US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JUNE 9

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

              USN    USU     TYN    TYU     FVN    FVU     EDM     EDN

TUE 1500    11.15% 10.24%   5.13%  4.47%   2.43%  2.06%    N/A    96.85%

1200        10.80% 10.11%   4.99%  4.39%   2.39%  2.08%    N/A    95.77%

1000        10.47% 10.01%   4.67%  4.36%   2.37%  2.08%    N/A    95.20%

TUE OPEN    10.12%  9.83%   4.63%  4.34%   2.33%  2.08%    N/A    93.15%

MON 1500    10.87%  9.85%   4.42%  4.31%   2.44%  2.10%    N/A    85.00%

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%

LARGEST O/I:      STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

JUL'20 10Y NOTE  139.50 C   63,547   +1,184   138.00 P   68,974   -1,498

SEP'20 10Y NOTE  139.00 C   30,838     -453   136.00 P   33,866      -25

JUL'20 5Y NOTE   126.50 C   43,865      -70   113.00 P   89,767     UNCH

SEP'20 5Y NOTE   127.00 C   42,584  +10,149   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    2,375       +2   110.00 P    3,311     UNCH

JUN'20 EURODLR    99.50 C  405,121   -1,520    98.25 P  619,337     UNCH

JUL'20 EURODLR    99.62 C  170,220     +350    99.50 P  208,099       -2

JUN'21 1Y-MIDC    99.75 C  109,656   -5,030    98.50 P  201,925     UNCH

JUN'22 2Y-MIDC    99.62 C   86,345     +200    99.37 P  104,686     UNCH

JUN'23 3Y-MIDC    99.62 C   37,833      -75    99.25 P   32,555     +250

NEAREST ATM:      STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

JUL'20 10Y NOTE  137.50 C    5,934   +2,314   137.50 P   45,736     -470

JUL'20 10Y NOTE  138.00 C   13,009     +645   138.00 P   68,974   -1,498

SEP'20 10Y NOTE  137.50 C    4,238     +298   137.50 P   11,122     +418

SEP'20 10Y NOTE  138.00 C    7,821   +1,571   138.00 P   14,639      +51

JUL'20 5Y NOTE   124.75 C    1,940     +326   124.75 P   11,791   +1,112

JUL'20 5Y NOTE   125.00 C   12,322     +650   125.00 P   17,726   -4,123

SEP'20 5Y NOTE   124.75 C    1,135      +87   124.75 P    4,666     +136

SEP'20 5Y NOTE   125.00 C    4,270     +892   125.00 P    5,659   +1,000

JUL'20 2Y NOTE   110.25 C        6     UNCH   110.25 P    3,702     UNCH

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  281,806   -2,011    99.62 P  247,516     UNCH

JUN'20 EURODLR    99.75 C  289,822       +6    99.75 P    7,810       -1

JUL'20 EURODLR    99.62 C  170,220     +350    99.62 P  127,882     +407

JUL'20 EURODLR    99.75 C  153,826     -100    99.75 P   78,244     UNCH

JUN'21 1Y-MIDC    99.75 C  109,656   -5,030    99.75 P   33,905     +272

JUN'21 1Y-MIDC    99.88 C   31,151   -2,000    99.88 P    4,425     UNCH

JUN'22 2Y-MIDC    99.75 C   54,137      -25    99.75 P   67,548      +50

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

JUN'23 3Y-MIDC    99.38 C   31,898     -400    99.38 P   27,034   +4,399

JUN'23 3Y-MIDC    99.50 C   26,609  +12,113    99.50 P   16,266   -2,075

PUT/CALL RATIO FOR VOLUME CLEARED:

JUL'20 10Y NOTE PUT/CALL RATIO   -- 3.01 (168,988 PUTS VS. 56,728 CALLS)

SEP'20 10Y NOTE PUT/CALL RATIO   -- 0.91 (20,017 PUTS VS. 22,950 CALLS)

JUL'20 5Y NOTE PUT/CALL RATIO    -- 0.43 (23,989 PUTS VS. 53,806 CALLS)

SEP'20 5Y NOTE PUT/CALL RATIO    -- 0.09 (9,162 PUTS VS. 99,954 CALLS)

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

SEP'20 2Y NOTE PUT/CALL RATIO    -- 0.00 (0 PUTS VS. 4 CALLS)

JUN'20 EURODLRS PUT/CALL RATIO   -- 0.00 (3 PUTS VS. 12,106 CALLS)

JUL'20 EURODLRS PUT/CALL RATIO   -- 0.57 (3,657 PUTS VS. 6,353 CALLS)

JUN'21 1Y-MIDCRVE PUT/CALL RATIO -- 0.02 (1,067 PUTS VS. 41,686 CALLS)

JUN'22 2Y-MIDCRVE PUT/CALL RATIO -- 10.2 (19,445 PUTS VS. 1,973 CALLS)

JUN'23 3Y-MIDCRVE PUT/CALL RATIO -- 1.15 (22,500 PUTS VS. 19,823 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

Tue 1500    29.84   74.45    49.34    69.29     65.52     61.95

1200        29.80   74.43    49.27    69.12     65.48     61.60

1000        29.78   74.41    49.04    69.06     65.40     61.45

Tue Open    29.74   74.48    49.17    69.29     65.49     61.46

Mon 1500    29.87   73.42    48.98    69.20     65.27     61.47

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

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

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