US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR MAR 2

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

             USJ    USM     TYJ    TYM     FVH    FVJ     EDH     EDJ

MON 1500    14.04% 11.08%  7.23%  5.77%   4.82%  3.79%   84.50% 104.35%

1345        13.84% 10.93%  7.05%  5.68%   4.73%  3.75%   80.20% 104.38%

1200        13.88% 10.88%  7.06%  5.66%   4.72%  3.71%   86.00% 108.15%

1045        14.88% 11.53%  7.65%  6.06%   5.13%  3.98%   82.50% 109.40%

0900        14.88% 11.53%  7.65%  6.06%   5.13%  3.98%   84.84% 109.40%

MON OPEN    15.80% 12.21%  8.15%  6.45%   5.55%  4.31%   81.00% 110.67%

FRI 1500    14.55% 11.64%  7.40%  6.20%   5.03%  4.11%   72.55% 101.17%

FRI OPEN    13.77% 11.05%  7.10%  6.05%   4.55%  3.90%   55.80%  80.05%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

APR20 10Y NOTE  132.00 C   88,165     -910   131.00 P  106,149   +6,124

JUN20 10Y NOTE  134.00 C   55,598     -188   129.00 P   73,286     -129

APR20 5Y NOTE   121.25 C   37,681   -1,135   119.50 P   90,877     +207

JUN20 5Y NOTE   123.50 C   42,491     -401   113.00 P  199,474     +595

APR20 2Y NOTE   109.25 C    6,600   +3,600   107.50 P   23,000     UNCH

JUN20 2Y NOTE   111.00 C    5,524     UNCH   106.50 P   41,091     UNCH

MAR20 EURODLR    99.00 C  476,208  +24,044    98.00 P  396,944     UNCH

APR20 EURODLR    98.88 C  249,607  -13,667    98.25 P  247,765     UNCH

MAR21 1Y-MIDC    99.75 C  233,416   -2,131    98.37 P  162,011     UNCH

MAR22 2Y-MIDC    98.25 C   70,733     UNCH    98.25 P   98,983     UNCH

MAR23 3Y-MIDC    98.12 C   52,969     UNCH    98.25 P   38,842     UNCH

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

APR20 10Y NOTE  135.00 C   34,144     +693   135.00 P      719     +437

APR20 10Y NOTE  135.50 C   27,791  +10,320   135.50 P       96      +83

JUN20 10Y NOTE  135.00 C   23,463     +359   135.00 P    2,229   +1,297

JUN20 10Y NOTE  135.50 C    5,934     +825   135.50 P       35     UNCH

APR20 5Y NOTE   123.00 C    8,086      +13   123.00 P       40      +33

APR20 5Y NOTE   123.25 C   10,024   +8,860   123.25 P        2       +1

JUN20 5Y NOTE   123.00 C    3,675     +620   123.00 P        6     UNCH

JUN20 5Y NOTE   123.25 C   12,061      +60   123.25 P        3     UNCH

APR20 2Y NOTE   109.38 C    2,067   +1,720   109.38 P        0     UNCH

APR20 2Y NOTE   109.50 C    3,517   +2,616   109.50 P        1       +1

JUN20 2Y NOTE   109.38 C      367     +201   109.38 P        0     UNCH

JUN20 2Y NOTE   109.50 C      855     +234   109.50 P        0     UNCH

MAR20 EURODLR    98.62 C  330,205  -75,884    98.62 P   23,480  +16,184

MAR20 EURODLR    98.75 C  303,024   +7,855    98.75 P   17,425     UNCH

APR20 EURODLR    99.00 C  224,273  -13,909    99.00 P    2,791   +2,791

APR20 EURODLR    99.12 C   83,744   +5,103    99.12 P        1     UNCH

MAR21 1Y-MIDC    99.12 C   91,714   +3,372    99.12 P   14,462  +13,338

MAR21 1Y-MIDC    99.25 C  170,960  -14,432    99.25 P    2,400   +2,400

MAR22 2Y-MIDC    99.12 C    8,407     UNCH    99.12 P      631     +481

MAR22 2Y-MIDC    99.25 C    7,079     +323    99.25 P        0     UNCH

MAR23 3Y-MIDC    99.00 C   50,016   +2,217    99.00 P       21      +21

MAR23 3Y-MIDC    99.12 C    1,005      -10    99.12 P        0     UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

APR20 10Y NOTE PUT/CALL RATIO   -- 0.71 (325,549 PUTS VS. 458,102 CALLS)

JUN20 10Y NOTE PUT/CALL RATIO   -- 1.03 (138,322 PUTS VS. 133,112 CALLS)

APR20 5Y NOTE PUT/CALL RATIO    -- 0.68 (85,411 PUTS VS. 124,369 CALLS)

JUN20 5Y NOTE PUT/CALL RATIO    -- 0.82 (52,846 PUTS VS. 63,088 CALLS)

APR20 2Y NOTE PUT/CALL RATIO    -- 0.72 (21,845 PUTS VS. 29,518 CALLS)

JUN20 2Y NOTE PUT/CALL RATIO    -- 0.91 (6,609 PUTS VS. 7,224 CALLS)

MAR20 EURODLRS PUT/CALL RATIO   -- 0.03 (83,353 PUTS VS. 2,296,727 CALLS)

APR20 EURODLRS PUT/CALL RATIO   -- 0.28 (138,035 PUTS VS. 477,709 CALLS)

MAR21 1Y-MIDCRVE PUT/CALL RATIO -- 0.42 (95,582 PUTS VS. 227,173 CALLS)

MAR22 2Y-MIDCRVE PUT/CALL RATIO -- 0.70 (1,911 PUTS VS. 2,694 CALLS)

MAR23 3Y-MIDCRVE PUT/CALL RATIO -- 0.08 (2,574 PUTS VS. 29,370 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    82.99   110.43    87.38    84.65    65.97     64.66

1345        83.61   105.70    88.36    85.16    66.12     64.81

1200        85.63   106.62    89.04    85.42    66.04     64.85

1045        85.67   107.26    88.75    85.80    65.99     64.86

0900        87.09   112.84    94.61    90.47    66.56     64.84

Mon Open    88.31   113.46    92.49    90.02    66.41     65.02

Fri 1500    90.71   107.22    93.49    88.79    66.09     64.90

Fri Open    89.55   101.77    88.37    84.34    65.63     64.65

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

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