US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR MAR 11

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

             USJ    USM     TYJ    TYM     FVH    FVJ     EDH     EDJ

1200        25.65% 19.77%  10.54% 8.78%   5.64%  4.49%  107.50% 166.50%

WED OPEN    24.72% 19.80%  10.47% 8.95%   5.80%  4.58%  101.35% 163.15%

TUE 1500    27.07% 20.33%  11.88% 9.47%   7.11%  5.04%  123.50% 144.25%

TUE OPEN    25.75% 20.01%  11.10% 10.20%  6.75%  5.05%  112.40% 142.75%

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

APR20 10Y NOTE  132.00 C   84,058     -365   131.00 P   92,194   -4,402

JUN20 10Y NOTE  139.00 C   60,541   +1,081   134.00 P   77,293   +2,203

APR20 5Y NOTE   121.25 C   37,653       -4   119.50 P   91,262     +400

JUN20 5Y NOTE   126.25 C  205,970   +9,510   113.00 P  199,497      +23

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

JUN20 2Y NOTE   110.00 C   22,260       -8   106.50 P   41,126      +35

MAR20 EURODLR    98.50 C  412,403     UNCH    98.00 P  395,629     UNCH

APR20 EURODLR    99.62 C  237,434  +35,128    98.25 P  238,096     UNCH

MAR21 1Y-MIDC    99.75 C  232,755     +100    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  137.50 C   25,867   +4,132   137.50 P   12,651   +6,632

APR20 10Y NOTE  138.00 C   45,441   -4,239   138.00 P    7,738     +364

JUN20 10Y NOTE  137.50 C   15,546     +479   137.50 P   10,630   +1,074

JUN20 10Y NOTE  138.00 C   54,088     +430   138.00 P    6,442   +3,115

APR20 5Y NOTE   124.25 C    3,408     +100   124.25 P    3,620   +1,372

APR20 5Y NOTE   124.50 C   13,471   +2,231   124.50 P    4,147     UNCH

JUN20 5Y NOTE   124.25 C   13,631       -8   124.25 P    7,970       -8

JUN20 5Y NOTE   124.50 C    8,198     +767   124.50 P    5,025   +1,333

APR20 2Y NOTE   109.88 C      303       +1   109.88 P       70     UNCH

APR20 2Y NOTE   110.00 C      778      +57   110.00 P        6       -1

JUN20 2Y NOTE   109.88 C      170     UNCH   109.88 P      100     UNCH

JUN20 2Y NOTE   110.00 C   22,260       -8   110.00 P      108       +8

MAR20 EURODLR    99.12 C  196,252   -3,218    99.12 P   25,365   +5,162

MAR20 EURODLR    99.25 C  229,062     -615    99.25 P    4,451   +1,376

APR20 EURODLR    99.38 C  145,499     UNCH    99.38 P    6,548   +1,621

APR20 EURODLR    99.50 C  132,758   -6,906    99.50 P    3,671   +1,100

MAR21 1Y-MIDC    99.50 C   54,278   -6,018    99.50 P  161,397     UNCH

MAR21 1Y-MIDC    99.62 C   24,118     UNCH    99.62 P  143,762     UNCH

MAR22 2Y-MIDC    99.38 C    9,070   -1,978    99.38 P    3,700     UNCH

MAR22 2Y-MIDC    99.50 C   11,414     UNCH    99.50 P        0     UNCH

MAR23 3Y-MIDC    99.12 C    5,104     UNCH    99.12 P      954     +500

MAR23 3Y-MIDC    99.25 C    2,317     UNCH    99.25 P    1,550   +1,550

PUT/CALL RATIO FOR VOLUME CLEARED:

APR20 10Y NOTE PUT/CALL RATIO   -- 0.93 (160,752 PUTS VS. 172,292 CALLS)

JUN20 10Y NOTE PUT/CALL RATIO   -- 1.15 (112,734 PUTS VS. 97,095 CALLS)

APR20 5Y NOTE PUT/CALL RATIO    -- 0.44 (23,288 PUTS VS. 52,753 CALLS)

JUN20 5Y NOTE PUT/CALL RATIO    -- 0.34 (35,872 PUTS VS. 102,717 CALLS)

APR20 2Y NOTE PUT/CALL RATIO    -- 2.34 (759 PUTS VS. 324 CALLS)

JUN20 2Y NOTE PUT/CALL RATIO    -- 0.20 (4,686 PUTS VS. 22,500 CALLS)

MAR20 EURODLRS PUT/CALL RATIO   -- 0.25 (52,093 PUTS VS. 206,260 CALLS)

APR20 EURODLRS PUT/CALL RATIO   -- 0.58 (137,054 PUTS VS. 236,134 CALLS)

MAR21 1Y-MIDCRVE PUT/CALL RATIO -- 4.35 (74,950 PUTS VS. 17,112 CALLS)

MAR22 2Y-MIDCRVE PUT/CALL RATIO -- 0.09 (232 PUTS VS. 2,435 CALLS)

MAR23 3Y-MIDCRVE PUT/CALL RATIO -- 0.52 (2,050 PUTS VS. 3,800 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        67.10   141.53    94.11   115.57    73.77     64.45

Wed Open    65.85   138.72    92.50   115.21    71.66     64.21

Tue 1500    65.46   139.89    92.57   114.32    70.65     63.89

Tue Open    78.65   158.45   105.20   126.55    69.61     63.05

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

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

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