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US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JUNE 17

EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
              USN    USU     TYN    TYU     FVN    FVU     EDN     EDU
1215        10.80% 10.51%   3.85%  4.03%   1.63%  1.79%   85.05%  71.90%
1000        10.90% 10.70%   3.93%  4.11%   1.64%  1.82%   84.81%  74.50%
WED OPEN    11.00% 10.79%   3.97%  4.20%   1.67%  1.86%   84.75%  76.15%
TUE 1500    11.27% 11.00%   4.13%  4.30%   1.77%  1.94%   93.25%  83.30%
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
LARGEST O/I:      STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE
JUL'20 10Y NOTE  139.50 C  119,944  +19,553   137.00 P   64,722     +166
SEP'20 10Y NOTE  140.00 C   45,518      +90   136.00 P   34,822     +351
JUL'20 5Y NOTE   126.50 C   39,700     -119   113.00 P   89,767     UNCH
SEP'20 5Y NOTE   126.50 C   28,293   +1,200   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   11,500     +283   110.00 P    3,311     UNCH
JUL'20 EURODLR    99.62 C  164,336     UNCH    99.50 P  216,315   +3,332
SEP'20 EURODLR    99.87 C  572,500   +4,100    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  119,441     +500    99.25 P   70,674     -500
SEP'23 3Y-MIDC    99.62 C   47,018  +14,436    99.38 P   48,999     UNCH
NEAREST ATM:      STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE
JUL'20 10Y NOTE  138.50 C   48,701  +26,008   138.50 P   36,983   +3,807
JUL'20 10Y NOTE  139.00 C   53,765   +4,794   139.00 P   23,042     -449
SEP'20 10Y NOTE  138.50 C   13,042   +1,453   138.50 P   22,511   +1,771
SEP'20 10Y NOTE  139.00 C   33,476     +206   139.00 P   32,274     UNCH
JUL'20 5Y NOTE   125.25 C   18,988     -129   125.25 P   26,067   +1,583
JUL'20 5Y NOTE   125.50 C   20,555     +335   125.50 P   11,510      +19
SEP'20 5Y NOTE   125.25 C   11,053     +424   125.25 P    9,134       -1
SEP'20 5Y NOTE   125.50 C   16,129     UNCH   125.50 P    8,534     -234
JUL'20 2Y NOTE   110.25 C        6     UNCH   110.25 P    4,601      +50
JUL'20 2Y NOTE   110.38 C   11,102     UNCH   110.38 P    3,662     UNCH
SEP'20 2Y NOTE   110.12 C       10       +8   110.12 P       12       +2
SEP'20 2Y NOTE   110.25 C       53       +7   110.25 P    1,138      +23
JUL'20 EURODLR    99.62 C  164,336     UNCH    99.62 P  137,205   +3,062
JUL'20 EURODLR    99.75 C  159,312      +50    99.75 P   78,059     -486
SEP'20 EURODLR    99.62 C  250,379      +31    99.62 P  236,644   +6,327
SEP'20 EURODLR    99.75 C  442,058   -1,488    99.75 P   49,677   +6,280
SEP'21 1Y-MIDC    99.75 C  126,824     UNCH    99.75 P   56,976     -500
SEP'21 1Y-MIDC    99.88 C   79,108     UNCH    99.88 P   30,360     UNCH
SEP'22 2Y-MIDC    99.62 C   54,473     +100    99.62 P   58,211   +2,882
SEP'22 2Y-MIDC    99.75 C  119,441     +500    99.75 P   45,115     -800
SEP'23 3Y-MIDC    99.50 C   28,358   +7,500    99.50 P   24,211     +250
SEP'23 3Y-MIDC    99.62 C   47,018  +14,436    99.62 P   18,791     UNCH
PUT/CALL RATIO FOR VOLUME CLEARED:
JUL'20 10Y NOTE PUT/CALL RATIO   -- 0.55 (84,768 PUTS VS. 171,483 CALLS)
SEP'20 10Y NOTE PUT/CALL RATIO   -- 0.71 (22,788 PUTS VS. 31,140 CALLS)
JUL'20 5Y NOTE PUT/CALL RATIO    -- 0.43 (7,765 PUTS VS. 17,751 CALLS)
SEP'20 5Y NOTE PUT/CALL RATIO    -- 1.17 (5,544 PUTS VS. 4,786 CALLS)
JUL'20 2Y NOTE PUT/CALL RATIO    -- 1.54 (201 PUTS VS. 130 CALLS)
SEP'20 2Y NOTE PUT/CALL RATIO    -- 0.03 (25 PUTS VS. 749 CALLS)
JUL'20 EURODLRS PUT/CALL RATIO   -- 299.5 (29,951 PUTS VS. 100 CALLS)
SEP'20 EURODLRS PUT/CALL RATIO   -- 0.63 (21,462 PUTS VS. 33,030 CALLS)
SEP'21 1Y-MIDCRVE PUT/CALL RATIO -- 0.00 (1,000 PUTS VS. 0 CALLS)
SEP'22 2Y-MIDCRVE PUT/CALL RATIO -- 3.75 (45,850 PUTS VS. 12,959 CALLS)
SEP'23 3Y-MIDCRVE PUT/CALL RATIO -- 0.02 (1,000 PUTS VS. 42,050 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
1215        25.87   71.88    46.31    70.53     65.88     62.34
1000        26.02   72.55    46.75    71.60     66.02     62.47
Wed Open    26.26   73.52    47.11    72.10     66.41     62.56
Tue 1500    26.74   74.44    47.34    71.87     66.41     62.62
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
--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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