US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JUNE 5

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

              USN    USU     TYN    TYU     FVN    FVU     EDM     EDN

1130        10.75% 10.27%   4.55%  4.37%   2.20%  2.15%    N/A    79.80%

1000        10.95% 10.42%   4.69%  4.45%   2.18%  2.13%    N/A    85.25%

FRI OPEN    11.05% 10.39%   4.60%  4.38%   2.12%  2.08%    N/A    94.55%

THU 1500    10.93% 10.44%   4.40%  4.34%   2.09%  2.07%    N/A    87.25%

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   64,571   -2,630   138.00 P   73,621   -2,260

SEP'20 10Y NOTE  139.00 C   30,082   +1,819   136.00 P   32,256   +1,453

JUL'20 5Y NOTE   126.50 C   41,937     -386   113.00 P   89,768     UNCH

SEP'20 5Y NOTE   127.00 C   33,435   -3,304   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     UNCH    98.25 P  619,337     UNCH

JUL'20 EURODLR    99.62 C  169,869       +1    99.50 P  207,735     UNCH

JUN'21 1Y-MIDC    99.75 C  120,492     UNCH    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   57,248     +500    99.25 P   28,539     UNCH

NEAREST ATM:      STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

JUL'20 10Y NOTE  137.50 C      255      -32   137.50 P   52,271     +994

JUL'20 10Y NOTE  138.00 C    5,666   +1,125   138.00 P   73,621   -2,260

SEP'20 10Y NOTE  137.50 C      698     +600   137.50 P    9,062     -988

SEP'20 10Y NOTE  138.00 C    5,975     +105   138.00 P   14,457   +2,536

JUL'20 5Y NOTE   125.00 C    2,012     +220   125.00 P   27,506   +8,804

JUL'20 5Y NOTE   125.25 C    9,976   +1,820   125.25 P   22,936      +21

SEP'20 5Y NOTE   125.00 C    2,037   +1,026   125.00 P    4,123   +1,654

SEP'20 5Y NOTE   125.25 C    2,726      -88   125.25 P    5,509     -118

JUL'20 2Y NOTE   110.25 C        6     UNCH   110.25 P    3,706     +101

JUL'20 2Y NOTE   110.38 C   11,102     UNCH   110.38 P    3,532      -53

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

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

JUN'20 EURODLR    99.62 C  283,117     +186    99.62 P  247,516     UNCH

JUN'20 EURODLR    99.75 C  289,616     +200    99.75 P    7,811     UNCH

JUL'20 EURODLR    99.62 C  169,869       +1    99.62 P  130,109     UNCH

JUL'20 EURODLR    99.75 C  153,926      -99    99.75 P   78,244     UNCH

JUN'21 1Y-MIDC    99.75 C  120,492     UNCH    99.75 P   33,955     -100

JUN'21 1Y-MIDC    99.88 C   33,151   -2,000    99.88 P    4,425      +50

JUN'22 2Y-MIDC    99.75 C   74,314     UNCH    99.75 P   69,798   -1,488

JUN'22 2Y-MIDC    99.88 C   21,811     +100    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   18,591   +2,250

PUT/CALL RATIO FOR VOLUME CLEARED:

JUL'20 10Y NOTE PUT/CALL RATIO   -- 2.10 (158,530 PUTS VS. 75,165 CALLS)

SEP'20 10Y NOTE PUT/CALL RATIO   -- 2.43 (92,259 PUTS VS. 37,993 CALLS)

JUL'20 5Y NOTE PUT/CALL RATIO    -- 1.99 (46,855 PUTS VS. 23,516 CALLS)

SEP'20 5Y NOTE PUT/CALL RATIO    -- 1.07 (39,861 PUTS VS. 37,044 CALLS)

JUL'20 2Y NOTE PUT/CALL RATIO    -- 0.00 (335 PUTS VS. 0 CALLS)

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

JUN'20 EURODLRS PUT/CALL RATIO   -- 0.00 (0 PUTS VS. 2,678 CALLS)

JUL'20 EURODLRS PUT/CALL RATIO   -- 0.04 (380 PUTS VS. 9112 CALLS)

JUN'21 1Y-MIDCRVE PUT/CALL RATIO -- 23.3 (100 PUTS VS. 2,338 CALLS)

JUN'22 2Y-MIDCRVE PUT/CALL RATIO -- 12.3 (40,851 PUTS VS. 3,301 CALLS)

JUN'23 3Y-MIDCRVE PUT/CALL RATIO -- 3.12 (6,250 PUTS VS. 500 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

1130        29.57   73.77    49.99    70.32     66.32     62.09

1000        29.75   72.23    50.71    71.20     67.04     62.55

Fri Open    29.75   72.52    48.98    69.47     66.29     61.95

Thu 1500    29.61   70.51    49.15    69.05     65.73     61.82

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$]