US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JUNE 3

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

              USN    USU     TYN    TYU     FVN    FVU     EDM     EDN

1230        10.68% 10.41%   4.15%  4.15%   2.03%  2.02%   83.50%  95.20%

1100        10.89% 10.58%   4.26%  4.19%   2.08%  2.07%   88.50%  88.30%

0900        10.65% 10.40%   4.02%  4.05%   1.99%  1.98%   93.35%  92.05%

WED OPEN    10.24% 10.08%   3.92%  3.96%   1.90%  1.94%   96.20%  97.75%

TUE 1500    10.03%  9.83%   3.76%  3.88%   1.84%  1.91%   90.10%  91.45%

TUE OPEN     9.80%  9.54%   3.73%  3.82%   1.87%  1.92%   94.50%  91.10%

MON 1500    10.10%  9.71%   3.80%  3.83%   1.95%  1.94%   93.20%  94.60%

MON OPEN    10.03%  9.71%   3.85%  3.88%   1.87%  1.88%   99.05%  91.20%

LARGEST O/I:      STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

JUL'20 10Y NOTE  140.00 C   69,611   +4,608   138.00 P   76,039   +2,146

SEP'20 10Y NOTE  139.00 C   27,610       -4   136.00 P   27,536     -249

JUL'20 5Y NOTE   126.50 C   43,252   -1,507   113.00 P   89,768     UNCH

SEP'20 5Y NOTE   127.25 C   36,982      -25   109.00 P   18,886     UNCH

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

SEP'20 2Y NOTE   111.00 C    2,191     UNCH   110.00 P    3,311     UNCH

JUN'20 EURODLR    99.50 C  407,066     +200    98.25 P  619,337     UNCH

JUL'20 EURODLR    99.62 C  169,868      -30    99.50 P  207,735     UNCH

JUN'21 1Y-MIDC    99.75 C  121,492     +120    98.50 P  201,925     UNCH

JUN'22 2Y-MIDC    99.50 C   85,640     UNCH    99.37 P  110,686     UNCH

JUN'23 3Y-MIDC    99.62 C   56,748     UNCH    99.25 P   28,539     UNCH

NEAREST ATM:      STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

JUL'20 10Y NOTE  138.50 C   23,781      -14   138.50 P   34,846     -261

JUL'20 10Y NOTE  139.00 C   37,011   -2,078   139.00 P   19,632     +591

SEP'20 10Y NOTE  138.50 C   10,094     UNCH   138.50 P   20,045     +750

SEP'20 10Y NOTE  139.00 C   27,610       -4   139.00 P   26,614   -1,292

JUL'20 5Y NOTE   125.50 C   14,521     +105   125.50 P   12,606     UNCH

JUL'20 5Y NOTE   125.75 C   14,500     -959   125.75 P    4,086     -150

SEP'20 5Y NOTE   125.50 C   15,616   +2,002   125.50 P    9,432   +2,389

SEP'20 5Y NOTE   125.75 C    5,609      +73   125.75 P      640      -25

JUL'20 2Y NOTE   110.25 C        6     UNCH   110.25 P    3,201     +549

JUL'20 2Y NOTE   110.38 C   11,102     UNCH   110.38 P    3,752     UNCH

SEP'20 2Y NOTE   110.12 C        1     UNCH   110.12 P       10     UNCH

SEP'20 2Y NOTE   110.25 C        4     UNCH   110.25 P    1,095     UNCH

JUN'20 EURODLR    99.62 C  281,231     -300    99.62 P  246,516     UNCH

JUN'20 EURODLR    99.75 C  289,214     -300    99.75 P    7,814       -2

JUL'20 EURODLR    99.62 C  169,868      -30    99.62 P  129,609     UNCH

JUL'20 EURODLR    99.75 C  152,232      +20    99.75 P   77,746       +2

JUN'21 1Y-MIDC    99.75 C  121,492     +120    99.75 P   33,304     +101

JUN'21 1Y-MIDC    99.88 C   35,151      -50    99.88 P    4,375      +50

JUN'22 2Y-MIDC    99.75 C   76,131     UNCH    99.75 P   68,876     UNCH

JUN'22 2Y-MIDC    99.88 C   21,506     +200    99.88 P        0     UNCH

JUN'23 3Y-MIDC    99.38 C   32,298     UNCH    99.38 P   17,813     UNCH

JUN'23 3Y-MIDC    99.50 C   14,752     UNCH    99.50 P   16,341     UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

JUL'20 10Y NOTE PUT/CALL RATIO   -- 1.58 (40,296 PUTS VS. 25,453 CALLS)

SEP'20 10Y NOTE PUT/CALL RATIO   -- 0.66 (12,672 PUTS VS. 18,116 CALLS)

JUL'20 5Y NOTE PUT/CALL RATIO    -- 0.48 (7,065 PUTS VS. 14,827 CALLS)

SEP'20 5Y NOTE PUT/CALL RATIO    -- 1.38 (11,083 PUTS VS. 8,634 CALLS)

JUL'20 2Y NOTE PUT/CALL RATIO    -- 0.00 (1,200 PUTS VS. 0 CALLS)

SEP'20 2Y NOTE PUT/CALL RATIO    -- 0.00 (0 PUTS VS. 160 CALLS)

JUN'20 EURODLRS PUT/CALL RATIO   -- 0.00 (3 PUTS VS. 2,708 CALLS)

JUL'20 EURODLRS PUT/CALL RATIO   -- 0.50 (22 PUTS VS. 50 CALLS)

JUN'21 1Y-MIDCRVE PUT/CALL RATIO -- 0.17 (201 PUTS VS. 1,154 CALLS)

JUN'22 2Y-MIDCRVE PUT/CALL RATIO -- 0.13 (1,756 PUTS VS. 12,756 CALLS)

JUN'23 3Y-MIDCRVE PUT/CALL RATIO -- 0.00 (0 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

1230        29.38   66.84    46.85    65.87     64.54     60.96

1100        29.27   66.70    46.70    65.83     64.55     60.84

0930        28.87   65.30    46.15    64.95     64.11     60.67

Wed Open    28.45   64.25    45.64    64.25     63.73     60.51

Tue 1500    28.34   63.81    45.40    63.78     63.43     60.41

Tue Open    28.55   62.23    45.87    63.14     62.86     60.06

Mon 1500    28.17   62.12    45.66    62.58     62.90     59.97

Mon Open    28.33   61.93    45.21    61.93     62.80     60.05

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

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