US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JUNE 22

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

              USN    USU     TYN    TYU     FVN    FVU     EDN     EDU

0915         9.93%  9.64%   3.70%  3.64%   1.49%  1.63%   84.50%  71.30%

MON OPEN     9.81%  9.77%   3.55%  3.65%   1.40%  1.64%   83.60%  71.29%

FRI 1500     9.38%  9.82%   3.22%  3.69%   1.30%  1.65%   80.05%  71.55%

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%

LARGEST O/I:      STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

JUL'20 10Y NOTE  139.50 C  108,837   -2,245   138.00 P   68,524   +4,390

SEP'20 10Y NOTE  142.00 C   50,115      +38   137.00 P   39,196   +3,904

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

SEP'20 5Y NOTE   126.50 C   30,366     -435   124.00 P   18,979     +782

JUL'20 2Y NOTE   110.38 C   11,102     UNCH   107.88 P    6,842     UNCH

SEP'20 2Y NOTE   110.50 C   27,299   +3,101   110.12 P    8,492     UNCH

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

SEP'20 EURODLR    99.87 C  574,921   -1,223    98.25 P  667,814     UNCH

SEP'21 1Y-MIDC    99.75 C  127,003     +179    98.37 P  111,199     UNCH

SEP'22 2Y-MIDC    99.75 C  120,041   +1,200    99.25 P   70,674     UNCH

SEP'23 3Y-MIDC    99.62 C   47,236     +544    99.38 P   47,899     UNCH

NEAREST ATM:      STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

JUL'20 10Y NOTE  138.50 C   48,834     -237   138.50 P   38,096     +422

JUL'20 10Y NOTE  139.00 C   59,101   +3,464   139.00 P   23,995     -215

SEP'20 10Y NOTE  138.50 C   18,119     +728   138.50 P   31,082   +2,114

SEP'20 10Y NOTE  139.00 C   38,080     +623   139.00 P   32,761     UNCH

JUL'20 5Y NOTE   125.25 C   19,313       -7   125.25 P   28,008      +46

JUL'20 5Y NOTE   125.50 C   18,503   -2,117   125.50 P   12,254     -157

SEP'20 5Y NOTE   125.25 C   11,574     +546   125.25 P    9,271     +137

SEP'20 5Y NOTE   125.50 C   19,629     +683   125.50 P   10,955   +2,110

JUL'20 2Y NOTE   110.25 C       86      +80   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       13     UNCH   110.12 P    8,492     UNCH

SEP'20 2Y NOTE   110.25 C       61       +8   110.25 P    6,258     UNCH

JUL'20 EURODLR    99.62 C  164,336     UNCH    99.62 P  135,207     -899

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

SEP'20 EURODLR    99.62 C  251,297     +668    99.62 P  237,924     +113

SEP'20 EURODLR    99.75 C  436,867   +1,101    99.75 P   49,677     UNCH

SEP'21 1Y-MIDC    99.75 C  127,003     +179    99.75 P   56,797     -179

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

SEP'22 2Y-MIDC    99.62 C   54,387     UNCH    99.62 P   60,920     +577

SEP'22 2Y-MIDC    99.75 C  120,041   +1,200    99.75 P   45,255     UNCH

SEP'23 3Y-MIDC    99.50 C   30,058     +100    99.50 P   31,478     +100

SEP'23 3Y-MIDC    99.62 C   47,236     +544    99.62 P   19,291     +500

PUT/CALL RATIO FOR VOLUME CLEARED:

JUL'20 10Y NOTE PUT/CALL RATIO   -- 1.86 (71,433 PUTS VS. 38,427 CALLS)

SEP'20 10Y NOTE PUT/CALL RATIO   -- 1.22 (25,516 PUTS VS. 20,858 CALLS)

JUL'20 5Y NOTE PUT/CALL RATIO    -- 0.50 (6,052 PUTS VS. 11,814 CALLS)

SEP'20 5Y NOTE PUT/CALL RATIO    -- 0.88 (15,099 PUTS VS. 17,967 CALLS)

JUL'20 2Y NOTE PUT/CALL RATIO    -- 0.10 (25 PUTS VS. 258 CALLS)

SEP'20 2Y NOTE PUT/CALL RATIO    -- 0.00 (1 PUTS VS. 8,873 CALLS)

JUL'20 EURODLRS PUT/CALL RATIO   -- 0.00 (2,000 PUTS VS. 0 CALLS)

SEP'20 EURODLRS PUT/CALL RATIO   -- 0.01 (645 PUTS VS. 70,698 CALLS)

SEP'21 1Y-MIDCRVE PUT/CALL RATIO -- 0.12 (179 PUTS VS. 1,379 CALLS)

SEP'22 2Y-MIDCRVE PUT/CALL RATIO -- 1.32 (7,763 PUTS VS. 5,871 CALLS)

SEP'23 3Y-MIDCRVE PUT/CALL RATIO -- 4.05 (7,351 PUTS VS. 1,851 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

0915        24.04   65.70    41.93    66.15     64.65     61.62

Mon Open    24.09   65.10    42.01    66.15     64.75     61.70

Fri 1500    24.17   64.54    42.10    66.17     64.90     61.74

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

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

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