US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JUNE 4

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

              USN    USU     TYN    TYU     FVN    FVU     EDM     EDN

THU OPEN    10.92% 10.30%   4.33%  4.18%   2.08%  2.03%  111.10%  97.85%

WED 1500    11.11% 10.56%   4.30%  4.18%   2.10%  2.05%   95.85%  92.20%

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   67,201   -2,410   138.00 P   75,881     -158

SEP'20 10Y NOTE  139.00 C   28,263     +653   136.00 P   30,803   +3,267

JUL'20 5Y NOTE   126.50 C   42,323     -929   113.00 P   89,768     UNCH

SEP'20 5Y NOTE   127.00 C   36,739     UNCH   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  406,866     -200    98.25 P  619,337     UNCH

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

JUN'21 1Y-MIDC    99.75 C  120,492   -1,000    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   23,566     -215   138.50 P   33,981     -865

JUL'20 10Y NOTE  139.00 C   29,937   -7,074   139.00 P   18,428   -1,204

SEP'20 10Y NOTE  138.50 C   11,965   +1,871   138.50 P   20,767     +722

SEP'20 10Y NOTE  139.00 C   28,263     +653   139.00 P   26,916     +302

JUL'20 5Y NOTE   125.50 C   13,252   -1,269   125.50 P   11,937     -669

JUL'20 5Y NOTE   125.75 C   14,607     +107   125.75 P    4,088       +2

SEP'20 5Y NOTE   125.50 C   15,207     -409   125.50 P    9,382      -50

SEP'20 5Y NOTE   125.75 C    5,106     -503   125.75 P      640     UNCH

JUL'20 2Y NOTE   110.25 C        6     UNCH   110.25 P    3,605     +404

JUL'20 2Y NOTE   110.38 C   11,102     UNCH   110.38 P    3,585     -167

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

SEP'20 2Y NOTE   110.25 C        6       +2   110.25 P    1,095     UNCH

JUN'20 EURODLR    99.62 C  282,931   +1,700    99.62 P  247,516   +1,000

JUN'20 EURODLR    99.75 C  289,416     +202    99.75 P    7,811       -3

JUL'20 EURODLR    99.62 C  169,868     UNCH    99.62 P  130,109     +500

JUL'20 EURODLR    99.75 C  154,025   +1,793    99.75 P   78,244     +498

JUN'21 1Y-MIDC    99.75 C  120,492   -1,000    99.75 P   34,055     +751

JUN'21 1Y-MIDC    99.88 C   35,151     UNCH    99.88 P    4,425      +50

JUN'22 2Y-MIDC    99.75 C   74,314   -1,817    99.75 P   70,286   +1,410

JUN'22 2Y-MIDC    99.88 C   21,711     +205    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   -- 1.41 (203,165 PUTS VS. 143,074 CALLS)

SEP'20 10Y NOTE PUT/CALL RATIO   -- 0.93 (41,576 PUTS VS. 44,375 CALLS)

JUL'20 5Y NOTE PUT/CALL RATIO    -- 1.01 (36,842 PUTS VS. 35,523 CALLS)

SEP'20 5Y NOTE PUT/CALL RATIO    -- 0.50 (12,333 PUTS VS. 24,999 CALLS)

JUL'20 2Y NOTE PUT/CALL RATIO    -- 0.00 (1,737 PUTS VS. 0 CALLS)

SEP'20 2Y NOTE PUT/CALL RATIO    -- 0.00 (0 PUTS VS. 214 CALLS)

JUN'20 EURODLRS PUT/CALL RATIO   -- 1.63 (12,910 PUTS VS. 7,933 CALLS)

JUL'20 EURODLRS PUT/CALL RATIO   -- 2.66 (16,869 PUTS VS. 6,685 CALLS)

JUN'21 1Y-MIDCRVE PUT/CALL RATIO -- 1.50 (2,451 PUTS VS. 1,601 CALLS)

JUN'22 2Y-MIDCRVE PUT/CALL RATIO -- 1.54 (37,805 PUTS VS. 24,600 CALLS)

JUN'23 3Y-MIDCRVE PUT/CALL RATIO -- 1.00 (100 PUTS VS. 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

Thu Open    29.43   68.60    47.82    67.23     64.98     61.16

Wed 1500    29.56   68.27    47.31    66.73     64.88     61.04

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$]