US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JUNE 2

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

              USN    USU     TYN    TYU     FVN    FVU     EDM     EDN

MON 1500    10.10%  9.71%   3.80%  3.83%   1.95%  1.94%   93.20%  94.60%

MON OPEN    10.03%  9.71%   3.85%  3.88%   1.87%  1.88%   99.05%  91.20%

LARGEST O/I:      STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

JUL'20 10Y NOTE  140.00 C   65,003   +6,068   138.00 P   73,893   +1,718

SEP'20 10Y NOTE  139.00 C   27,614     +682   139.00 P   27,906     +803

JUL'20 5Y NOTE   126.50 C   44,759     -540   113.00 P   89,768     UNCH

SEP'20 5Y NOTE   127.25 C   37,007     -349   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   111.00 C    2,191     UNCH   110.00 P    3,311     UNCH

JUN'20 EURODLR    99.50 C  406,866     +201    98.25 P  619,337     UNCH

JUL'20 EURODLR    99.62 C  169,898     UNCH    99.50 P  207,735     -250

JUN'21 1Y-MIDC    99.75 C  121,372     UNCH    98.50 P  201,925     UNCH

JUN'22 2Y-MIDC    99.62 C   85,763     +200    99.37 P  110,686     UNCH

JUN'23 3Y-MIDC    99.62 C   56,748     UNCH    99.25 P   28,539     UNCH

NEAREST ATM:      STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

JUL'20 10Y NOTE  138.50 C   23,795      -33   138.50 P   35,107     +667

JUL'20 10Y NOTE  139.00 C   39,089     -798   139.00 P   19,041     -419

SEP'20 10Y NOTE  139.00 C   27,614     +682   139.00 P   27,906     +803

SEP'20 10Y NOTE  139.50 C    9,644     +158   139.50 P    1,517     UNCH

JUL'20 5Y NOTE   125.50 C   14,416     -196   125.50 P   12,606     +832

JUL'20 5Y NOTE   125.75 C   15,459     UNCH   125.75 P    4,236     UNCH

SEP'20 5Y NOTE   125.50 C   13,614   +1,783   125.50 P    7,043   +2,129

SEP'20 5Y NOTE   125.75 C    5,536     +678   125.75 P      665     UNCH

JUL'20 2Y NOTE   110.25 C        6     UNCH   110.25 P    2,652      +96

JUL'20 2Y NOTE   110.38 C   11,102     UNCH   110.38 P    3,752     +125

SEP'20 2Y NOTE   110.12 C        1     UNCH   110.12 P       10     UNCH

SEP'20 2Y NOTE   110.25 C        4     UNCH   110.25 P    1,095     UNCH

JUN'20 EURODLR    99.62 C  281,531   +1,500    99.62 P  246,516     +125

JUN'20 EURODLR    99.75 C  289,514     -985    99.75 P    7,816   +1,123

JUL'20 EURODLR    99.62 C  169,898     UNCH    99.62 P  129,609     UNCH

JUL'20 EURODLR    99.75 C  152,212   -1,150    99.75 P   77,744     UNCH

JUN'21 1Y-MIDC    99.75 C  121,372     UNCH    99.75 P   33,203     +100

JUN'21 1Y-MIDC    99.88 C   35,201     UNCH    99.88 P    4,325     UNCH

JUN'22 2Y-MIDC    99.75 C   76,131     UNCH    99.75 P   68,876   +5,000

JUN'22 2Y-MIDC    99.88 C   21,506     +200    99.88 P        0     UNCH

JUN'23 3Y-MIDC    99.38 C   32,298     UNCH    99.38 P   17,813      -68

JUN'23 3Y-MIDC    99.50 C   14,752     UNCH    99.50 P   16,341     +129

PUT/CALL RATIO FOR VOLUME CLEARED:

JUL'20 10Y NOTE PUT/CALL RATIO   -- 2.53 (50,598 PUTS VS. 19,987 CALLS)

SEP'20 10Y NOTE PUT/CALL RATIO   -- 1.46 (13,369 PUTS VS. 9,081 CALLS)

JUL'20 5Y NOTE PUT/CALL RATIO    -- 0.47 (5,112 PUTS VS. 10,811 CALLS)

SEP'20 5Y NOTE PUT/CALL RATIO    -- 0.99 (7,198 PUTS VS. 7,556 CALLS)

JUL'20 2Y NOTE PUT/CALL RATIO    -- 28.4 (824 PUTS VS. 29 CALLS)

SEP'20 2Y NOTE PUT/CALL RATIO    -- 0.00 (0 PUTS VS. 300 CALLS)

JUN'20 EURODLRS PUT/CALL RATIO   -- 0.45 (3,010 PUTS VS. 6,522 CALLS)

JUL'20 EURODLRS PUT/CALL RATIO   -- 1.00 (2,200 PUTS VS. 2,200 CALLS)

JUN'21 1Y-MIDCRVE PUT/CALL RATIO -- 0.25 (100 PUTS VS. 400 CALLS)

JUN'22 2Y-MIDCRVE PUT/CALL RATIO -- 6.50 (5,200 PUTS VS. 800 CALLS)

JUN'23 3Y-MIDCRVE PUT/CALL RATIO -- 0.00 (992 PUTS VS. 0 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    28.17   62.12    45.66    62.58     62.90     59.97

Mon Open    28.33   61.93    45.21    61.93     62.80     60.05

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

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