US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JUNE 8

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

              USN    USU     TYN    TYU     FVN    FVU     EDM     EDN

1200        10.87%  9.84%   4.85%  4.34%   2.52%  2.18%    N/A    80.55%

1000        10.95%  9.99%   4.86%  4.36%   2.55%  2.18%    N/A    83.20%

MON OPEN    11.10% 10.07%   4.87%  4.38%   2.57%  2.18%    N/A    86.70%

FRI 1500    10.36% 10.04%   4.30%  4.32%   2.25%  2.14%    N/A    90.30%

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  139.50 C   62,363   -1,029   138.00 P   70,472   -3,149

SEP'20 10Y NOTE  139.00 C   31,409   +1,327   136.00 P   33,891   +1,635

JUL'20 5Y NOTE   126.50 C   44,935   +2,998   113.00 P   89,767       -1

SEP'20 5Y NOTE   127.00 C   32,435   -1,000   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   110.50 C    2,373   +2,360   110.00 P    3,311     UNCH

JUN'20 EURODLR    99.50 C  406,641     -225    98.25 P  619,337     UNCH

JUL'20 EURODLR    99.62 C  169,870       +1    99.50 P  208,101     +366

JUN'21 1Y-MIDC    99.75 C  114,686   -5,806    98.50 P  201,925     UNCH

JUN'22 2Y-MIDC    99.62 C   86,145   +1,390    99.37 P  104,686   -6,000

JUN'23 3Y-MIDC    99.62 C   37,908  -19,340    99.25 P   32,305   +3,766

NEAREST ATM:      STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

JUL'20 10Y NOTE  137.00 C    5,461   +5,363   137.00 P   61,673   -4,389

JUL'20 10Y NOTE  137.50 C    3,629   +3,374   137.50 P   46,206   -6,065

SEP'20 10Y NOTE  137.00 C   14,668  +14,186   137.00 P   23,783   +4,415

SEP'20 10Y NOTE  137.50 C    3,940   +3,245   137.50 P   10,704   +1,645

JUL'20 5Y NOTE   124.75 C    1,614   +1,264   124.75 P   10,679   -1,370

JUL'20 5Y NOTE   125.00 C   11,672   +9,660   125.00 P   21,849   -5,657

SEP'20 5Y NOTE   124.75 C    1,048     +327   124.75 P    4,197     +336

SEP'20 5Y NOTE   125.00 C    3,378   +1,341   125.00 P    4,659     +536

JUL'20 2Y NOTE   110.25 C        6     UNCH   110.25 P    3,704       -4

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

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  283,817     +700    99.62 P  247,516     UNCH

JUN'20 EURODLR    99.75 C  289,816     +200    99.75 P    7,811     UNCH

JUL'20 EURODLR    99.62 C  169,870       +1    99.62 P  127,475   -2,634

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

JUN'21 1Y-MIDC    99.75 C  114,686   -5,806    99.75 P   33,633     -322

JUN'21 1Y-MIDC    99.88 C   33,151     UNCH    99.88 P    4,425     UNCH

JUN'22 2Y-MIDC    99.75 C   55,162  -19,152    99.75 P   68,298     -500

JUN'22 2Y-MIDC    99.88 C   22,011     +200    99.88 P        0     UNCH

JUN'23 3Y-MIDC    99.38 C   31,898     -400    99.38 P   22,635   +4,822

JUN'23 3Y-MIDC    99.50 C   14,496     -256    99.50 P   18,341     -250

PUT/CALL RATIO FOR VOLUME CLEARED:

JUL'20 10Y NOTE PUT/CALL RATIO   -- 2.69 (412,570 PUTS VS. 153,612 CALLS)

SEP'20 10Y NOTE PUT/CALL RATIO   -- 0.86 (96,737 PUTS VS. 111,916 CALLS)

JUL'20 5Y NOTE PUT/CALL RATIO    -- 0.91 (64,129 PUTS VS. 70,915 CALLS)

SEP'20 5Y NOTE PUT/CALL RATIO    -- 0.54 (36,844 PUTS VS. 66,752 CALLS)

JUL'20 2Y NOTE PUT/CALL RATIO    -- 0.39 (156 PUTS VS. 391 CALLS)

SEP'20 2Y NOTE PUT/CALL RATIO    -- 0.02 (50 PUTS VS. 2,391 CALLS)

JUN'20 EURODLRS PUT/CALL RATIO   -- 0.00 (0 PUTS VS. 1,664 CALLS)

JUL'20 EURODLRS PUT/CALL RATIO   -- 1577.0 (4,732 PUTS VS. 3 CALLS)

JUN'21 1Y-MIDCRVE PUT/CALL RATIO -- 1.29 (13,013 PUTS VS. 10,489 CALLS)

JUN'22 2Y-MIDCRVE PUT/CALL RATIO -- 1.86 (99,117 PUTS VS. 53,364 CALLS)

JUN'23 3Y-MIDCRVE PUT/CALL RATIO -- 0.38 (30,662 PUTS VS. 78,427 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

1200        29.67   74.60    49.16    69.27     64.98     61.24

1000        29.99   74.11    49.20    69.88     65.30     61.35

Mon Open    30.37   73.85    49.71    70.23     65.73     61.60

Fri 1500    30.27   72.96    49.61    69.99     65.93     61.72

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$]