US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JUNE 12

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

              USN    USU     TYN    TYU     FVN    FVU     EDM     EDN

1130         9.65% 10.20%   3.80%  4.17%   1.63%  1.87%    N/A    92.30%

0900         9.40% 10.00%   3.75%  4.13%   1.55%  1.85%    N/A    85.80%

FRI OPEN     9.50% 10.02%   3.90%  4.15%   1.60%  1.88%    N/A    78.80%

THU 1500     9.75% 10.05%   3.96%  4.15%   1.75%  1.88%    N/A    79.95%

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%

LARGEST O/I:      STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

JUL'20 10Y NOTE  139.50 C   92,622   +3,281   138.00 P   64,285   +5,291

SEP'20 10Y NOTE  142.00 C   46,640  +23,769   136.00 P   34,338     +246

JUL'20 5Y NOTE   126.50 C   39,873   -2,387   113.00 P   89,767     UNCH

SEP'20 5Y NOTE   126.50 C   25,760   +7,955   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    5,180   +2,802   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  163,732     +500    99.50 P  212,032     +100

JUN'21 1Y-MIDC    99.75 C  101,000   -3,508    98.50 P  201,925     UNCH

JUN'22 2Y-MIDC    99.50 C   85,730     UNCH    99.38 P  104,886     UNCH

JUN'23 3Y-MIDC    99.62 C   31,858   -4,410    99.38 P   37,598     UNCH

NEAREST ATM:      STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

JUL'20 10Y NOTE  138.50 C   29,546   -4,013   138.50 P   32,179   +2,931

JUL'20 10Y NOTE  139.00 C   43,145     +609   139.00 P   31,436   +2,873

SEP'20 10Y NOTE  138.50 C   10,328     -176   138.50 P   19,371   -3,564

SEP'20 10Y NOTE  139.00 C   31,255     -668   139.00 P   29,000   +2,052

JUL'20 5Y NOTE   125.25 C   20,431   -3,851   125.25 P   23,679       -3

JUL'20 5Y NOTE   125.50 C   22,359     -760   125.50 P   11,764     +105

SEP'20 5Y NOTE   125.25 C   10,612   -4,382   125.25 P    5,949     +387

SEP'20 5Y NOTE   125.50 C   15,992     +791   125.50 P    8,888     +375

JUL'20 2Y NOTE   110.25 C        6     UNCH   110.25 P    4,051      +50

JUL'20 2Y NOTE   110.38 C   11,102     UNCH   110.38 P    3,562      +30

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  244,513   -3,003

JUN'20 EURODLR    99.75 C  291,826       +2    99.75 P    7,809     UNCH

JUL'20 EURODLR    99.62 C  163,732     +500    99.62 P  134,143   +6,318

JUL'20 EURODLR    99.75 C  158,302   +3,577    99.75 P   78,545     UNCH

JUN'21 1Y-MIDC    99.75 C  101,000   -3,508    99.75 P   36,073   +2,173

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     UNCH    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     UNCH

JUN'23 3Y-MIDC    99.50 C   28,029   +2,699    99.50 P   18,850     UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

JUL'20 10Y NOTE PUT/CALL RATIO   -- 0.48 (80,752 PUTS VS. 165,621 CALLS)

SEP'20 10Y NOTE PUT/CALL RATIO   -- 0.47 (71,402 PUTS VS. 148,257 CALLS)

JUL'20 5Y NOTE PUT/CALL RATIO    -- 0.52 (22,471 PUTS VS. 42,398 CALLS)

SEP'20 5Y NOTE PUT/CALL RATIO    -- 0.21 (10,235 PUTS VS. 47,892 CALLS)

JUL'20 2Y NOTE PUT/CALL RATIO    -- 0.61 (951 PUTS VS. 1,551 CALLS)

SEP'20 2Y NOTE PUT/CALL RATIO    -- 0.01 (35 PUTS VS. 4,003 CALLS)

JUN'20 EURODLRS PUT/CALL RATIO   -- 108.0 (10,822 PUTS VS. 1,008 CALLS)

JUL'20 EURODLRS PUT/CALL RATIO   -- 1.69 (9,008 PUTS VS. 5,339 CALLS)

JUN'21 1Y-MIDCRVE PUT/CALL RATIO -- 0.32 (5,630 PUTS VS. 17,241 CALLS)

JUN'22 2Y-MIDCRVE PUT/CALL RATIO -- 0.00 (200 PUTS VS. 0 CALLS)

JUN'23 3Y-MIDCRVE PUT/CALL RATIO -- 1.34 (9,471 PUTS VS. 7,055 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

1130        26.18   67.30    45.26    67.28     65.04     61.78

0900        25.77   66.77    45.05    67.05     65.00     61.61

Fri Open    25.80   66.91    45.60    67.00     64.95     61.57

Thu 1500    26.98   67.72    46.55    67.76     64.50     61.45

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

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

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