US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JULY 8

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

              USQ    USU     TYQ    TYU     FVQ    FVU     EDN     EDU

WED OPEN     8.25%  8.65%   3.00%  3.32%   1.42%  1.50%    N/A    63.50%

TUE 1500     8.45%  8.80%   3.13%  3.36%   1.46%  1.53%    N/A    64.50%

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   69,354   +6,035   137.50 P   71,410   +1,130

SEP'20 10Y NOTE  142.00 C   61,419   -1,999   137.00 P   95,612   +3,907

AUG'20 5Y NOTE   125.75 C   28,918   +3,061   116.50 P   59,016     UNCH

SEP'20 5Y NOTE   125.75 C   43,422  +12,255   119.00 P   58,062     UNCH

AUG'20 2Y NOTE   110.62 C    3,948     UNCH   110.25 P    7,846       +5

SEP'20 2Y NOTE   110.50 C   40,846      +74   110.00 P    8,800     +132

JUL'20 EURODLR    99.62 C  164,484     UNCH    99.50 P  216,105     UNCH

SEP'20 EURODLR    99.87 C  564,931   -1,632    98.25 P  667,814     UNCH

SEP'21 1Y-MIDC    99.75 C  340,521     UNCH    99.62 P  145,117  +40,307

SEP'22 2Y-MIDC    99.75 C  128,810     UNCH    99.62 P   70,462     -460

SEP'23 3Y-MIDC    99.62 C   67,563     UNCH    99.25 P   65,905   +1,913

NEAREST ATM:      STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

AUG'20 10Y NOTE  138.50 C   28,176      +13   138.50 P   49,198   +5,811

AUG'20 10Y NOTE  139.00 C   38,793   +2,260   139.00 P   42,207   +6,605

SEP'20 10Y NOTE  138.50 C   21,489     UNCH   138.50 P   57,251   +4,616

SEP'20 10Y NOTE  139.00 C   45,184   +1,197   139.00 P   45,372     +660

AUG'20 5Y NOTE   125.25 C   13,658     UNCH   125.25 P   14,450     +456

AUG'20 5Y NOTE   125.50 C   11,200       +5   125.50 P   16,710   +2,747

SEP'20 5Y NOTE   125.25 C   19,486   +9,406   125.25 P   14,163       +1

SEP'20 5Y NOTE   125.50 C   24,231     UNCH   125.50 P   17,049      -56

AUG'20 2Y NOTE   110.25 C      101     UNCH   110.25 P    7,846       +5

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

SEP'20 2Y NOTE   110.12 C       11       -1   110.12 P    8,497     UNCH

SEP'20 2Y NOTE   110.25 C       91     UNCH   110.25 P    8,800     +132

JUL'20 EURODLR    99.62 C  164,484     UNCH    99.62 P  133,896     UNCH

JUL'20 EURODLR    99.75 C  154,621   -1,892    99.75 P   77,113     -950

SEP'20 EURODLR    99.62 C  245,022   -2,075    99.62 P  236,115     -110

SEP'20 EURODLR    99.75 C  415,754   -1,011    99.75 P   47,518   +1,987

SEP'21 1Y-MIDC    99.75 C  340,521     UNCH    99.75 P  139,316  +23,600

SEP'21 1Y-MIDC    99.88 C  245,515   -1,000    99.88 P   30,825     UNCH

SEP'22 2Y-MIDC    99.62 C   53,930     UNCH    99.62 P   70,462     -460

SEP'22 2Y-MIDC    99.75 C  128,810     UNCH    99.75 P   46,930   -1,980

SEP'23 3Y-MIDC    99.50 C   39,340     UNCH    99.50 P   54,306     +801

SEP'23 3Y-MIDC    99.62 C   67,563     UNCH    99.62 P   23,037   +4,958

PUT/CALL RATIO FOR VOLUME CLEARED:

AUG'20 10Y NOTE PUT/CALL RATIO   -- 1.50 (54,863 PUTS VS. 36,303 CALLS)

SEP'20 10Y NOTE PUT/CALL RATIO   -- 0.94 (49,263 PUTS VS. 52,266 CALLS)

AUG'20 5Y NOTE PUT/CALL RATIO    -- 1.27 (8,942 PUTS VS. 7,036 CALLS)

SEP'20 5Y NOTE PUT/CALL RATIO    -- 0.29 (10,312 PUTS VS. 34,705 CALLS

AUG'20 2Y NOTE PUT/CALL RATIO    -- 13.2 (132 PUTS VS. 100 CALLS)

SEP'20 2Y NOTE PUT/CALL RATIO    -- 1.15 (151 PUTS VS. 131 CALLS)

JUL'20 EURODLRS PUT/CALL RATIO   -- 0.11 (1,301 PUTS VS. 11,456 CALLS)

SEP'20 EURODLRS PUT/CALL RATIO   -- 0.24 (4,934 PUTS VS. 20,294 CALLS)

SEP'21 1Y-MIDCRVE PUT/CALL RATIO -- 13.4 (84,750 PUTS VS. 6,373 CALLS)

SEP'22 2Y-MIDCRVE PUT/CALL RATIO -- 0.24 (4,080 PUTS VS. 16,900 CALLS)

SEP'23 3Y-MIDCRVE PUT/CALL RATIO -- 6.96 (23,081 PUTS VS. 3,306 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

Wed Open    22.29   59.55    39.95    62.02     65.36     61.95

Tue 1500    22.25   60.57    39.82    61.96     65.32     61.97

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$]