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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
1330         9.52%  9.78%   3.23%  3.68%   1.30%  1.64%   78.55%  76.50%
1030         9.75%  9.89%   3.31%  3.73%   1.40%  1.68%   80.60%  72.75%
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
1330        24.41   64.34    42.16    66.11     65.06     61.77
1030        24.55   64.89    42.71    66.37     65.29     61.88 
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$]

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