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 1500    10.11% 10.62%   3.78%  4.17%   1.66%  1.87%   93.90%  82.30%

1200        10.40% 10.60%   3.82%  4.18%   1.69%  1.87%   90.50%  83.80%

1045        10.40% 10.60%   3.82%  4.18%   1.69%  1.87%   90.50%  83.80%

0930        10.67% 10.58%   4.01%  4.20%   1.72%  1.88%   90.06%  87.15%

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 1500    26.11   70.80    45.94    69.51     65.97     

1200        27.04   70.82    46.09    69.44     65.78     62.13

1045        27.04   70.82    46.09    69.44     65.78     62.13

0930        26.24   70.85    46.14    69.48     65.80     62.13

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$]