US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR MAR 12

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

             USJ    USM     TYJ    TYM     FVH    FVJ     EDH     EDJ

1200        32.31% 25.62%  13.95% 11.62%  6.93%  5.70%    N/A   203.05%

1000        34.70% 27.12%  15.20% 13.31%  8.02%  6.25%    N/A   183.50%

THU OPEN    37.05% 26.05%  16.55% 11.98%  8.86%  6.14%    N/A   188.63%

WED 1600    25.95% 19.96%  11.05% 9.07%   6.18%  4.68%    N/A   174.35%

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

APR20 10Y NOTE  131.00 C   73,445     UNCH   129.50 P   87,261     -391

JUN20 10Y NOTE  139.00 C   60,441     -100   129.00 P   75,624     -225

APR20 5Y NOTE   121.25 C   37,652       -1   119.50 P   90,862     UNCH

JUN20 5Y NOTE   126.25 C  206,070     +100   113.00 P  199,571      +74

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

JUN20 2Y NOTE   110.00 C   22,260     UNCH   106.50 P   41,126     UNCH

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

APR20 EURODLR    99.62 C  219,178  -18,256    98.25 P  238,096     UNCH

MAR21 1Y-MIDC    99.75 C  211,353  -21,402    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  138.00 C   45,412      -29   138.00 P    8,884   +1,146

APR20 10Y NOTE  138.50 C   10,349     +250   138.50 P      631     UNCH

JUN20 10Y NOTE  138.00 C   59,704   +5,739   138.00 P    8,557   +2,165

JUN20 10Y NOTE  138.50 C   42,156     +252   138.50 P    2,887      -17

APR20 5Y NOTE   124.75 C   30,037   +2,003   124.75 P    5,766     UNCH

APR20 5Y NOTE   125.00 C   18,216   +3,504   125.00 P       79     UNCH

JUN20 5Y NOTE   124.75 C   12,413     -131   124.75 P    3,559      +19

JUN20 5Y NOTE   125.00 C  202,831     +100   125.00 P    4,978     +464

APR20 2Y NOTE   110.00 C    2,603     UNCH   110.00 P        6     UNCH

APR20 2Y NOTE   110.12 C      138     UNCH   110.12 P      128       +2

JUN20 2Y NOTE   110.00 C   22,260     UNCH   110.00 P      109       +1

JUN20 2Y NOTE   110.12 C    1,614     UNCH   110.12 P        0     UNCH

MAR20 EURODLR    99.12 C  185,845  -10,407    99.12 P   25,265     -100

MAR20 EURODLR    99.25 C  221,813   -7,248    99.25 P    7,836   +3,385

APR20 EURODLR    99.38 C  142,964   -2,535    99.38 P    9,083   +2,535

APR20 EURODLR    99.50 C  110,705  -22,053    99.50 P    4,862   +1,191

MAR21 1Y-MIDC    99.50 C   52,278   -2,000    99.50 P  161,397     UNCH

MAR21 1Y-MIDC    99.62 C   20,110   -4,008    99.62 P  143,762     UNCH

MAR22 2Y-MIDC    99.38 C    8,320     -750    99.38 P    4,150     +450

MAR22 2Y-MIDC    99.50 C    6,440   -4,974    99.50 P        0     UNCH

MAR23 3Y-MIDC    99.12 C    5,104     UNCH    99.12 P    1,454     +500

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

PUT/CALL RATIO FOR VOLUME CLEARED:

APR20 10Y NOTE PUT/CALL RATIO   -- 1.09 (135,913 PUTS VS. 123,759 CALLS)

JUN20 10Y NOTE PUT/CALL RATIO   -- 1.12 (152,106 PUTS VS. 135,377 CALLS)

APR20 5Y NOTE PUT/CALL RATIO    -- 0.20 (7,965 PUTS VS. 37,886 CALLS)

JUN20 5Y NOTE PUT/CALL RATIO    -- 1.39 (46,423 PUTS VS. 33,482 CALLS)

APR20 2Y NOTE PUT/CALL RATIO    -- 4.64 (2,952 PUTS VS. 635 CALLS)

JUN20 2Y NOTE PUT/CALL RATIO    -- 0.01 (97 PUTS VS. 25,633 CALLS)

MAR20 EURODLRS PUT/CALL RATIO   -- 0.15 (35,340 PUTS VS. 233,806 CALLS)

APR20 EURODLRS PUT/CALL RATIO   -- 0.06 (23,792 PUTS VS. 343,360 CALLS)

MAR21 1Y-MIDCRVE PUT/CALL RATIO -- 0.02 (1,200 PUTS VS. 48,844 CALLS)

MAR22 2Y-MIDCRVE PUT/CALL RATIO -- 0.07 (950 PUTS VS. 12,190 CALLS)

MAR23 3Y-MIDCRVE PUT/CALL RATIO -- 0.77 (1,550 PUTS VS. 2,000 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        80.58   171.04   113.85   143.37    85.43     70.43

1000        76.89   173.57   107.86   141.15    85.55     70.23

Thu Open    71.04   168.72   107.85   132.83    82.24     68.68

Wed 1600    67.48   141.77    97.28   119.11    78.46     67.34

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

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

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