US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JUNE 24

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

              USN    USU     TYN    TYU     FVN    FVU     EDN     EDU

1130        10.70%  9.86%   3.96%  3.85%   1.92%  1.74%   85.65%  75.30%

0930        10.45%  9.70%   3.75%  3.70%   1.61%  1.69%   84.40%  74.25%

WED OPEN    10.50%  9.74%   3.85%  3.75%   1.63%  1.68%   84.45%  74.25%

TUE 1500     9.47%  9.54%   3.92%  3.68%   1.43%  1.64%   83.70%  76.20%

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%

LARGEST O/I:      STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

JUL'20 10Y NOTE  139.50 C  106,842   -1,072   138.00 P   65,877   -2,736

SEP'20 10Y NOTE  142.00 C   53,492     +314   137.00 P   49,073   +9,039

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

SEP'20 5Y NOTE   126.50 C   30,810     +254   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   41,577   +5,241   110.12 P    8,494     UNCH

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

SEP'20 EURODLR    99.87 C  576,540   +2,156    98.25 P  667,814     UNCH

SEP'21 1Y-MIDC    99.75 C  148,205   -3,957    98.37 P  111,199     UNCH

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

SEP'23 3Y-MIDC    99.62 C   47,236     UNCH    99.38 P   51,617   +2,954

NEAREST ATM:      STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

JUL'20 10Y NOTE  138.50 C   47,547     -981   138.50 P   40,815     +862

JUL'20 10Y NOTE  139.00 C   55,498   -1,871   139.00 P   24,426      -30

SEP'20 10Y NOTE  138.50 C   18,932     +523   138.50 P   32,942   +1,360

SEP'20 10Y NOTE  139.00 C   38,295     +354   139.00 P   32,915      +37

JUL'20 5Y NOTE   125.25 C   16,025     UNCH   125.25 P   27,920      +27

JUL'20 5Y NOTE   125.50 C   19,110     +715   125.50 P   11,659     -407

SEP'20 5Y NOTE   125.25 C   11,573       -1   125.25 P    9,569     +298

SEP'20 5Y NOTE   125.50 C   19,652       +4   125.50 P   11,080     +125

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

JUL'20 2Y NOTE   110.38 C   11,102     UNCH   110.38 P    5,206   +1,741

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

SEP'20 2Y NOTE   110.25 C       61     UNCH   110.25 P    6,257       -1

JUL'20 EURODLR    99.62 C  164,335     UNCH    99.62 P  135,257      +50

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

SEP'20 EURODLR    99.62 C  251,497     +278    99.62 P  237,987      +55

SEP'20 EURODLR    99.75 C  437,791   +1,245    99.75 P   46,371   -3,307

SEP'21 1Y-MIDC    99.75 C  148,205   -3,957    99.75 P   57,797     UNCH

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

SEP'22 2Y-MIDC    99.62 C   54,180     UNCH    99.62 P   62,738     UNCH

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

SEP'23 3Y-MIDC    99.50 C   30,058     UNCH    99.50 P   33,952   +2,734

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   -- 1.35 (38,245 PUTS VS. 28,257 CALLS)

SEP'20 10Y NOTE PUT/CALL RATIO   -- 3.54 (78,971 PUTS VS. 22,667 CALLS)

JUL'20 5Y NOTE PUT/CALL RATIO    -- 1.22 (7,122 PUTS VS. 5,829 CALLS)

SEP'20 5Y NOTE PUT/CALL RATIO    -- 1.58 (6,267 PUTS VS. 3,998 CALLS)

JUL'20 2Y NOTE PUT/CALL RATIO    -- 0.00 (3,000 PUTS VS. 0 CALLS)

SEP'20 2Y NOTE PUT/CALL RATIO    -- 0.00 (1 PUTS VS. 7,677 CALLS)

JUL'20 EURODLRS PUT/CALL RATIO   -- 0.00 (50 PUTS VS. 0 CALLS)

SEP'20 EURODLRS PUT/CALL RATIO   -- 1.87 (24,911 PUTS VS. 13,389 CALLS)

SEP'21 1Y-MIDCRVE PUT/CALL RATIO -- 0.25 (4,250 PUTS VS. 16,750 CALLS)

SEP'22 2Y-MIDCRVE PUT/CALL RATIO -- 3.12 (2,000 PUTS VS. 6,400 CALLS)

SEP'23 3Y-MIDCRVE PUT/CALL RATIO -- 0.00 (18,309 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

1130        23.90   65.14    42.13    66.15     65.11     61.63

0930        23.70   65.06    42.06    66.12     65.08     61.61

Wed Open    23.76   64.98    42.18    66.23     65.14     61.69

Tue 1500    23.80   64.87    41.86    65.83     64.99     61.60

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

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

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