US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JUNE 23

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

              USN    USU     TYN    TYU     FVN    FVU     EDN     EDU

1245         9.56%  9.62%   4.05%  3.73%   1.54%  1.67%   83.25%  72.10%

1100         9.87%  9.63%   4.10%  3.72%   1.51%  1.65%   90.05%  78.85%

0900        10.68%  9.83%   4.20%  3.82%   1.65%  1.69%   93.30%  72.15%

TUE OPEN    10.50%  9.81%   4.05%  3.77%   1.55%  1.65%   91.80%  73.20%

MON 1500    10.00%  9.76%   3.72%  3.67%   1.46%  1.64%   85.02%  73.80%

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%

LARGEST O/I:      STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

JUL'20 10Y NOTE  139.50 C  107,914     -923   138.00 P   68,613      +89

SEP'20 10Y NOTE  142.00 C   53,178   +3,063   136.00 P   42,368   +4,123

JUL'20 5Y NOTE   126.50 C   39,320     -374   113.00 P   89,767     UNCH

SEP'20 5Y NOTE   126.50 C   30,556     +190   124.00 P   18,979     UNCH

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

SEP'20 2Y NOTE   110.50 C   36,336   +9,037   110.12 P    8,494       +2

JUL'20 EURODLR    99.62 C  164,335       -1    99.50 P  216,315     UNCH

SEP'20 EURODLR    99.87 C  574,384     -537    98.25 P  667,814     UNCH

SEP'21 1Y-MIDC    99.75 C  152,162  +25,159    98.37 P  111,199     UNCH

SEP'22 2Y-MIDC    99.75 C  119,541     -500    99.25 P   70,674     UNCH

SEP'23 3Y-MIDC    99.62 C   47,236     UNCH    99.38 P   48,659     +760

NEAREST ATM:      STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

JUL'20 10Y NOTE  138.50 C   48,528     -306   138.50 P   39,953   +1,857

JUL'20 10Y NOTE  139.00 C   57,369   -1,732   139.00 P   24,456     +461

SEP'20 10Y NOTE  138.50 C   18,409     +290   138.50 P   31,582     +500

SEP'20 10Y NOTE  139.00 C   37,941     -139   139.00 P   32,878     +117

JUL'20 5Y NOTE   125.25 C   16,025   -3,288   125.25 P   27,893     -115

JUL'20 5Y NOTE   125.50 C   18,395     -108   125.50 P   12,066     -188

SEP'20 5Y NOTE   125.25 C   11,574     UNCH   125.25 P    9,271     UNCH

SEP'20 5Y NOTE   125.50 C   19,648      +19   125.50 P   10,955     UNCH

JUL'20 2Y NOTE   110.25 C      172      +86   110.25 P    4,551     UNCH

JUL'20 2Y NOTE   110.38 C   11,102     UNCH   110.38 P    3,465     -197

SEP'20 2Y NOTE   110.12 C       15       +2   110.12 P    8,494       +2

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

JUL'20 EURODLR    99.62 C  164,335       -1    99.62 P  135,207     UNCH

JUL'20 EURODLR    99.75 C  159,538     UNCH    99.75 P   78,061       +2

SEP'20 EURODLR    99.62 C  251,219      -78    99.62 P  237,932       +8

SEP'20 EURODLR    99.75 C  436,546     -321    99.75 P   49,678       +1

SEP'21 1Y-MIDC    99.75 C  152,162  +25,159    99.75 P   57,797   +1,000

SEP'21 1Y-MIDC    99.88 C  106,774  +13,492    99.88 P   30,360     UNCH

SEP'22 2Y-MIDC    99.62 C   54,387     UNCH    99.62 P   62,738   +1,818

SEP'22 2Y-MIDC    99.75 C  119,541     -500    99.75 P   44,755     -500

SEP'23 3Y-MIDC    99.50 C   30,058     UNCH    99.50 P   31,218     -260

SEP'23 3Y-MIDC    99.62 C   47,236     UNCH    99.62 P   19,291     UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

JUL'20 10Y NOTE PUT/CALL RATIO   -- 0.47 (27,209 PUTS VS. 57,575 CALLS)

SEP'20 10Y NOTE PUT/CALL RATIO   -- 1.68 (42,818 PUTS VS. 25,988 CALLS)

JUL'20 5Y NOTE PUT/CALL RATIO    -- 0.18 (4,638 PUTS VS. 24,621 CALLS)

SEP'20 5Y NOTE PUT/CALL RATIO    -- 1.29 (9,286 PUTS VS. 7,182 CALLS)

JUL'20 2Y NOTE PUT/CALL RATIO    -- 0.99 (251 PUTS VS. 258 CALLS)

SEP'20 2Y NOTE PUT/CALL RATIO    -- 0.00 (78 PUTS VS. 11,730 CALLS)

JUL'20 EURODLRS PUT/CALL RATIO   -- 0.01 (27 PUTS VS. 4,047 CALLS)

SEP'20 EURODLRS PUT/CALL RATIO   -- 0.19 (2,777 PUTS VS. 13,637 CALLS)

SEP'21 1Y-MIDCRVE PUT/CALL RATIO -- 0.07 (6,324 PUTS VS. 87,690 CALLS)

SEP'22 2Y-MIDCRVE PUT/CALL RATIO -- 1.99 (19,950 PUTS VS. 10,100 CALLS)

SEP'23 3Y-MIDCRVE PUT/CALL RATIO -- 0.00 (4,845 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

1245        23.93   64.60    41.67    65.71     64.92     61.67

1100        23.85   64.69    41.70    65.80     64.96     61.81

0900        23.97   65.33    42.04    66.36     65.06     61.92

Tue Open    23.95   65.29    42.05    66.29     64.99     61.83

Mon 1500    23.93   65.16    42.08    66.08     64.80     61.75

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

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

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