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

1345         8.17%  8.58%   3.08%  3.30%   1.42%  1.53%    N/A    63.50%

1230         8.22%  8.55%   3.06%  3.30%   1.49%  1.55%    N/A    65.25%

1100         8.32%  8.61%   3.10%  3.32%   1.50%  1.60%    N/A    64.50%

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

1345        22.40   60.29    39.92    61.92     65.32     61.95

1230        22.37   60.73    40.10    62.25     65.30     61.91

1100        22.46   61.71    40.32    62.95     65.38     62.14

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$]