US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR MAR 3

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

             USJ    USM     TYJ    TYM     FVH    FVJ     EDH     EDJ

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

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

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   90,182   +2,017   131.00 P   96,012  -10,137

JUN20 10Y NOTE  134.00 C   55,490     -108   129.00 P   73,471     +185

APR20 5Y NOTE   121.25 C   37,683       +2   119.50 P   90,877     UNCH

JUN20 5Y NOTE   123.50 C   54,159  +11,668   113.00 P  199,474     UNCH

APR20 2Y NOTE   109.50 C    8,966   +5,449   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  479,566   +3,358    98.00 P  396,944     UNCH

APR20 EURODLR    98.88 C  249,361       +4    98.25 P  247,765     UNCH

MAR21 1Y-MIDC    99.75 C  232,993     -124    98.37 P  162,009       -2

MAR22 2Y-MIDC    98.25 C   68,933   -1,800    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   30,001   -2,143   135.00 P   18,503  +17,784

APR20 10Y NOTE  135.50 C   20,793   -6,998   135.50 P    1,481   +1,385

JUN20 10Y NOTE  135.00 C   24,026     +563   135.00 P    6,275   +4,046

JUN20 10Y NOTE  135.50 C   11,946   +6,012   135.50 P    7,272   +7,237

APR20 5Y NOTE   123.00 C   12,147   +4,061   123.00 P    4,661   +4,621

APR20 5Y NOTE   123.25 C   10,853     +829   123.25 P    1,257   +1,255

JUN20 5Y NOTE   123.00 C    5,968   +2,293   123.00 P    2,444   +2,438

JUN20 5Y NOTE   123.25 C   13,136   +1,075   123.25 P    1,213   +1,210

APR20 2Y NOTE   109.38 C    2,517     +450   109.38 P      102     +102

APR20 2Y NOTE   109.50 C    8,966   +5,449   109.50 P       44      +43

JUN20 2Y NOTE   109.38 C      467     +100   109.38 P        6       +6

JUN20 2Y NOTE   109.50 C      851       -4   109.50 P        0     UNCH

MAR20 EURODLR    98.62 C  260,382  -19,823    98.62 P   36,601  +13,121

MAR20 EURODLR    98.75 C  260,068  -39,956    98.75 P   12,123   -5,302

APR20 EURODLR    99.00 C  221,148     -875    99.00 P    3,612     +821

APR20 EURODLR    99.12 C   96,212  +12,468    99.12 P    8,282   +8,281

MAR21 1Y-MIDC    99.12 C   84,957   -6,757    99.12 P   26,006  +11,544

MAR21 1Y-MIDC    99.25 C  147,647  -23,313    99.25 P   17,145  +14,745

MAR22 2Y-MIDC    99.12 C    8,407     UNCH    99.12 P      601      -30

MAR22 2Y-MIDC    99.25 C    7,347     +268    99.25 P        0     UNCH

MAR23 3Y-MIDC    99.00 C   49,795     -221    99.00 P    2,142   +2,121

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

PUT/CALL RATIO FOR VOLUME CLEARED:

APR20 10Y NOTE PUT/CALL RATIO   -- 1.29 (378,226 PUTS VS. 292,165 CALLS)

JUN20 10Y NOTE PUT/CALL RATIO   -- 1.13 (129,581 PUTS VS. 114,972 CALLS)

APR20 5Y NOTE PUT/CALL RATIO    -- 0.58 (34,198 PUTS VS. 58,613 CALLS)

JUN20 5Y NOTE PUT/CALL RATIO    -- 0.36 (37,473 PUTS VS. 103,914 CALLS)

APR20 2Y NOTE PUT/CALL RATIO    -- 0.61 (10,131 PUTS VS. 16,664 CALLS)

JUN20 2Y NOTE PUT/CALL RATIO    -- 0.54 (2,053 PUTS VS. 3,748 CALLS)

MAR20 EURODLRS PUT/CALL RATIO   -- 0.05 (105,342 PUTS VS. 1,807,578 CALLS)

APR20 EURODLRS PUT/CALL RATIO   -- 0.18 (46,134 PUTS VS. 249,872 CALLS)

MAR21 1Y-MIDCRVE PUT/CALL RATIO -- 0.38 (65,601 PUTS VS. 168,840 CALLS)

MAR22 2Y-MIDCRVE PUT/CALL RATIO -- 0.45 (5,290 PUTS VS. 11,570 CALLS)

MAR23 3Y-MIDCRVE PUT/CALL RATIO -- 3.11 (11,223 PUTS VS. 3,628 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

Tue Open    80.85   100.66    85.23    83.03    66.04     64.59

Mon 1500    82.99   110.43    87.38    84.65    65.97     64.66

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$]