US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JULY 17

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

              USQ    USU     TYQ    TYU     FVQ    FVU     EDQ     EDU

1345         6.98%  8.25%   2.58%  3.11%   1.18%  1.39%   57.50%  55.70%

1230         7.13%  8.30%   2.56%  3.15%   1.15%  1.40%   56.90%  54.00%

1000         7.31%  8.27%   2.62%  3.13%   1.18%  1.40%   55.05%  52.15%

FRI OPEN     7.30%  8.40%   2.58%  3.20%   1.22%  1.44%   58.20%  57.45%

THU 1500     7.50%  8.31%   2.62%  3.15%   1.20%  1.40%   59.48%  56.90%

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%

LARGEST O/I:      STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

AUG'20 10Y NOTE  139.50 C   68,334     -909   137.50 P   67,528     +109

SEP'20 10Y NOTE  140.00 C   71,272   +4,489   137.00 P  114,177     +615

AUG'20 5Y NOTE   125.75 C   31,116      +25   116.50 P   59,016     UNCH

SEP'20 5Y NOTE   126.00 C   44,836     -410   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   42,041      +25   109.88 P    8,500     UNCH

AUG'20 EURODLR    99.75 C   78,982       +1    98.25 P   22,197     UNCH

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

SEP'21 1Y-MIDC    99.75 C  340,521     UNCH    99.62 P  177,707   -7,400

SEP'22 2Y-MIDC    99.75 C  129,623   +1,000    99.62 P   88,573   +4,022

SEP'23 3Y-MIDC    99.75 C   73,324     UNCH    99.50 P  109,031  +44,680

NEAREST ATM:      STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

AUG'20 10Y NOTE  139.00 C   36,347     -253   139.00 P   55,585     +251

AUG'20 10Y NOTE  139.50 C   68,334     -909   138.50 P   10,514   +4,131

SEP'20 10Y NOTE  139.00 C   51,268     +679   139.00 P   57,054   +3,122

SEP'20 10Y NOTE  139.50 C   46,388   +1,549   139.50 P   13,997   +1,367

AUG'20 5Y NOTE   125.50 C   10,948     UNCH   125.50 P   14,144     +127

AUG'20 5Y NOTE   125.75 C   31,116      +25   125.75 P    8,133   +1,400

SEP'20 5Y NOTE   125.50 C   23,759     -325   125.50 P   18,653     -323

SEP'20 5Y NOTE   125.75 C   42,819     UNCH   125.75 P   10,788     +200

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

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

SEP'20 2Y NOTE   110.38 C    9,176   +7,798   110.38 P      764       -5

SEP'20 2Y NOTE   110.50 C   42,041      +25   110.50 P    1,053       +1

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

AUG'20 EURODLR    99.75 C   78,982       +1    99.75 P   12,118       +1

SEP'20 EURODLR    99.62 C  246,583     UNCH    99.62 P  249,514     UNCH

SEP'20 EURODLR    99.75 C  415,836     -491    99.75 P   68,707     +505

SEP'21 1Y-MIDC    99.75 C  340,521     UNCH    99.75 P  162,333   +3,073

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   88,573   +4,022

SEP'22 2Y-MIDC    99.75 C  129,623   +1,000    99.75 P   71,115   +8,079

SEP'23 3Y-MIDC    99.50 C   33,467     UNCH    99.50 P  109,031  +44,680

SEP'23 3Y-MIDC    99.62 C   41,142     -413    99.62 P   97,429  +24,000

PUT/CALL RATIO FOR VOLUME CLEARED:

AUG'20 10Y NOTE PUT/CALL RATIO   -- 1.03 (29,650 PUTS VS. 28,165 CALLS)

SEP'20 10Y NOTE PUT/CALL RATIO   -- 0.84 (45,909 PUTS VS. 53,513 CALLS)

AUG'20 5Y NOTE PUT/CALL RATIO    -- 2.65 (5,338 PUTS VS. 2,066 CALLS)

SEP'20 5Y NOTE PUT/CALL RATIO    -- 0.88 (3,834 PUTS VS. 4,334 CALLS

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

SEP'20 2Y NOTE PUT/CALL RATIO    -- 0.00 (6 PUTS VS. 12,043 CALLS)

AUG'20 EURODLRS PUT/CALL RATIO   -- 1.00 (1 PUTS VS. 1 CALLS)

SEP'20 EURODLRS PUT/CALL RATIO   -- 0.66 (873 PUTS VS. 1,302 CALLS)

SEP'21 1Y-MIDCRVE PUT/CALL RATIO -- 2.38 (17,900 PUTS VS. 7,500 CALLS)

SEP'22 2Y-MIDCRVE PUT/CALL RATIO -- 5.87 (23,500 PUTS VS. 4,000 CALLS)

SEP'23 3Y-MIDCRVE PUT/CALL RATIO -- 90.0 (90,000 PUTS VS. 1,000 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

1345        19.80   55.01    37.17    59.09     65.00     61.96

1230        19.98   55.15    37.21    59.18     64.96     61.87

1000        20.02   55.18    37.56    59.52     64.97     61.79

Fri Open    20.02   55.44    37.58    59.46     64.75     61.72

Thu 1500    20.06   55.24    37.60    59.54     64.30     61.30

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

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

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