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US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JULY 7

EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
              USQ    USU     TYQ    TYU     FVQ    FVU     EDN     EDU
0945         8.51%  8.74%   3.21%  3.37%   1.52%  1.59%    N/A    65.70%
TUE OPEN     8.57%  8.80%   3.20%  3.38%   1.55%  1.60%    N/A    65.60%
MON 1500     8.88%  8.93%   3.36%  3.50%   1.65%  1.65%    N/A    69.00%
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  139.50 C   63,319      -99   137.50 P   70,280   -1,770
SEP'20 10Y NOTE  142.00 C   63,418   +1,294   137.00 P   91,705   +6,760
AUG'20 5Y NOTE   126.50 C   28,829      -99   116.50 P   59,016     UNCH
SEP'20 5Y NOTE   126.50 C   35,504     +249   119.00 P   58,062     UNCH
AUG'20 2Y NOTE   110.62 C    3,948     UNCH   110.25 P    7,857     -827
SEP'20 2Y NOTE   110.50 C   40,772     +446   110.00 P    8,743     UNCH
JUL'20 EURODLR    99.62 C  164,484     UNCH    99.50 P  216,105     UNCH
SEP'20 EURODLR    99.87 C  566,563     -150    98.25 P  667,814     UNCH
SEP'21 1Y-MIDC    99.75 C  340,521     UNCH    99.75 P  115,716   +9,980
SEP'22 2Y-MIDC    99.75 C  128,810     UNCH    99.62 P   70,922   +3,598
SEP'23 3Y-MIDC    99.62 C   67,563     UNCH    99.25 P   63,992     UNCH
NEAREST ATM:      STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE
AUG'20 10Y NOTE  138.50 C   28,163     UNCH   138.50 P   43,387     -310
AUG'20 10Y NOTE  139.00 C   36,533     -173   139.00 P   35,602     -552
SEP'20 10Y NOTE  138.50 C   21,489   +1,285   138.50 P   52,635   +1,922
SEP'20 10Y NOTE  139.00 C   43,987   +1,252   139.00 P   44,712     +619
AUG'20 5Y NOTE   125.25 C   13,658     UNCH   125.25 P   13,994     -252
AUG'20 5Y NOTE   125.50 C   11,195      +13   125.50 P   13,963     +522
SEP'20 5Y NOTE   125.25 C   10,080     UNCH   125.25 P   14,162     UNCH
SEP'20 5Y NOTE   125.50 C   24,231     -491   125.50 P   17,105     +650
AUG'20 2Y NOTE   110.25 C      101     UNCH   110.25 P    7,857     -827
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     UNCH
JUL'20 EURODLR    99.62 C  164,484     UNCH    99.62 P  133,896     UNCH
JUL'20 EURODLR    99.75 C  156,513     -316    99.75 P   78,061     UNCH
SEP'20 EURODLR    99.62 C  247,097     -186    99.62 P  236,225     +214
SEP'20 EURODLR    99.75 C  416,765     +589    99.75 P   45,531      -78
SEP'21 1Y-MIDC    99.75 C  340,521     UNCH    99.75 P  115,716   +9,980
SEP'21 1Y-MIDC    99.88 C  246,515   -5,300    99.88 P   30,825     UNCH
SEP'22 2Y-MIDC    99.62 C   53,930     UNCH    99.62 P   70,922   +3,598
SEP'22 2Y-MIDC    99.75 C  128,810     UNCH    99.75 P   48,910   +2,425
SEP'23 3Y-MIDC    99.50 C   39,340     UNCH    99.50 P   53,505      -54
SEP'23 3Y-MIDC    99.62 C   67,563     UNCH    99.62 P   18,079     UNCH
PUT/CALL RATIO FOR VOLUME CLEARED:
AUG'20 10Y NOTE PUT/CALL RATIO   -- 2.02 (51,290 PUTS VS. 25,275 CALLS)
SEP'20 10Y NOTE PUT/CALL RATIO   -- 1.13 (95,060 PUTS VS. 84,396 CALLS)
AUG'20 5Y NOTE PUT/CALL RATIO    -- 0.67 (5,314 PUTS VS. 7,874 CALLS)
SEP'20 5Y NOTE PUT/CALL RATIO    -- 1.81 (9,885 PUTS VS. 5,460 CALLS
AUG'20 2Y NOTE PUT/CALL RATIO    -- 8.21 (846 PUTS VS. 103 CALLS)
SEP'20 2Y NOTE PUT/CALL RATIO    -- 0.02 (18 PUTS VS. 907 CALLS)
JUL'20 EURODLRS PUT/CALL RATIO   -- 0.00 (0 PUTS VS. 2,100 CALLS)
SEP'20 EURODLRS PUT/CALL RATIO   -- 0.37 (2,316 PUTS VS. 6,113 CALLS)
SEP'21 1Y-MIDCRVE PUT/CALL RATIO -- 4.98 (32,960 PUTS VS. 6,600 CALLS)
SEP'22 2Y-MIDCRVE PUT/CALL RATIO -- 3.33 (8,072 PUTS VS. 2,412 CALLS)
SEP'23 3Y-MIDCRVE PUT/CALL RATIO -- 1.00 (3,000 PUTS VS. 3,000 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
0945        22.70   61.89    40.60    63.23     65.36     62.12
Tue Open    22.72   62.16    40.90    63.37     65.31     62.88
Mon 1500    24.59   61.84    40.91    63.95     65.55     62.39
Mon 0900    25.05   62.20    41.36    64.41     65.52     62.45
--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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