US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JULY 20

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

              USQ    USU     TYQ    TYU     FVQ    FVU     EDQ     EDU

0930          N/A   8.49%    N/A   3.29%    N/A   1.40%   64.80%  58.40%

MON OPEN     8.04%  8.42%   2.87%  3.16%   1.39%  1.41%   58.90%  58.70%

FRI 1500     6.97%  8.30%   2.50%  3.10%   1.19%  1.40%   58.60%  55.75%

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%

LARGEST O/I:      STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

AUG'20 10Y NOTE  139.50 C   66,615   -1,719   137.50 P   67,530       +2

SEP'20 10Y NOTE  140.00 C   74,651   +3,379   137.00 P  110,965   -3,212

AUG'20 5Y NOTE   125.75 C   30,173     -943   116.50 P   59,016     UNCH

SEP'20 5Y NOTE   126.00 C   44,846      +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   42,022      -19   109.88 P    8,500     UNCH

AUG'20 EURODLR    99.75 C   78,983       +1    98.25 P   22,197     UNCH

SEP'20 EURODLR    99.87 C  561,797   -2,000    98.25 P  667,814     UNCH

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

SEP'22 2Y-MIDC    99.75 C  131,026   +1,403    99.62 P   88,573     UNCH

SEP'23 3Y-MIDC    99.75 C   74,134     +810    99.50 P  148,522  +39,491

NEAREST ATM:      STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

AUG'20 10Y NOTE  139.00 C   36,007     -340   139.00 P   56,071     +486

AUG'20 10Y NOTE  139.50 C   66,615   -1,719   138.50 P   13,970   +3,456

SEP'20 10Y NOTE  139.00 C   51,822     +554   139.00 P   56,156     -898

SEP'20 10Y NOTE  139.50 C   50,555   +4,167   139.50 P   15,432   +1,435

AUG'20 5Y NOTE   125.50 C   10,948     UNCH   125.50 P   14,413     +269

AUG'20 5Y NOTE   125.75 C   30,173     -943   125.75 P    8,358     +245

SEP'20 5Y NOTE   125.50 C   23,497     -298   125.50 P   18,538     -115

SEP'20 5Y NOTE   125.75 C   43,069     +250   125.75 P   10,788     UNCH

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     UNCH   110.38 P      764     UNCH

SEP'20 2Y NOTE   110.50 C   42,022      -19   110.50 P    1,053     UNCH

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

AUG'20 EURODLR    99.75 C   78,983       +1    99.75 P   12,169      +51

SEP'20 EURODLR    99.62 C  246,583     UNCH    99.62 P  249,462      -52

SEP'20 EURODLR    99.75 C  416,062     +226    99.75 P   68,882     +175

SEP'21 1Y-MIDC    99.75 C  340,521     UNCH    99.75 P  162,333     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   88,573     UNCH

SEP'22 2Y-MIDC    99.75 C  131,026   +1,403    99.75 P   71,794     +679

SEP'23 3Y-MIDC    99.50 C   36,467     UNCH    99.50 P  148,522  +39,491

SEP'23 3Y-MIDC    99.62 C   39,834   -1,308    99.62 P  119,105  +21,676

PUT/CALL RATIO FOR VOLUME CLEARED:

AUG'20 10Y NOTE PUT/CALL RATIO   -- 1.49 (51,420 PUTS VS. 34,989 CALLS)

SEP'20 10Y NOTE PUT/CALL RATIO   -- 2.05 (76,669 PUTS VS. 37,348 CALLS)

AUG'20 5Y NOTE PUT/CALL RATIO    -- 0.99 (4,469 PUTS VS. 4,530 CALLS)

SEP'20 5Y NOTE PUT/CALL RATIO    -- 1.13 (7,554 PUTS VS. 6,638 CALLS

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

SEP'20 2Y NOTE PUT/CALL RATIO    -- 0.98 (127 PUTS VS. 135 CALLS)

AUG'20 EURODLRS PUT/CALL RATIO   -- 0.01 (51 PUTS VS. 3,083 CALLS)

SEP'20 EURODLRS PUT/CALL RATIO   -- 0.09 (553 PUTS VS. 5,334 CALLS)

SEP'21 1Y-MIDCRVE PUT/CALL RATIO -- 0.00 (0 PUTS VS. 15,500 CALLS)

SEP'22 2Y-MIDCRVE PUT/CALL RATIO -- 1.16 (5,064 PUTS VS. 4,364 CALLS)

SEP'23 3Y-MIDCRVE PUT/CALL RATIO -- 9.22 (89,521 PUTS VS. 9,729 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

0930        19.72   55.79    36.67    58.49     64.91     61.94

Mon Open    19.69   55.75    36.58    58.38     64.91     61.88

Fri 1500    19.77   55.00    36.30    58.89     65.00     61.89

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

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

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