US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JUNE 16

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

              USN    USU     TYN    TYU     FVN    FVU     EDN     EDU

1230        11.27% 11.00%   4.13%  4.30%   1.77%  1.94%   93.25%  83.30%

1000        11.43% 10.99%   4.22%  4.28%   1.83%  1.90%   90.75%  80.50%

TUE OPEN    11.75% 11.05%   3.36%  4.34%   1.91%  1.93%   88.55%  75.25%

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

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

LARGEST O/I:      STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

JUL'20 10Y NOTE  139.50 C   92,391     +818   138.00 P   64,970     +556

SEP'20 10Y NOTE  142.00 C   46,725     +181   136.00 P   34,471      +38

JUL'20 5Y NOTE   126.50 C   39,819     +106   113.00 P   89,767     UNCH

SEP'20 5Y NOTE   126.50 C   27,093     +607   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   11,217   +1,610   110.00 P    3,311     UNCH

JUL'20 EURODLR    99.62 C  164,336       +1    99.50 P  212,983   -1,022

SEP'20 EURODLR    99.87 C  568,400   +5,665    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  118,941     +198    99.25 P   71,174     UNCH

SEP'23 3Y-MIDC    99.62 C   32,582   +1,727    99.38 P   48,999   +2,555

NEAREST ATM:      STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

JUL'20 10Y NOTE  138.50 C   22,703     -873   138.50 P   33,176     +957

JUL'20 10Y NOTE  139.00 C   48,971   +5,234   139.00 P   23,491   +2,048

SEP'20 10Y NOTE  138.50 C   11,589     +969   138.50 P   20,740   +1,191

SEP'20 10Y NOTE  139.00 C   33,270     -130   139.00 P   32,274     -246

JUL'20 5Y NOTE   125.25 C   19,117     -457   125.25 P   24,484     +391

JUL'20 5Y NOTE   125.50 C   20,220     +145   125.50 P   11,491       -2

SEP'20 5Y NOTE   125.25 C   10,629     UNCH   125.25 P    9,135      +15

SEP'20 5Y NOTE   125.50 C   16,129      +64   125.50 P    8,768     -150

JUL'20 2Y NOTE   110.25 C        6     UNCH   110.25 P    4,551     UNCH

JUL'20 2Y NOTE   110.38 C   11,102     UNCH   110.38 P    3,662     UNCH

SEP'20 2Y NOTE   110.12 C        2     UNCH   110.12 P       10     UNCH

SEP'20 2Y NOTE   110.25 C       46      +40   110.25 P    1,115      +20

JUL'20 EURODLR    99.62 C  164,336       +1    99.62 P  134,143     UNCH

JUL'20 EURODLR    99.75 C  159,262       -3    99.75 P   78,545     UNCH

SEP'20 EURODLR    99.62 C  250,348   -1,501    99.62 P  230,317     +900

SEP'20 EURODLR    99.75 C  443,546   +3,408    99.75 P   43,397   +2,340

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   30,360     -500

SEP'22 2Y-MIDC    99.62 C   54,373   +1,211    99.62 P   55,329     -620

SEP'22 2Y-MIDC    99.75 C  118,941     +198    99.75 P   45,915   +2,040

SEP'23 3Y-MIDC    99.50 C   20,858   +1,656    99.50 P   23,961     +805

SEP'23 3Y-MIDC    99.62 C   32,582   +1,727    99.62 P   18,791     UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

JUL'20 10Y NOTE PUT/CALL RATIO   -- 0.99 (64,275 PUTS VS. 64,786 CALLS)

SEP'20 10Y NOTE PUT/CALL RATIO   -- 0.87 (21,152 PUTS VS. 24,456 CALLS)

JUL'20 5Y NOTE PUT/CALL RATIO    -- 0.65 (2,613 PUTS VS. 4,026 CALLS)

SEP'20 5Y NOTE PUT/CALL RATIO    -- 0.93 (8,648 PUTS VS. 9,196 CALLS)

JUL'20 2Y NOTE PUT/CALL RATIO    -- 0.00 (0 PUTS VS. 63 CALLS)

SEP'20 2Y NOTE PUT/CALL RATIO    -- 0.00 (20 PUTS VS. 3,502 CALLS)

JUL'20 EURODLRS PUT/CALL RATIO   -- 0.24 (2,050 PUTS VS. 7,958 CALLS)

SEP'20 EURODLRS PUT/CALL RATIO   -- 0.22 (15,572 PUTS VS. 68,934 CALLS)

SEP'21 1Y-MIDCRVE PUT/CALL RATIO -- 0.55 (2,000 PUTS VS. 3,587 CALLS)

SEP'22 2Y-MIDCRVE PUT/CALL RATIO -- 0.74 (17,385 PUTS VS. 23,359 CALLS)

SEP'23 3Y-MIDCRVE PUT/CALL RATIO -- 0.53 (7,533 PUTS VS. 14,121 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

1230        26.74   74.44    47.34    71.87     66.41     62.62

1000        26.69   73.81    47.42    72.00     66.33     62.57

Tue Open    26.09   71.02    46.09    69.75     66.13     62.59

Mon 1500    26.11   70.80    45.94    69.51     65.97     61.91

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

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

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