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US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JUNE 15

EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
              USN    USU     TYN    TYU     FVN    FVU     EDN     EDU
MON OPEN    10.58% 10.55%   3.97%  4.22%   1.73%  1.89%   75.05%  82.05%
FRI 1500     9.75% 10.35%   3.67%  4.17%   1.55%  1.86%   91.20%   N/A
FRI OPEN     9.50% 10.02%   3.90%  4.15%   1.60%  1.88%   78.80%   N/A
THU 1500     9.75% 10.05%   3.96%  4.15%   1.75%  1.88%   79.95%   N/A
THU OPEN     8.78%  9.40%   3.58%  3.89%   1.58%  1.76%   81.80%   N/A
WED 1500    10.86% 10.10%   4.75%  4.31%   2.15%  1.97%   92.90%   N/A
WED OPEN    10.90% 10.15%   4.91%  4.40%   2.22%  2.01%   89.55%   N/A
TUE 1500    11.15% 10.24%   5.13%  4.47%   2.43%  2.06%   96.85%   N/A
TUE OPEN    10.12%  9.83%   4.63%  4.34%   2.33%  2.08%   93.15%   N/A
MON 1500    10.87%  9.85%   4.42%  4.31%   2.44%  2.10%   85.00%   N/A
MON OPEN    11.10% 10.07%   4.87%  4.38%   2.57%  2.18%   86.70%   N/A
LARGEST O/I:      STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE
JUL'20 10Y NOTE  139.50 C   91,573   -1,039   138.00 P   64,414     +129
SEP'20 10Y NOTE  142.00 C   46,544      -96   136.00 P   34,433      +95
JUL'20 5Y NOTE   126.50 C   39,713     -160   113.00 P   89,767     UNCH
SEP'20 5Y NOTE   126.50 C   26,486     +726   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    9,607   +4,427   110.00 P    3,311     UNCH
JUL'20 EURODLR    99.62 C  164,335     +603    99.50 P  214,005   +1,973
SEP'20 EURODLR    99.87 C  562,735     -859    98.25 P  667,814     UNCH
SEP'21 1Y-MIDC    99.75 C  126,824     UNCH    98.37 P  111,199     UNCH
SEP'22 2Y-MIDC    99.75 C  118,743   +1,400    99.25 P   71,174     +802
SEP'23 3Y-MIDC    99.62 C   30,855     UNCH    99.38 P   43,444   -2,500
NEAREST ATM:      STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE
JUL'20 10Y NOTE  138.50 C   23,576   -5,970   138.50 P   32,219   +2,931
JUL'20 10Y NOTE  139.00 C   43,737     +592   139.00 P   21,443       +7
SEP'20 10Y NOTE  138.50 C   10,620     +292   138.50 P   19,549     +178
SEP'20 10Y NOTE  139.00 C   33,400   +2,145   139.00 P   32,520   +3,520
JUL'20 5Y NOTE   125.25 C   19,574     -857   125.25 P   24,093     +414
JUL'20 5Y NOTE   125.50 C   20,075   -2,284   125.50 P   11,493     -271
SEP'20 5Y NOTE   125.25 C   10,629      +17   125.25 P    9,120   +3,171
SEP'20 5Y NOTE   125.50 C   16,065      +73   125.50 P    8,918      +30
JUL'20 2Y NOTE   110.25 C        6     UNCH   110.25 P    4,551     +500
JUL'20 2Y NOTE   110.38 C   11,102     UNCH   110.38 P    3,662     +100
SEP'20 2Y NOTE   110.12 C        2     UNCH   110.12 P       10     UNCH
SEP'20 2Y NOTE   110.25 C        6     UNCH   110.25 P    1,095     UNCH
JUL'20 EURODLR    99.62 C  164,335     +603    99.62 P  134,143     UNCH
JUL'20 EURODLR    99.75 C  159,265     +963    99.75 P   78,545     UNCH
SEP'20 EURODLR    99.62 C  251,849   -7,202    99.62 P  229,417   +1,171
SEP'20 EURODLR    99.75 C  440,138   +1,665    99.75 P   41,057   -1,604
SEP'21 1Y-MIDC    99.75 C  126,824     UNCH    99.75 P   57,476     UNCH
SEP'21 1Y-MIDC    99.88 C   79,108     UNCH    99.88 P   30,860     UNCH
SEP'22 2Y-MIDC    99.62 C   53,162     +200    99.62 P   55,949     +547
SEP'22 2Y-MIDC    99.75 C  118,743   +1,400    99.75 P   43,875     -400
SEP'23 3Y-MIDC    99.50 C   19,202     UNCH    99.50 P   23,156     +250
SEP'23 3Y-MIDC    99.62 C   30,855     UNCH    99.62 P   18,791     UNCH
PUT/CALL RATIO FOR VOLUME CLEARED:
JUL'20 10Y NOTE PUT/CALL RATIO   -- 0.64 (52,419 PUTS VS. 81,454 CALLS)
SEP'20 10Y NOTE PUT/CALL RATIO   -- 1.02 (30,477 PUTS VS. 29,867 CALLS)
JUL'20 5Y NOTE PUT/CALL RATIO    -- 1.29 (10,501 PUTS VS. 13,799 CALLS)
SEP'20 5Y NOTE PUT/CALL RATIO    -- 2.44 (10,099 PUTS VS. 24,430 CALLS)
JUL'20 2Y NOTE PUT/CALL RATIO    -- 1.11 (610 PUTS VS. 557 CALLS)
SEP'20 2Y NOTE PUT/CALL RATIO    -- 0.00 (0 PUTS VS. 4,260 CALLS)
JUL'20 EURODLRS PUT/CALL RATIO   -- 0.71 (9,339 PUTS VS. 13,078 CALLS)
SEP'20 EURODLRS PUT/CALL RATIO   -- 0.55 (25,197 PUTS VS. 45,763 CALLS)
SEP'21 1Y-MIDCRVE PUT/CALL RATIO -- 0.06 (300 PUTS VS. 4,605 CALLS)
SEP'22 2Y-MIDCRVE PUT/CALL RATIO -- 1.19 (10,143 PUTS VS. 12,897 CALLS)
SEP'23 3Y-MIDCRVE PUT/CALL RATIO -- 1.22 (5,500 PUTS VS. 4,500 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    27.03   70.06    46.15    69.48     65.68     61.91
Fri 1500    26.01   68.19    45.49    68.26     65.36     61.84
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
--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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