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US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JUNE 11

EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
              USN    USU     TYN    TYU     FVN    FVU     EDM     EDN
THU 1500     9.75% 10.05%   3.96%  4.15%   1.75%  1.88%    N/A    79.95%
1345         9.35%  9.83%   3.81%  4.06%   1.70%  1.83%    N/A    79.85%
1215         9.38%  9.78%   3.85%  4.00%   1.68%  1.79%    N/A    79.80%
1045         9.51%  9.94%   3.95%  4.04%   1.71%  1.81%    N/A    73.65%
0930         9.16%  9.62%   3.74%  3.96%   1.65%  1.78%    N/A    73.65%
THU OPEN     8.78%  9.40%   3.58%  3.89%   1.58%  1.76%    N/A    81.80%
WED 1500    10.86% 10.10%   4.75%  4.31%   2.15%  1.97%    N/A    92.90%
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%
LARGEST O/I:      STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE
JUL'20 10Y NOTE  139.50 C   89,341   -1,415   137.00 P   64,540  -14,920
SEP'20 10Y NOTE  139.00 C   31,923     +515   136.00 P   34,092     +568
JUL'20 5Y NOTE   126.50 C   42,260   -2,170   113.00 P   89,767     UNCH
SEP'20 5Y NOTE   127.25 C   21,871       -6   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    2,378       +3   110.00 P    3,311     UNCH
JUN'20 EURODLR    99.50 C  402,121     UNCH    98.25 P  619,337     UNCH
JUL'20 EURODLR    99.62 C  163,232   -8,238    99.50 P  211,932   +3,833
JUN'21 1Y-MIDC    99.75 C  104,508   -3,518    98.50 P  201,925     UNCH
JUN'22 2Y-MIDC    99.50 C   85,730     UNCH    99.38 P  104,886     +200
JUN'23 3Y-MIDC    99.62 C   36,268      -65    99.38 P   37,598  +15,384
NEAREST ATM:      STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE
JUL'20 10Y NOTE  138.50 C   33,559     -642   138.50 P   29,248     -210
JUL'20 10Y NOTE  139.00 C   42,536   +1,478   139.00 P   18,563     +299
SEP'20 10Y NOTE  138.50 C   10,504   -1,837   138.50 P   17,178   -3,564
SEP'20 10Y NOTE  139.00 C   31,923     +515   139.00 P   26,948     UNCH
JUL'20 5Y NOTE   125.25 C   24,282   -1,723   125.25 P   23,682       +9
JUL'20 5Y NOTE   125.50 C   23,119      +25   125.50 P   11,659     -342
SEP'20 5Y NOTE   125.25 C   14,994   +8,120   125.25 P    5,562     +172
SEP'20 5Y NOTE   125.50 C   15,201     +792   125.50 P    8,513     +600
JUL'20 2Y NOTE   110.25 C        6     UNCH   110.25 P    4,001     +299
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  281,287     UNCH    99.62 P  247,516     UNCH
JUN'20 EURODLR    99.75 C  291,824   +2,000    99.75 P    7,809     UNCH
JUL'20 EURODLR    99.62 C  163,232   -8,238    99.62 P  127,825      +54
JUL'20 EURODLR    99.75 C  154,725     +899    99.75 P   78,545       +1
JUN'21 1Y-MIDC    99.75 C  108,026   -1,630    99.75 P   33,900     -255
JUN'21 1Y-MIDC    99.88 C   31,151     UNCH    99.88 P    4,425     UNCH
JUN'22 2Y-MIDC    99.75 C   52,288     +175    99.75 P   60,048     UNCH
JUN'22 2Y-MIDC    99.88 C   22,211     UNCH    99.88 P        0     UNCH
JUN'23 3Y-MIDC    99.38 C   31,898     UNCH    99.38 P   37,598  +15,384
JUN'23 3Y-MIDC    99.50 C   28,029   +2,699    99.50 P   18,850   +1,780
PUT/CALL RATIO FOR VOLUME CLEARED:
JUL'20 10Y NOTE PUT/CALL RATIO   -- 2.84 (259,160 PUTS VS. 91,333 CALLS)
SEP'20 10Y NOTE PUT/CALL RATIO   -- 0.81 (40,966 PUTS VS. 49,715 CALLS)
JUL'20 5Y NOTE PUT/CALL RATIO    -- 1.64 (51,883 PUTS VS. 31,625 CALLS)
SEP'20 5Y NOTE PUT/CALL RATIO    -- 0.59 (22,037 PUTS VS. 37,034 CALLS)
JUL'20 2Y NOTE PUT/CALL RATIO    -- 6.73 (350 PUTS VS. 52 CALLS)
SEP'20 2Y NOTE PUT/CALL RATIO    -- 0.00 (0 PUTS VS. 503 CALLS)
JUN'20 EURODLRS PUT/CALL RATIO   -- 1.20 (2,422 PUTS VS. 2,005 CALLS)
JUL'20 EURODLRS PUT/CALL RATIO   -- 0.26 (5,113 PUTS VS. 19,532 CALLS)
JUN'21 1Y-MIDCRVE PUT/CALL RATIO -- 0.36 (1,705 PUTS VS. 4,683 CALLS)
JUN'22 2Y-MIDCRVE PUT/CALL RATIO -- 11.2 (33,632 PUTS VS. 3,000 CALLS)
JUN'23 3Y-MIDCRVE PUT/CALL RATIO -- 1.82 (31,130 PUTS VS. 17,280 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
Thu 1500    26.98   67.72    46.55    67.76     64.50     61.45
1345        26.88   68.62    46.38    67.51     64.44     61.44
1215        27.00   68.12    46.59    67.21     64.30     61.36
1045        27.45   68.55    46.90    67.40     64.35     61.44
0930        27.34   66.70    46.14    66.08     64.11     61.23
Thu Open    27.11   66.15    46.00    65.91     64.07     61.11
Wed 1500    29.46   75.75    49.01    68.92     65.14     61.70
Wed Open    29.98   78.38    49.54    69.99     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
--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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