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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
1100          N/A   9.90%    N/A   3.75%    N/A   1.67%   75.05%  72.50%
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
1100        23.16   62.01    42.04    66.05     65.72     62.01
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$]

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