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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
MON 1500    10.87%  9.85%   4.42%  4.31%   2.44%  2.10%    N/A    85.00%
1330        10.85%  9.84%   4.55%  4.32%   2.50%  2.14%    N/A    85.40%
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
Mon 1500    29.87   73.42    48.98    69.20     65.27     61.47
1330        29.77   74.59    49.14    69.20     65.02     61.30
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$]

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