US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JULY 16

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

              USQ    USU     TYQ    TYU     FVQ    FVU     EDQ     EDU

0915         7.40%  8.01%   2.67%  3.12%   1.19%  1.41%   59.25%  58.35%

THU OPEN     7.45%  8.01%   2.75%  3.13%   1.26%  1.43%   66.80%  62.65%

WED 1500     7.70%  8.05%   2.86%  3.12%   1.30%  1.42%   65.10%  62.55%

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%

LARGEST O/I:      STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

AUG'20 10Y NOTE  139.50 C   69,243     -287   137.50 P   67,419     -339

SEP'20 10Y NOTE  140.00 C   66,783   +4,414   137.00 P  113,562   +1,018

AUG'20 5Y NOTE   125.75 C   31,091      -12   116.50 P   59,016     UNCH

SEP'20 5Y NOTE   126.00 C   45,246      -35   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   42,016      -64   109.88 P    8,500     UNCH

AUG'20 EURODLR    99.75 C   78,981     +876    98.25 P   22,197     UNCH

SEP'20 EURODLR    99.87 C  563,797   +1,231    98.25 P  667,814     UNCH

SEP'21 1Y-MIDC    99.75 C  340,521      -81    99.62 P  185,107       +1

SEP'22 2Y-MIDC    99.75 C  128,623     UNCH    99.62 P   84,551   +3,097

SEP'23 3Y-MIDC    99.75 C   73,324     UNCH    99.37 P   76,285     UNCH

NEAREST ATM:      STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

AUG'20 10Y NOTE  139.00 C   36,600       +4   139.00 P   55,334   +2,084

AUG'20 10Y NOTE  139.50 C   69,243     -287   138.50 P    6,383   +1,387

SEP'20 10Y NOTE  139.00 C   50,589     -308   139.00 P   60,716   +3,180

SEP'20 10Y NOTE  139.50 C   44,839   +1,487   139.50 P   12,630      +58

AUG'20 5Y NOTE   125.50 C   10,948     -237   125.50 P   14,017     +120

AUG'20 5Y NOTE   125.75 C   31,091      -12   125.75 P    6,713     +165

SEP'20 5Y NOTE   125.50 C   24,120       -9   125.50 P   18,976     UNCH

SEP'20 5Y NOTE   125.75 C   42,819       +5   125.75 P   10,588     +693

AUG'20 2Y NOTE   110.38 C    1,939     UNCH   110.38 P    7,101       +1

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

SEP'20 2Y NOTE   110.38 C    1,378     UNCH   110.38 P      769      +96

SEP'20 2Y NOTE   110.50 C   42,016      -64   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   78,981     +876    99.75 P   12,117     UNCH

SEP'20 EURODLR    99.62 C  246,583     -250    99.62 P  249,514   -1,000

SEP'20 EURODLR    99.75 C  416,327     +281    99.75 P   68,205     UNCH

SEP'21 1Y-MIDC    99.75 C  340,521      -81    99.75 P  159,260       +1

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   84,551   +3,097

SEP'22 2Y-MIDC    99.75 C  128,623     UNCH    99.75 P   63,036   -1,074

SEP'23 3Y-MIDC    99.50 C   33,467     UNCH    99.50 P   64,351   +2,000

SEP'23 3Y-MIDC    99.62 C   41,555     -118    99.62 P   73,429   +4,000

PUT/CALL RATIO FOR VOLUME CLEARED:

AUG'20 10Y NOTE PUT/CALL RATIO   -- 1.36 (49,412 PUTS VS. 36,554 CALLS)

SEP'20 10Y NOTE PUT/CALL RATIO   -- 0.72 (49,890 PUTS VS. 68,488 CALLS)

AUG'20 5Y NOTE PUT/CALL RATIO    -- 0.35 (1,692 PUTS VS. 4,538 CALLS)

SEP'20 5Y NOTE PUT/CALL RATIO    -- 4.59 (10,153 PUTS VS. 2,197 CALLS

AUG'20 2Y NOTE PUT/CALL RATIO    -- 0.00 (1 PUTS VS. 0 CALLS)

SEP'20 2Y NOTE PUT/CALL RATIO    -- 0.21 (100 PUTS VS. 465 CALLS)

AUG'20 EURODLRS PUT/CALL RATIO   -- 0.99 (876 PUTS VS. 880 CALLS)

SEP'20 EURODLRS PUT/CALL RATIO   -- 1.15 (15,002 PUTS VS. 13,298 CALLS)

SEP'21 1Y-MIDCRVE PUT/CALL RATIO -- 0.42 (1,502 PUTS VS. 3,500 CALLS)

SEP'22 2Y-MIDCRVE PUT/CALL RATIO -- 24.0 (48,300 PUTS VS. 2,616 CALLS)

SEP'23 3Y-MIDCRVE PUT/CALL RATIO -- 0.41 (10,000 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

0915        20.07   56.57    37.72    59.56     64.36     61.24

Thu Open    20.46   56.79    37.81    59.74     64.61     61.37

Wed 1500    20.46   56.79    37.81    59.74     64.61     61.37

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

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

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