US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JUNE 25

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

              USN    USU     TYN    TYU     FVN    FVU     EDN     EDU

1330          N/A   9.74%    N/A   3.68%    N/A   1.67%   76.35%  63.70%

1200          N/A   9.95%    N/A   3.80%    N/A   1.70%   79.30%  77.55%

1000          N/A   9.93%    N/A   3.81%    N/A   1.71%   75.50%  76.20%

THU OPEN      N/A  10.01%    N/A   3.81%    N/A   1.72%   73.90%  69.65%

WED 1500      N/A   9.88%    N/A   3.80%    N/A   1.70%   85.10%  77.95%

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%

LARGEST O/I:      STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

JUL'20 10Y NOTE  139.00 C  103,192  +47,694   138.00 P   65,052     -825

SEP'20 10Y NOTE  142.00 C   52,992     -500   137.00 P   49,725     +652

JUL'20 5Y NOTE   126.50 C   39,299      -21   113.00 P   89,767     UNCH

SEP'20 5Y NOTE   126.50 C   31,445     +635   125.00 P   19,516   +1,100

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

SEP'20 2Y NOTE   110.50 C   42,726   +1,149   110.12 P    8,494     UNCH

JUL'20 EURODLR    99.62 C  164,335     UNCH    99.50 P  216,106     -209

SEP'20 EURODLR    99.87 C  576,333     -207    98.25 P  667,814     UNCH

SEP'21 1Y-MIDC    99.75 C  145,705   -2,500    98.37 P  111,199     UNCH

SEP'22 2Y-MIDC    99.75 C  119,791     +250    99.25 P   70,674     UNCH

SEP'23 3Y-MIDC    99.62 C   47,836     +600    99.38 P   52,113     +500

NEAREST ATM:      STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

JUL'20 10Y NOTE  138.50 C   48,759   +1,212   138.50 P   40,327     -488

JUL'20 10Y NOTE  139.00 C  103,192  +47,694   139.00 P   18,867   -5,559

SEP'20 10Y NOTE  138.50 C   19,179     +247   138.50 P   33,226     +284

SEP'20 10Y NOTE  139.00 C   38,945     +650   139.00 P   34,462   +1,547

JUL'20 5Y NOTE   125.25 C   16,025     UNCH   125.25 P   27,873      -47

JUL'20 5Y NOTE   125.50 C   19,265     +155   125.50 P    9,809   -1,850

SEP'20 5Y NOTE   125.25 C   11,573     UNCH   125.25 P    9,475      -94

SEP'20 5Y NOTE   125.50 C   19,536     -116   125.50 P   10,956     -124

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     UNCH

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    6,057     -200

JUL'20 EURODLR    99.62 C  164,335     UNCH    99.62 P  134,507     -750

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

SEP'20 EURODLR    99.62 C  248,297   -3,200    99.62 P  234,740   -3,247

SEP'20 EURODLR    99.75 C  432,383   -5,408    99.75 P   46,871     +500

SEP'21 1Y-MIDC    99.75 C  145,705   -2,500    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   61,631   -1,107

SEP'22 2Y-MIDC    99.75 C  119,791     +250    99.75 P   43,539   -1,216

SEP'23 3Y-MIDC    99.50 C   30,058     UNCH    99.50 P   34,202     +250

SEP'23 3Y-MIDC    99.62 C   47,836     +600    99.62 P   19,291     UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

JUL'20 10Y NOTE PUT/CALL RATIO   -- 0.25 (51,088 PUTS VS. 199,686 CALLS)

SEP'20 10Y NOTE PUT/CALL RATIO   -- 0.75 (12,718 PUTS VS. 16,214 CALLS)

JUL'20 5Y NOTE PUT/CALL RATIO    -- 0.85 (12,402 PUTS VS. 14,707 CALLS)

SEP'20 5Y NOTE PUT/CALL RATIO    -- 2.62 (16,895 PUTS VS. 6,431 CALLS)

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

SEP'20 2Y NOTE PUT/CALL RATIO    -- 2.00 (4,200 PUTS VS. 2,097 CALLS)

JUL'20 EURODLRS PUT/CALL RATIO   -- 0.27 (1,500 PUTS VS. 5,504 CALLS)

SEP'20 EURODLRS PUT/CALL RATIO   -- 0.24 (16,012 PUTS VS. 66,877 CALLS)

SEP'21 1Y-MIDCRVE PUT/CALL RATIO -- 0.13 (1,550 PUTS VS. 11,605 CALLS)

SEP'22 2Y-MIDCRVE PUT/CALL RATIO -- 1.40 (42,938 PUTS VS. 30,097 CALLS)

SEP'23 3Y-MIDCRVE PUT/CALL RATIO -- 1.45 (1,650 PUTS VS. 1,100 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        23.67   62.53    42.72    67.19     65.76     62.07

1200        23.89   64.05    43.01    67.50     65.86     62.11

1000        23.95   64.05    42.99    67.48     65.63     61.94

Thu Open    24.09   63.94    42.80    67.16     65.53     61.80

Wed 1500    24.05   65.95    42.53    67.00     65.31     61.73

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

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

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