US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR MAR 13

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

             USJ    USM     TYJ    TYM     FVH    FVJ     EDH     EDJ

FRI 1500    20.30% 18.05%  9.59%  8.93%   4.45%  4.01%    N/A   209.50%

1200        21.10% 18.20%  10.83% 9.45%   4.86%  4.20%    N/A   202.90%

1000        22.45% 18.88%  10.40% 9.30%   5.05%  4.30%    N/A   201.15%

FRI OPEN    23.45% 19.47%  10.35% 9.25%   5.34%  4.55%    N/A   197.05%

THU 1500    30.46% 24.17%  12.96% 10.81%  6.43%  5.18%    N/A   188.80%

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

APR20 10Y NOTE  131.00 C   73,405      -40   129.50 P   87,466     +205

JUN20 10Y NOTE  138.00 C   60,162     +458   130.50 P   76,908   +2,000

APR20 5Y NOTE   125.50 C   37,694   +3,135   119.50 P   90,862     UNCH

JUN20 5Y NOTE   126.25 C  206,070     UNCH   113.00 P  199,571     UNCH

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

JUN20 2Y NOTE   110.00 C   22,490     +230   106.50 P   41,126     UNCH

MAR20 EURODLR    98.50 C  350,282  -62,121    98.00 P  395,629     UNCH

APR20 EURODLR    99.62 C  227,258   +8,080    98.25 P  237,846     -250

MAR21 1Y-MIDC    99.75 C  207,701   -3,652    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   28,670      -97   137.00 P   10,880   +1,908

APR20 10Y NOTE  137.50 C   25,740     -305   137.50 P   12,472     -157

JUN20 10Y NOTE  137.00 C   23,847     +248   137.00 P    4,253     +669

JUN20 10Y NOTE  137.50 C   14,752   -1,049   137.50 P   10,109     -667

APR20 5Y NOTE   124.75 C   30,137     +100   124.75 P    6,107     +341

APR20 5Y NOTE   125.00 C   17,405     -811   125.00 P      458     +379

JUN20 5Y NOTE   124.75 C   13,415   +1,002   124.75 P    3,638      +79

JUN20 5Y NOTE   125.00 C  202,931     +100   125.00 P    4,990      +12

APR20 2Y NOTE   110.00 C    2,893     +290   110.00 P        6     UNCH

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

JUN20 2Y NOTE   110.00 C   22,490     +230   110.00 P      109     UNCH

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

MAR20 EURODLR    99.12 C  173,085  -12,760    99.12 P   25,765     +500

MAR20 EURODLR    99.25 C  176,148  -45,665    99.25 P    9,036   +1,200

APR20 EURODLR    99.38 C  142,964     UNCH    99.38 P   13,294   +4,211

APR20 EURODLR    99.50 C  117,774   +7,069    99.50 P   20,575  +15,713

MAR21 1Y-MIDC    99.50 C   52,178     -100    99.50 P  161,397     UNCH

MAR21 1Y-MIDC    99.62 C   19,709     -401    99.62 P  143,762     UNCH

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

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

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

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   -- 0.92 (79,891 PUTS VS. 85,999 CALLS)

JUN20 10Y NOTE PUT/CALL RATIO   -- 1.16 (131,778 PUTS VS. 112,487 CALLS)

APR20 5Y NOTE PUT/CALL RATIO    -- 0.88 (44,569 PUTS VS. 50,459 CALLS)

JUN20 5Y NOTE PUT/CALL RATIO    -- 1.36 (34,726 PUTS VS. 25,742 CALLS)

APR20 2Y NOTE PUT/CALL RATIO    -- 0.59 (1,637 PUTS VS. 2,718 CALLS)

JUN20 2Y NOTE PUT/CALL RATIO    -- 0.26 (710 PUTS VS. 2,640 CALLS)

MAR20 EURODLRS PUT/CALL RATIO   -- 0.09 (28,421 PUTS VS. 302,905 CALLS)

APR20 EURODLRS PUT/CALL RATIO   -- 0.82 (106,911 PUTS VS. 128,156 CALLS)

MAR21 1Y-MIDCRVE PUT/CALL RATIO -- 0.43 (6,614 PUTS VS. 15,236 CALLS)

MAR22 2Y-MIDCRVE PUT/CALL RATIO -- 0.00 (0 PUTS VS. 0 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

Fri 1500    75.37   154.53   103.47   127.69    82.62     68.24

1200        74.86   152.56   107.48   117.29    82.20     68.15

1000        75.48   157.10   109.11   118.30    82.18     68.09

Fri Open    76.57   160.90   112.34   119.59    82.17     68.06

Thu 1500    73.46   168.32   111.65   136.05    83.61     68.31

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

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

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