US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JULY 6

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

              USQ    USU     TYQ    TYU     FVQ    FVU     EDN     EDU

1100         8.89%  8.92%   3.34%  3.46%   1.67%  1.65%   96.65%  66.70%

MON 0900     8.88%  9.06%   3.34%  3.52%   1.61%  1.65%   91.70%  66.30%

MON 0645     8.75%  8.99%   3.27%  3.46%   1.62%  1.63%    N/A    69.40%

LARGEST O/I:      STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

AUG'20 10Y NOTE  140.00 C   64,992   +3,406   137.50 P   72,050  -11,242

SEP'20 10Y NOTE  142.00 C   62,124   +2,771   137.00 P   84,945   +5,675

AUG'20 5Y NOTE   126.50 C   28,928     -271   116.50 P   59,016     UNCH

SEP'20 5Y NOTE   126.50 C   35,255     +545   119.00 P   58,062     UNCH

AUG'20 2Y NOTE   110.62 C    3,948     UNCH   110.25 P    8,684     UNCH

SEP'20 2Y NOTE   110.50 C   40,326     +435   110.00 P    8,743     UNCH

JUL'20 EURODLR    99.62 C  164,484       +1    99.50 P  216,105       -1

SEP'20 EURODLR    99.87 C  566,713  +10,790    98.25 P  667,814     UNCH

SEP'21 1Y-MIDC    99.75 C  340,521     UNCH    98.37 P  111,199     UNCH

SEP'22 2Y-MIDC    99.75 C  128,810   +1,048    99.62 P   67,324     UNCH

SEP'23 3Y-MIDC    99.62 C   67,563   -1,450    99.25 P   63,992   +4,584

NEAREST ATM:      STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

AUG'20 10Y NOTE  138.50 C   28,163   -1,289   138.50 P   43,697   +2,262

AUG'20 10Y NOTE  139.00 C   36,706   -1,202   139.00 P   36,154   +2,341

SEP'20 10Y NOTE  138.50 C   20,204      +50   138.50 P   50,713   +5,025

SEP'20 10Y NOTE  139.00 C   42,735     +790   139.00 P   44,093     +887

AUG'20 5Y NOTE   125.25 C   13,658     UNCH   125.25 P   14,246   +1,699

AUG'20 5Y NOTE   125.50 C   11,182       -4   125.50 P   13,441     -135

SEP'20 5Y NOTE   125.25 C   10,080     -612   125.25 P   14,162      +75

SEP'20 5Y NOTE   125.50 C   24,722   +1,435   125.50 P   16,455   +2,911

AUG'20 2Y NOTE   110.25 C      101     UNCH   110.25 P    8,684     UNCH

AUG'20 2Y NOTE   110.38 C    1,939     UNCH   110.38 P    7,100     UNCH

SEP'20 2Y NOTE   110.12 C       12     UNCH   110.12 P    8,497     UNCH

SEP'20 2Y NOTE   110.25 C       91     UNCH   110.25 P    8,668       +1

JUL'20 EURODLR    99.62 C  164,484       +1    99.62 P  133,896       -1

JUL'20 EURODLR    99.75 C  156,829     -100    99.75 P   78,061     UNCH

SEP'20 EURODLR    99.62 C  247,283     -400    99.62 P  236,011     +445

SEP'20 EURODLR    99.75 C  416,176   -3,459    99.75 P   45,609     -156

SEP'21 1Y-MIDC    99.75 C  340,521     UNCH    99.75 P  105,736  +10,667

SEP'21 1Y-MIDC    99.88 C  251,815     UNCH    99.88 P   30,825       -1

SEP'22 2Y-MIDC    99.62 C   53,930     UNCH    99.62 P   67,324     UNCH

SEP'22 2Y-MIDC    99.75 C  128,810   +1,048    99.75 P   46,485     UNCH

SEP'23 3Y-MIDC    99.50 C   39,340     UNCH    99.50 P   53,559   +7,520

SEP'23 3Y-MIDC    99.62 C   67,563   -1,450    99.62 P   18,079     -712

PUT/CALL RATIO FOR VOLUME CLEARED:

AUG'20 10Y NOTE PUT/CALL RATIO   -- 1.11 (59,771 PUTS VS. 53,733 CALLS)

SEP'20 10Y NOTE PUT/CALL RATIO   -- 1.56 (58,245 PUTS VS. 37,307 CALLS)

AUG'20 5Y NOTE PUT/CALL RATIO    -- 1.86 (9,597 PUTS VS. 5,144 CALLS)

SEP'20 5Y NOTE PUT/CALL RATIO    -- 1.82 (15,567 PUTS VS. 8,515 CALLS

AUG'20 2Y NOTE PUT/CALL RATIO    -- 28.2 (113 PUTS VS. 4 CALLS)

SEP'20 2Y NOTE PUT/CALL RATIO    -- 0.00 (4 PUTS VS. 967 CALLS)

JUL'20 EURODLRS PUT/CALL RATIO   -- 0.00 (2 PUTS VS. 154 CALLS)

SEP'20 EURODLRS PUT/CALL RATIO   -- 0.06 (4,076 PUTS VS. 60,796 CALLS)

SEP'21 1Y-MIDCRVE PUT/CALL RATIO -- 1.26 (13,274 PUTS VS. 10,451 CALLS)

SEP'22 2Y-MIDCRVE PUT/CALL RATIO -- 0.00 (0 PUTS VS. 9,750 CALLS)

SEP'23 3Y-MIDCRVE PUT/CALL RATIO -- 8.05 (29,850 PUTS VS. 3,675 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

1100        25.01   61.99    41.30    64.29     65.56     62.50

Mon 0900    25.05   62.20    41.36    64.41     65.52     62.45

Mon 0645    24.98   61.72    41.42    64.39     65.64     62.55

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

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