562,566   +5,525    98.25 P  667,814     UNCH

SEP'21 1Y-MIDC    99.75 C  340,602     -414    99.62 P  185,106     UNCH

SEP'22 2Y-MIDC    99.75 C  128,623      -37    99.62 P   81,454     -752

SEP'23 3Y-MIDC    99.75 C   73,324   +2,230    99.37 P   76,285   +7,629

NEAREST ATM:      STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

AUG'20 10Y NOTE  139.00 C   36,596   +2,498   139.00 P   53,250   +3,418

AUG'20 10Y NOTE  139.50 C   69,530   +1,300   138.50 P    4,996   +1,126

SEP'20 10Y NOTE  139.00 C   50,897   +1,488   139.00 P   56,996   -2,413

SEP'20 10Y NOTE  139.50 C   43,352   -1,018   139.50 P   12,572      -99

AUG'20 5Y NOTE   125.50 C   11,185     UNCH   125.50 P   13,897     -990

AUG'20 5Y NOTE   125.75 C   31,103     UNCH   125.75 P    6,548     -358

SEP'20 5Y NOTE   125.50 C   24,129       +6   125.50 P   18,976      -13

SEP'20 5Y NOTE   125.75 C   42,814       +6   125.75 P    9,895     +364

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    1,378     +832   110.38 P      673     +505

SEP'20 2Y NOTE   110.50 C   42,080     +244   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     UNCH    99.75 P   12,117      +50

SEP'20 EURODLR    99.62 C  246,833   +1,611    99.62 P  250,514   +5,098

SEP'20 EURODLR    99.75 C  416,046     +807    99.75 P   68,205   +4,869

SEP'21 1Y-MIDC    99.75 C  340,602     -414    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   81,454     -752

SEP'22 2Y-MIDC    99.75 C  128,623      -37    99.75 P   64,110     +450

SEP'23 3Y-MIDC    99.50 C   33,467   +8,204    99.50 P   62,351   +3,449

SEP'23 3Y-MIDC    99.62 C   39,213   -2,581    99.62 P   69,429   +8,992

PUT/CALL RATIO FOR VOLUME CLEARED:

AUG'20 10Y NOTE PUT/CALL RATIO   -- 0.68 (38,054 PUTS VS. 55,711 CALLS)

SEP'20 10Y NOTE PUT/CALL RATIO   -- 1.22 (105,802 PUTS VS. 86,250 CALLS)

AUG'20 5Y NOTE PUT/CALL RATIO    -- 2.17 (5,084 PUTS VS. 2,321 CALLS)

SEP'20 5Y NOTE PUT/CALL RATIO    -- 0.84 (9,624 PUTS VS. 11,472 CALLS

AUG'20 2Y NOTE PUT/CALL RATIO    -- 0.01 (1 PUTS VS. 62 CALLS)

SEP'20 2Y NOTE PUT/CALL RATIO    -- 0.37 (505 PUTS VS. 1,348 CALLS)

AUG'20 EURODLRS PUT/CALL RATIO   -- 0.00 (50 PUTS VS. 0 CALLS)

SEP'20 EURODLRS PUT/CALL RATIO   -- 1.26 (24,231 PUTS VS. 19,837 CALLS)

SEP'21 1Y-MIDCRVE PUT/CALL RATIO -- 0.06 (1,050 PUTS VS. 15,044 CALLS)

SEP'22 2Y-MIDCRVE PUT/CALL RATIO -- 0.33 (2,554 PUTS VS. 7,450 CALLS)

SEP'23 3Y-MIDCRVE PUT/CALL RATIO -- 1.95 (47,850 PUTS VS. 24,180 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

1030        21.29   57.96    38.40    60.46     64.84     61.43

Wed Open    21.43   58.08    38.63    60.80     65.13     61.57

Tue 1500    21.31   59.39    38.60    60.87     65.04     61.27

Tue Open    21.15   58.45    38.26    60.07     64.58     60.53

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

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

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