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US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JULY 21

EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
              USQ    USU     TYQ    TYU     FVQ    FVU     EDQ     EDU
1200          N/A   8.58%    N/A   3.20%    N/A   1.40%   58.60%  58.18%
1000          N/A   8.67%    N/A   3.15%    N/A   1.39%   61.20%  58.15%
TUE OPEN      N/A   8.58%    N/A   3.17%    N/A   1.41%   55.15%  55.10%
MON 1500      N/A   8.58%    N/A   3.29%    N/A   1.42%   60.05%  56.25%
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%
LARGEST O/I:      STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE
AUG'20 10Y NOTE  139.50 C   65,103   -1,512   137.50 P   67,530     UNCH
SEP'20 10Y NOTE  140.00 C   75,089     +438   137.00 P  107,654   -3,311
AUG'20 5Y NOTE   125.75 C   30,174       +1   116.50 P   59,016     UNCH
SEP'20 5Y NOTE   126.00 C   44,796      -50   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   42,057      +35   109.88 P    8,500     UNCH
AUG'20 EURODLR    99.75 C   78,985       +2    98.25 P   22,197     UNCH
SEP'20 EURODLR    99.87 C  566,799   +5,002    98.25 P  667,814     UNCH
SEP'21 1Y-MIDC    99.75 C  341,699   +1,178    99.62 P  177,707     UNCH
SEP'22 2Y-MIDC    99.75 C  117,048  -13,978    99.62 P   88,585      +12
SEP'23 3Y-MIDC    99.75 C   73,984     -150    99.50 P  148,522     UNCH
NEAREST ATM:      STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE
AUG'20 10Y NOTE  139.00 C   35,652     -355   139.00 P   56,250     +179
AUG'20 10Y NOTE  139.50 C   65,103   -1,512   138.50 P   14,167     +197
SEP'20 10Y NOTE  139.00 C   51,591     -231   139.00 P   54,507   -1,649
SEP'20 10Y NOTE  139.50 C   50,605      +50   139.50 P   20,249   +4,817
AUG'20 5Y NOTE   125.50 C   10,798     -150   125.50 P   14,413     UNCH
AUG'20 5Y NOTE   125.75 C   30,174       +1   125.75 P    7,749     -609
SEP'20 5Y NOTE   125.50 C   23,498       +1   125.50 P   18,336     -202
SEP'20 5Y NOTE   125.75 C   43,149      +80   125.75 P   10,777      -11
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    9,741     +565   110.38 P    1,314     +550
SEP'20 2Y NOTE   110.50 C   42,057      +35   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   78,985       +2    99.75 P   12,812     +643
SEP'20 EURODLR    99.62 C  246,583     UNCH    99.62 P  249,465       +3
SEP'20 EURODLR    99.75 C  415,562     -500    99.75 P   68,382     -500
SEP'21 1Y-MIDC    99.75 C  341,699   +1,178    99.75 P  163,083     +750
SEP'21 1Y-MIDC    99.88 C  247,100     -515    99.88 P   30,825     UNCH
SEP'22 2Y-MIDC    99.62 C   54,884     UNCH    99.62 P   88,585      +12
SEP'22 2Y-MIDC    99.75 C  117,048  -13,978    99.75 P   71,794     UNCH
SEP'23 3Y-MIDC    99.50 C   36,467     UNCH    99.50 P  148,522     UNCH
SEP'23 3Y-MIDC    99.62 C   38,734   -1,100    99.62 P  119,105     UNCH
PUT/CALL RATIO FOR VOLUME CLEARED:
AUG'20 10Y NOTE PUT/CALL RATIO   -- 2.31 (44,169 PUTS VS. 19,454 CALLS)
SEP'20 10Y NOTE PUT/CALL RATIO   -- 2.95 (59,914 PUTS VS. 20,947 CALLS)
AUG'20 5Y NOTE PUT/CALL RATIO    -- 0.64 (1,883 PUTS VS. 2,825 CALLS)
SEP'20 5Y NOTE PUT/CALL RATIO    -- 0.84 (2,137 PUTS VS. 2,501 CALLS
AUG'20 2Y NOTE PUT/CALL RATIO    -- 0.00 (0 PUTS VS. 0 CALLS)
SEP'20 2Y NOTE PUT/CALL RATIO    -- 0.84 (550 PUTS VS. 656 CALLS)
AUG'20 EURODLRS PUT/CALL RATIO   -- 520.5 (1,041 PUTS VS. 2 CALLS)
SEP'20 EURODLRS PUT/CALL RATIO   -- 0.04 (1,096 PUTS VS. 23,223 CALLS)
SEP'21 1Y-MIDCRVE PUT/CALL RATIO -- 0.02 (950 PUTS VS. 43,655 CALLS)
SEP'22 2Y-MIDCRVE PUT/CALL RATIO -- 0.00 (25 PUTS VS. 55,293 CALLS)
SEP'23 3Y-MIDCRVE PUT/CALL RATIO -- 3.16 (18,760 PUTS VS. 5,966 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
1200        20.11   54.81    36.82    58.66     64.79     61.98
1000        20.15   54.87    36.81    58.69     64.81     62.03
Tue Open    20.20   54.93    36.72    58.70     64.94     62.06
Mon 1500    20.07   55.16    36.73    58.97     64.69     61.93
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
--MNI Chicago Bureau; tel: +1 312-431-0089; email: bill.sokolis@marketnews.com
[TOPICS: MTABLE,M$U$$$,M$$FI$,MN$FI$]

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