US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JUNE 1

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

              USN    USU     TYN    TYU     FVN    FVU     EDM     EDN

MON OPEN    10.03%  9.71%   3.85%  3.88%   2.87%  2.18%   99.05%  91.20%

LARGEST O/I:      STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

JUL'20 10Y NOTE  139.50 C   61,837     +603   138.00 P   72,175   +6,889

SEP'20 10Y NOTE  139.00 C   26,932     +896   139.00 P   27,103     -279

JUL'20 5Y NOTE   126.50 C   45,299     -970   113.00 P   89,768     UNCH

SEP'20 5Y NOTE   127.25 C   37,536     +131   109.00 P   18,886     UNCH

JUL'20 2Y NOTE   110.38 C   11,102   +6,500   107.88 P    6,842     UNCH

SEP'20 2Y NOTE   111.00 C    2,191     UNCH   110.00 P    3,311      +25

JUN'20 EURODLR    99.50 C  406,665     -150    98.25 P  619,337     UNCH

JUL'20 EURODLR    99.62 C  169,898     UNCH    99.50 P  207,985     +751

JUN'21 1Y-MIDC    99.75 C  121,372     -100    98.50 P  201,925     UNCH

JUN'22 2Y-MIDC    99.62 C   85,563   -2,941    99.37 P  110,686     UNCH

JUN'23 3Y-MIDC    99.62 C   56,748     -250    99.25 P   28,539     UNCH

NEAREST ATM:      STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

JUL'20 10Y NOTE  138.50 C   23,828   -1,918   138.50 P   34,440     +814

JUL'20 10Y NOTE  139.00 C   39,887     +998   139.00 P   19,460   -1,053

SEP'20 10Y NOTE  139.00 C   26,932     +896   139.00 P   27,103     -279

SEP'20 10Y NOTE  139.50 C    9,486     +651   139.50 P    1,517     UNCH

JUL'20 5Y NOTE   125.50 C   14,612     -644   125.50 P   11,774     +235

JUL'20 5Y NOTE   125.75 C   15,459     -809   125.75 P    4,236     -491

SEP'20 5Y NOTE   125.50 C   11,831      +29   125.50 P    4,914      +90

SEP'20 5Y NOTE   125.75 C    4,858     +752   125.75 P      665      +54

JUL'20 2Y NOTE   110.25 C        6     UNCH   110.25 P    2,556     +338

JUL'20 2Y NOTE   110.38 C   11,102   +6,500   110.38 P    3,627     +950

SEP'20 2Y NOTE   110.12 C        1     UNCH   110.12 P       10     UNCH

SEP'20 2Y NOTE   110.25 C        4     UNCH   110.25 P    1,095     UNCH

JUN'20 EURODLR    99.62 C  280,032     UNCH    99.62 P  246,641     +320

JUN'20 EURODLR    99.75 C  290,499     -370    99.75 P    6,693     UNCH

JUL'20 EURODLR    99.62 C  169,898     UNCH    99.62 P  129,609   +2,009

JUL'20 EURODLR    99.75 C  153,362   +1,252    99.75 P   77,744   -1,560

JUN'21 1Y-MIDC    99.75 C  121,372     -100    99.75 P   33,103     +200

JUN'21 1Y-MIDC    99.88 C   35,201     UNCH    99.88 P    4,325     UNCH

JUN'22 2Y-MIDC    99.75 C   76,131     +375    99.75 P   63,876  +12,500

JUN'22 2Y-MIDC    99.88 C   21,306     UNCH    99.88 P        0     UNCH

JUN'23 3Y-MIDC    99.38 C   32,298     UNCH    99.38 P   17,881     -486

JUN'23 3Y-MIDC    99.50 C   14,752     UNCH    99.50 P   16,212     +295

PUT/CALL RATIO FOR VOLUME CLEARED:

JUL'20 10Y NOTE PUT/CALL RATIO   -- 2.02 (82,279 PUTS VS. 40,696 CALLS)

SEP'20 10Y NOTE PUT/CALL RATIO   -- 0.61 (24,372 PUTS VS. 39,979 CALLS)

JUL'20 5Y NOTE PUT/CALL RATIO    -- 0.59 (13,942 PUTS VS. 23,567 CALLS)

SEP'20 5Y NOTE PUT/CALL RATIO    -- 0.07 (2,472 PUTS VS. 33,474 CALLS)

JUL'20 2Y NOTE PUT/CALL RATIO    -- 0.70 (5,501 PUTS VS. 7,826 CALLS)

SEP'20 2Y NOTE PUT/CALL RATIO    -- 0.00 (26 PUTS VS. 0 CALLS)

JUN'20 EURODLRS PUT/CALL RATIO   -- 0.25 (834 PUTS VS. 3,341 CALLS)

JUL'20 EURODLRS PUT/CALL RATIO   -- 3.33 (10,158 PUTS VS. 3,654 CALLS)

JUN'21 1Y-MIDCRVE PUT/CALL RATIO -- 4.81 (10,648 PUTS VS. 2,200 CALLS)

JUN'22 2Y-MIDCRVE PUT/CALL RATIO -- 0.88 (23,706 PUTS VS. 26,525 CALLS)

JUN'23 3Y-MIDCRVE PUT/CALL RATIO -- 4.80 (3,600 PUTS VS. 750 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

Mon Open    28.33   61.93    45.21    61.93     62.80     60.05

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

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