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US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JUNE 10

EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
              USN    USU     TYN    TYU     FVN    FVU     EDM     EDN
WED OPEN    10.90% 10.15%   4.91%  4.40%   2.22%  2.01%    N/A    89.55%
TUE 1500    11.15% 10.24%   5.13%  4.47%   2.43%  2.06%    N/A    96.85%
TUE OPEN    10.12%  9.83%   4.63%  4.34%   2.33%  2.08%    N/A    93.15%
MON 1500    10.87%  9.85%   4.42%  4.31%   2.44%  2.10%    N/A    85.00%
MON OPEN    11.10% 10.07%   4.87%  4.38%   2.57%  2.18%    N/A    86.70%
FRI 1500    10.36% 10.04%   4.30%  4.32%   2.25%  2.14%    N/A    90.30%
FRI OPEN    11.05% 10.39%   4.60%  4.38%   2.12%  2.08%    N/A    94.55%
THU 1500    10.93% 10.44%   4.40%  4.34%   2.09%  2.07%    N/A    87.25%
THU OPEN    10.92% 10.30%   4.33%  4.18%   2.08%  2.03%  111.10%  97.85%
WED 1500    11.11% 10.56%   4.30%  4.18%   2.10%  2.05%   95.85%  92.20%
WED OPEN    10.24% 10.08%   3.92%  3.96%   1.90%  1.94%   96.20%  97.75%
LARGEST O/I:      STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE
JUL'20 10Y NOTE  139.50 C   90,756  +27,209   137.00 P   79,470  +21,541
SEP'20 10Y NOTE  139.00 C   31,408     +570   136.00 P   33,524     -342
JUL'20 5Y NOTE   126.50 C   44,430     +565   113.00 P   89,767     UNCH
SEP'20 5Y NOTE   126.00 C   28,012  +11,956   109.00 P   18,886     UNCH
JUL'20 2Y NOTE   110.38 C   11,102     UNCH   107.88 P    6,842     UNCH
SEP'20 2Y NOTE   110.50 C    2,375     UNCH   110.00 P    3,311     UNCH
JUN'20 EURODLR    99.50 C  402,121   -3,000    98.25 P  619,337     UNCH
JUL'20 EURODLR    99.62 C  171,470   +1,250    99.50 P  208,099     UNCH
JUN'21 1Y-MIDC    99.75 C  108,026   -1,630    98.50 P  201,925     UNCH
JUN'22 2Y-MIDC    99.50 C   85,730     +200    99.37 P  104,686     UNCH
JUN'23 3Y-MIDC    99.62 C   36,333   -1,500    99.25 P   32,555     UNCH
NEAREST ATM:      STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE
JUL'20 10Y NOTE  137.50 C    5,018     -925   137.50 P   45,394     -342
JUL'20 10Y NOTE  138.00 C   56,184  +43,175   138.00 P   64,957   -4,017
SEP'20 10Y NOTE  137.50 C    4,783     +545   137.50 P   10,753     -369
SEP'20 10Y NOTE  138.00 C    7,743      -78   138.00 P   14,675      +36
JUL'20 5Y NOTE   125.00 C   12,893     +571   125.00 P   18,994   +1,268
JUL'20 5Y NOTE   125.25 C   26,005     +237   125.25 P   23,673     +736
SEP'20 5Y NOTE   125.00 C    8,060   +3,790   125.00 P    9,935   +4,276
SEP'20 5Y NOTE   125.25 C    6,874      +32   125.25 P    5,390      -75
JUL'20 2Y NOTE   110.25 C        6     UNCH   110.25 P    3,702     UNCH
JUL'20 2Y NOTE   110.38 C   11,102     UNCH   110.38 P    3,532     UNCH
SEP'20 2Y NOTE   110.12 C        2       +1   110.12 P       10     UNCH
SEP'20 2Y NOTE   110.25 C        6     UNCH   110.25 P    1,095     UNCH
JUN'20 EURODLR    99.62 C  281,296     -510    99.62 P  247,516     UNCH
JUN'20 EURODLR    99.75 C  289,824       +2    99.75 P    7,809       -1
JUL'20 EURODLR    99.62 C  171,470   +1,250    99.62 P  127,771     -111
JUL'20 EURODLR    99.75 C  153,826     UNCH    99.75 P   78,544     +300
JUN'21 1Y-MIDC    99.75 C  108,026   -1,630    99.75 P   34,155     +250
JUN'21 1Y-MIDC    99.88 C   31,151     UNCH    99.88 P    4,425     UNCH
JUN'22 2Y-MIDC    99.75 C   52,113   -2,024    99.75 P   60,048   -7,500
JUN'22 2Y-MIDC    99.88 C   22,211     +200    99.88 P        0     UNCH
JUN'23 3Y-MIDC    99.38 C   31,898     UNCH    99.38 P   30,098   +3,058
JUN'23 3Y-MIDC    99.50 C   25,730     -879    99.50 P   17,070     +804
PUT/CALL RATIO FOR VOLUME CLEARED:
JUL'20 10Y NOTE PUT/CALL RATIO   -- 1.23 (195,775 PUTS VS. 158,906 CALLS)
SEP'20 10Y NOTE PUT/CALL RATIO   -- 1.19 (30,000 PUTS VS. 25,273 CALLS)
JUL'20 5Y NOTE PUT/CALL RATIO    -- 1.42 (30,421 PUTS VS. 21,674 CALLS)
SEP'20 5Y NOTE PUT/CALL RATIO    -- 0.64 (7,085 PUTS VS. 10,839 CALLS)
JUL'20 2Y NOTE PUT/CALL RATIO    -- 0.00 (0 PUTS VS. 8 CALLS)
SEP'20 2Y NOTE PUT/CALL RATIO    -- 0.00 (0 PUTS VS. 1 CALLS)
JUN'20 EURODLRS PUT/CALL RATIO   -- 0.00 (3 PUTS VS. 19,124 CALLS)
JUL'20 EURODLRS PUT/CALL RATIO   -- 0.24 (1,193 PUTS VS. 4,500 CALLS)
JUN'21 1Y-MIDCRVE PUT/CALL RATIO -- 0.24 (1,450 PUTS VS. 5,700 CALLS)
JUN'22 2Y-MIDCRVE PUT/CALL RATIO -- 1.18 (19,734 PUTS VS. 16,070 CALLS)
JUN'23 3Y-MIDCRVE PUT/CALL RATIO -- 1.97 (9,300 PUTS VS. 4,750 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
Wed Open    29.98   78.38    49.54    64.99     65.46     61.91
Tue 1500    29.84   74.45    49.34    69.29     65.52     61.95
Tue Open    29.74   74.48    49.17    69.29     65.49     61.46
Mon 1500    29.87   73.42    48.98    69.20     65.27     61.47
Mon Open    30.37   73.85    49.71    70.23     65.73     61.60
Fri 1500    30.27   72.96    49.61    69.99     65.93     61.72
Fri Open    29.75   72.52    48.98    69.47     66.29     61.95
Thu 1500    29.61   70.51    49.15    69.05     65.73     61.82
Thu Open    29.43   68.60    47.82    67.23     64.98     61.16
Wed 1500    29.56   68.27    47.31    66.73     64.88     61.04
Wed Open    28.45   64.25    45.64    64.25     63.73     60.51
--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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