US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JUNE 26

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

              USN    USU     TYN    TYU     FVN    FVU     EDN     EDU

0945          N/A   9.69%    N/A   3.61%    N/A   1.62%   79.85%  71.75%

FRI OPEN      N/A   9.70%    N/A   3.62%    N/A   1.64%   77.50%  70.50%

THU 1500      N/A   9.74%    N/A   3.68%    N/A   1.67%   76.35%  63.70%

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%

LARGEST O/I:      STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

JUL'20 10Y NOTE  139.00 C   85,445  -17,747   138.00 P   64,737     -315

SEP'20 10Y NOTE  142.00 C   53,787     +795   137.00 P   57,509   +7,884

JUL'20 5Y NOTE   126.50 C   39,283      -16   113.00 P   89,767     UNCH

SEP'20 5Y NOTE   126.50 C   31,516      +71   125.00 P   21,309   +1,793

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

SEP'20 2Y NOTE   110.50 C   43,108     +292   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  574,283   -2,050    98.25 P  667,814     UNCH

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

SEP'22 2Y-MIDC    99.75 C  118,366   -1,425    99.00 P   64,118     -950

SEP'23 3Y-MIDC    99.62 C   47,836     UNCH    99.38 P   52,355     +242

NEAREST ATM:      STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

JUL'20 10Y NOTE  138.50 C   44,401   -4,358   138.50 P   43,384   +3,058

JUL'20 10Y NOTE  139.00 C   85,445  -17,747   139.00 P   21,229   +2,362

SEP'20 10Y NOTE  138.50 C   19,314     +135   138.50 P   33,726     +500

SEP'20 10Y NOTE  139.00 C   38,443     -502   139.00 P   34,861     +399

JUL'20 5Y NOTE   125.25 C   15,689     -336   125.25 P   27,345     -528

JUL'20 5Y NOTE   125.50 C   18,470     -795   125.50 P    9,464     -345

SEP'20 5Y NOTE   125.25 C   11,573     UNCH   125.25 P   10,921   +1,446

SEP'20 5Y NOTE   125.50 C   20,975   +1,439   125.50 P   12,696   +1,740

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     UNCH

JUL'20 EURODLR    99.62 C  164,335     UNCH    99.62 P  134,506       -1

JUL'20 EURODLR    99.75 C  159,338     -200    99.75 P   78,061     UNCH

SEP'20 EURODLR    99.62 C  248,597     +300    99.62 P  234,741       +1

SEP'20 EURODLR    99.75 C  432,405      +22    99.75 P   46,871     UNCH

SEP'21 1Y-MIDC    99.75 C  145,705     UNCH    99.75 P   57,797     UNCH

SEP'21 1Y-MIDC    99.88 C  107,874   +1,100    99.88 P   30,360     UNCH

SEP'22 2Y-MIDC    99.62 C   54,180     UNCH    99.62 P   61,631     UNCH

SEP'22 2Y-MIDC    99.75 C  118,366   -1,425    99.75 P   42,857     -682

SEP'23 3Y-MIDC    99.50 C   30,058     UNCH    99.50 P   35,093     +891

SEP'23 3Y-MIDC    99.62 C   47,836     UNCH    99.62 P   18,791     -500

PUT/CALL RATIO FOR VOLUME CLEARED:

JUL'20 10Y NOTE PUT/CALL RATIO   -- 0.62 (55,578 PUTS VS. 88,681 CALLS)

SEP'20 10Y NOTE PUT/CALL RATIO   -- 3.29 (56,321 PUTS VS. 17,896 CALLS)

JUL'20 5Y NOTE PUT/CALL RATIO    -- 0.47 (2,872 PUTS VS. 5,901 CALLS)

SEP'20 5Y NOTE PUT/CALL RATIO    -- 4.89 (31,332 PUTS VS. 6,434 CALLS)

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

SEP'20 2Y NOTE PUT/CALL RATIO    -- 0.02 (11 PUTS VS. 506 CALLS)

JUL'20 EURODLRS PUT/CALL RATIO   -- 0.52 (2,702 PUTS VS. 5,200 CALLS)

SEP'20 EURODLRS PUT/CALL RATIO   -- 0.11 (8,547 PUTS VS. 75,681 CALLS)

SEP'21 1Y-MIDCRVE PUT/CALL RATIO -- 1.03 (6,066 PUTS VS. 5,812 CALLS)

SEP'22 2Y-MIDCRVE PUT/CALL RATIO -- 4.83 (29,700 PUTS VS. 6,732 CALLS)

SEP'23 3Y-MIDCRVE PUT/CALL RATIO -- 0.00 (5,170 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

0945        23.32   61.79    42.01    65.95     65.67     61.95

Fri Open    23.40   62.10    42.35    66.22     65.70     62.00

Thu 1500    23.67   62.53    42.72    67.19     65.76     62.07

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

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

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