US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR MAR 10

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

             USJ    USM     TYJ    TYM     FVH    FVJ     EDH     EDJ

MON 1500    36.19% 25.55%  15.91% 11.62%  8.14%  5.77%  138.25% 150.85%

MON OPEN    35.06% 22.86%  15.41% 10.45%  8.47%  5.60%  183.85% 208.54%

FRI 1500    23.25% 16.24%  10.24% 7.47%   5.58%  3.98%  147.75% 165.25%

THU 1500    12.07% 10.48%  6.44%  5.48%   4.24%  3.29%   82.50% 137.50%

WED OPEN    11.45% 10.19%  6.19%  5.39%   4.18%  3.57%   50.85%  95.90%

TUE 1500    12.45% 10.24%  6.50%  5.44%   4.31%  3.54%   61.80%  96.00%

TUE OPEN    13.00% 10.38%  6.49%  5.35%   4.28%  3.52%   66.50%  91.34%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

APR20 10Y NOTE  132.00 C   84,423     -264   131.00 P   96,596   +2,612

JUN20 10Y NOTE  139.00 C   59,460   -1,833   129.00 P   73,977       -7

APR20 5Y NOTE   121.25 C   37,657     UNCH   119.50 P   90,862       -1

JUN20 5Y NOTE   125.00 C  200,065   +1,319   113.00 P  199,474     UNCH

APR20 2Y NOTE   109.50 C    9,858     UNCH   107.50 P   23,000     UNCH

JUN20 2Y NOTE   110.00 C   22,268     UNCH   106.50 P   41,091     UNCH

MAR20 EURODLR    98.50 C  416,503   +2,323    98.00 P  395,629     UNCH

APR20 EURODLR    99.62 C  202,306  +24,589    98.25 P  238,096     UNCH

MAR21 1Y-MIDC    99.75 C  232,655   -3,684    98.38 P  162,009     UNCH

MAR22 2Y-MIDC    98.25 C   63,219     UNCH    98.25 P   98,983     UNCH

MAR23 3Y-MIDC    98.12 C   52,969     UNCH    98.12 P   38,842     UNCH

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

APR20 10Y NOTE  137.00 C   29,406      +45   137.00 P    4,814   +2,812

APR20 10Y NOTE  137.50 C   21,735     -268   137.50 P    6,019     +985

JUN20 10Y NOTE  137.00 C   23,526   -6,159   137.00 P    3,128   +2,249

JUN20 10Y NOTE  137.50 C   15,067      +65   137.50 P    9,556   +2,722

APR20 5Y NOTE   124.00 C    7,547   +1,389   124.00 P    1,814   +1,461

APR20 5Y NOTE   124.25 C    3,308     UNCH   124.25 P    2,248     +119

JUN20 5Y NOTE   124.00 C   51,328     UNCH   124.00 P   45,978     -126

JUN20 5Y NOTE   124.25 C   13,639     UNCH   124.25 P    7,978   +2,103

APR20 2Y NOTE   109.50 C    9,858     UNCH   109.50 P      906       -1

APR20 2Y NOTE   109.62 C      554     UNCH   109.62 P      150      +50

JUN20 2Y NOTE   109.50 C   10,002     UNCH   109.50 P    2,970     -800

JUN20 2Y NOTE   109.62 C      206     UNCH   109.62 P    1,615     UNCH

MAR20 EURODLR    99.00 C  176,306     +499    99.00 P   81,318   +4,516

MAR20 EURODLR    99.12 C  199,470  -16,068    99.12 P   20,203  +17,072

APR20 EURODLR    99.25 C  151,782     -482    99.00 P   70,958   -1,005

APR20 EURODLR    99.38 C  145,499  +10,653    99.12 P   25,166     UNCH

MAR21 1Y-MIDC    99.38 C   47,006   -4,500    99.38 P  162,009     UNCH

MAR21 1Y-MIDC    99.50 C   60,296     UNCH    99.50 P  161,397     UNCH

MAR22 2Y-MIDC    99.25 C    6,263     UNCH    99.25 P    2,455     UNCH

MAR22 2Y-MIDC    99.38 C   11,048     -250    99.38 P    3,700     +500

MAR23 3Y-MIDC    99.12 C    5,104     UNCH    99.12 P      454     UNCH

MAR23 3Y-MIDC    99.25 C    2,317     UNCH    99.25 P        0     UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

APR20 10Y NOTE PUT/CALL RATIO   -- 0.65 (108,641 PUTS VS. 165,646 CALLS)

JUN20 10Y NOTE PUT/CALL RATIO   -- 1.15 (156,093 PUTS VS. 135,097 CALLS)

APR20 5Y NOTE PUT/CALL RATIO    -- 0.33 (24,399 PUTS VS. 72,771 CALLS)

JUN20 5Y NOTE PUT/CALL RATIO    -- 0.74 (56,770 PUTS VS. 75,005 CALLS)

APR20 2Y NOTE PUT/CALL RATIO    -- 1.68 (6,404 PUTS VS. 3,871 CALLS)

JUN20 2Y NOTE PUT/CALL RATIO    -- 1.78 (25,568 PUTS VS. 14,291 CALLS)

MAR20 EURODLRS PUT/CALL RATIO   -- 0.12 (66,620 PUTS VS. 543,452 CALLS)

APR20 EURODLRS PUT/CALL RATIO   -- 0.04 (21,749 PUTS VS. 486,757 CALLS)

MAR21 1Y-MIDCRVE PUT/CALL RATIO -- 0.01 (850 PUTS VS. 49,816 CALLS)

MAR22 2Y-MIDCRVE PUT/CALL RATIO -- 0.09 (500 PUTS VS. 5,728 CALLS)

MAR23 3Y-MIDCRVE PUT/CALL RATIO -- 0.00 (0 PUTS VS. 0 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    80.32   157.31   109.93   130.90    69.77     63.01

Mon Open    89.26   141.21   109.24   115.31    72.61     63.59

Fri 1500    76.64   117.62    96.54    99.22    68.18     62.89

Thu 1500    79.66   99.03     84.82    85.77    66.60     62.51

Wed Open    77.64   91.99     80.57    80.77    66.03     62.51

Tue 1500    81.61   99.67     83.43    80.97    66.11     63.89

Tue Open    80.85   100.66    85.23    83.03    66.04     64.59

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

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