US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR MAR 5

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

             USJ    USM     TYJ    TYM     FVH    FVJ     EDH     EDJ

THU 1500    12.07% 10.48%  6.44%  5.48%   4.24%  3.29%   82.50% 137.50%

1330        12.38% 10.72%  6.58%  5.65%   4.42%  3.64%   73.30% 137.48%

1145        11.75% 10.35%  6.32%  5.42%   4.23%  3.52%   73.00% 125.50%

1015        11.75% 10.38%  6.34%  5.50%   4.30%  3.56%   63.90% 103.90%

0900        11.53% 10.22%  6.25%  5.40%   4.20%  3.48%   53.25%  99.62%

WED OPEN    11.45% 10.19%  6.19%  5.39%   4.18%  3.57%   50.85%  95.90%

TUE 1500    12.45% 10.24%  6.50%  5.44%   4.31%  3.54%   61.80%  96.00%

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   84,643     -894   131.00 P   94,049   +1,564

JUN20 10Y NOTE  136.00 C   53,173   +5,205   129.00 P   74,340     +850

APR20 5Y NOTE   121.25 C   37,709     UNCH   119.50 P   90,877     UNCH

JUN20 5Y NOTE   125.00 C  130,305  +98,008   113.00 P  199,474     UNCH

APR20 2Y NOTE   109.50 C    9,094     +128   107.50 P   23,000     UNCH

JUN20 2Y NOTE   110.00 C   20,000     UNCH   106.50 P   41,091     UNCH

MAR20 EURODLR    98.50 C  418,235   -1,859    98.00 P  396,944     UNCH

APR20 EURODLR    99.62 C  207,202 +102,865    98.25 P  238,096   -9,369

MAR21 1Y-MIDC    99.75 C  235,734     +250    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    98.25 P   34,724     UNCH

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

APR20 10Y NOTE  136.00 C   37,582   -2,639   136.00 P   23,003  +12,608

APR20 10Y NOTE  136.50 C   35,841   -1,616   136.50 P    1,312     +975

JUN20 10Y NOTE  136.00 C   53,173   +5,205   136.00 P   12,862   +7,388

JUN20 10Y NOTE  136.50 C   13,038   -2,370   136.50 P      718     +428

APR20 5Y NOTE   123.50 C   12,461   +1,391   123.50 P    8,353   +6,521

APR20 5Y NOTE   123.75 C    3,222     -126   123.75 P    1,043     +978

JUN20 5Y NOTE   123.50 C   54,809     +650   123.50 P    4,700   +2,680

JUN20 5Y NOTE   123.75 C    4,106     -335   123.75 P    2,112   +1,546

APR20 2Y NOTE   109.38 C    2,572     UNCH   109.38 P      601     +450

APR20 2Y NOTE   109.50 C    9,094     +128   109.50 P      974      +79

JUN20 2Y NOTE   109.38 C      594       +1   109.38 P    2,000   +1,829

JUN20 2Y NOTE   109.50 C   10,026     UNCH   109.50 P    1,861   +1,861

MAR20 EURODLR    99.00 C  242,142  -68,281    99.00 P   30,755  +28,598

MAR20 EURODLR    99.12 C  123,476  -23,519    99.12 P    2,001   +2,000

APR20 EURODLR    99.25 C  135,563   +1,432    99.00 P   35,729  +16,658

APR20 EURODLR    99.38 C  141,506  +63,574    99.12 P    8,636     +104

MAR21 1Y-MIDC    99.38 C   84,957   -6,757    99.38 P  162,009     UNCH

MAR21 1Y-MIDC    99.50 C  147,647  -23,313    99.50 P  161,397     UNCH

MAR22 2Y-MIDC    99.25 C    6,763      -55    99.25 P      855      +43

MAR22 2Y-MIDC    99.38 C   10,623     +100    99.38 P        0     UNCH

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

MAR23 3Y-MIDC    99.25 C    2,317     -180    99.25 P        0     UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

APR20 10Y NOTE PUT/CALL RATIO   -- 0.94 (215,327 PUTS VS. 227,474 CALLS)

JUN20 10Y NOTE PUT/CALL RATIO   -- 1.46 (157,160 PUTS VS. 107,061 CALLS)

APR20 5Y NOTE PUT/CALL RATIO    -- 0.59 (29,826 PUTS VS. 49,359 CALLS)

JUN20 5Y NOTE PUT/CALL RATIO    -- 0.05 (28,577 PUTS VS. 536,692 CALLS)

APR20 2Y NOTE PUT/CALL RATIO    -- 1.73 (4,539 PUTS VS. 2,628 CALLS)

JUN20 2Y NOTE PUT/CALL RATIO    -- 0.74 (8,427 PUTS VS. 11,373 CALLS)

MAR20 EURODLRS PUT/CALL RATIO   -- 0.17 (237,649 PUTS VS. 1,348,344 CALLS)

APR20 EURODLRS PUT/CALL RATIO   -- 0.10 (81,442 PUTS VS. 766,810 CALLS)

MAR21 1Y-MIDCRVE PUT/CALL RATIO -- 1.90 (40,332 PUTS VS. 21,559 CALLS)

MAR22 2Y-MIDCRVE PUT/CALL RATIO -- 5.76 (15,055 PUTS VS. 2,655 CALLS)

MAR23 3Y-MIDCRVE PUT/CALL RATIO -- 5.50 (24,201 PUTS VS. 4,459 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

Thu 1500    79.66   99.03     84.82    85.77    66.60     62.51

1330        80.27   95.40     86.26    85.35    66.64     62.82

1145        80.05   92.41     83.99    82.79    66.39     62.78

1015        78.15   92.02     83.28    81.64    66.18     62.69

0900        77.84   92.87     81.59    80.80    66.30     62.76

Wed Open    77.64   91.99     80.57    80.77    66.03     62.51

Tue 1500    81.61   99.67     83.43    80.97    66.11     63.89

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$]