US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JUNE 19

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

              USN    USU     TYN    TYU     FVN    FVU     EDN     EDU

FRI OPEN    10.02% 10.07%   3.45%  3.81%   1.44%  1.66%   84.00%  72.30%

THU 1500    10.12% 10.00%   3.40%  3.78%   1.47%  1.67%   89.05%  77.11%

THU OPEN    10.72% 10.31%   3.74%  3.99%   1.55%  1.75%   81.35%  79.10%

WED 1500    10.80% 10.45%   3.85%  4.02%   1.61%  1.79%   85.40%  80.05%

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

LARGEST O/I:      STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

JUL'20 10Y NOTE  139.50 C  110,082     -934   138.00 P   64,134   +1,447

SEP'20 10Y NOTE  142.00 C   50,077   +2,311   136.00 P   38,195     +452

JUL'20 5Y NOTE   126.50 C   39,694       -6   113.00 P   89,767     UNCH

SEP'20 5Y NOTE   126.50 C   30,801     +252   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   24,198  +12,225   110.12 P    8,492   +8,482

JUL'20 EURODLR    99.62 C  164,336     UNCH    99.50 P  216,315     UNCH

SEP'20 EURODLR    99.87 C  576,144   +5,495    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  118,841     -200    99.25 P   70,674     UNCH

SEP'23 3Y-MIDC    99.62 C   46,692     -326    99.38 P   47,899     UNCH

NEAREST ATM:      STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

JUL'20 10Y NOTE  138.50 C   49,071      +24   138.50 P   37,674   -1,495

JUL'20 10Y NOTE  139.00 C   55,637     +825   139.00 P   24,210     +163

SEP'20 10Y NOTE  138.50 C   17,391     +963   138.50 P   28,968   +1,669

SEP'20 10Y NOTE  139.00 C   37,457      +52   139.00 P   32,761     +487

JUL'20 5Y NOTE   125.25 C   19,320     +456   125.25 P   27,962     +917

JUL'20 5Y NOTE   125.50 C   20,620     -484   125.50 P   12,411     +582

SEP'20 5Y NOTE   125.25 C   11,028      -25   125.25 P    9,134     UNCH

SEP'20 5Y NOTE   125.50 C   18,946   +2,941   125.50 P    8,845     +572

JUL'20 2Y NOTE   110.25 C        6     UNCH   110.25 P    4,551     -150

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

SEP'20 2Y NOTE   110.12 C       13     UNCH   110.12 P    8,492   +8,482

SEP'20 2Y NOTE   110.25 C       53     UNCH   110.25 P    6,258   +2,405

JUL'20 EURODLR    99.62 C  164,336     UNCH    99.62 P  136,106   -1,099

JUL'20 EURODLR    99.75 C  159,538     UNCH    99.75 P   78,059     UNCH

SEP'20 EURODLR    99.62 C  250,629     UNCH    99.62 P  237,811     +864

SEP'20 EURODLR    99.75 C  435,766   -7,220    99.75 P   49,677     UNCH

SEP'21 1Y-MIDC    99.75 C  126,824     UNCH    99.75 P   56,976     UNCH

SEP'21 1Y-MIDC    99.88 C   93,282  +14,174    99.88 P   30,360     UNCH

SEP'22 2Y-MIDC    99.62 C   54,387      -86    99.62 P   60,343   +1,890

SEP'22 2Y-MIDC    99.75 C  118,841     -200    99.75 P   45,255      +40

SEP'23 3Y-MIDC    99.50 C   29,958   +1,600    99.50 P   31,378     +745

SEP'23 3Y-MIDC    99.62 C   46,692     -326    99.62 P   18,791     UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

JUL'20 10Y NOTE PUT/CALL RATIO   -- 2.01 (47,512 PUTS VS. 51,717 CALLS)

SEP'20 10Y NOTE PUT/CALL RATIO   -- 1.76 (23,026 PUTS VS. 28,082 CALLS)

JUL'20 5Y NOTE PUT/CALL RATIO    -- 2.02 (5,322 PUTS VS. 3,929 CALLS)

SEP'20 5Y NOTE PUT/CALL RATIO    -- 2.70 (22,466 PUTS VS. 31,949 CALLS)

JUL'20 2Y NOTE PUT/CALL RATIO    -- 0.00 (150 PUTS VS. 0 CALLS)

SEP'20 2Y NOTE PUT/CALL RATIO    -- 6.77 (13,305 PUTS VS. 12,533 CALLS)

JUL'20 EURODLRS PUT/CALL RATIO   -- 0.00 (1,787 PUTS VS. 200 CALLS)

SEP'20 EURODLRS PUT/CALL RATIO   -- 0.29 (8,891 PUTS VS. 35,994 CALLS)

SEP'21 1Y-MIDCRVE PUT/CALL RATIO -- 0.01 (300 PUTS VS. 33,100 CALLS)

SEP'22 2Y-MIDCRVE PUT/CALL RATIO -- 2.85 (5,226 PUTS VS. 4,750 CALLS)

SEP'23 3Y-MIDCRVE PUT/CALL RATIO -- 6.61 (1,850 PUTS VS. 2,100 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

Fri Open    24.77   65.62    43.07    67.66     65.48     62.06

Thu 1500    25.15   66.51    44.09    69.25     65.63     62.17

Thu Open    25.84   69.55    45.41    70.15     65.94     62.35

Wed 1500    25.80   71.31    45.55    70.13     66.00     62.32

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

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

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