US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR MAR 6

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

             USJ    USM     TYJ    TYM     FVH    FVJ     EDH     EDJ

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%

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   84,719     +106   131.00 P   93,986      -63

JUN20 10Y NOTE  136.00 C   53,420     +247   129.00 P   74,066     -274

APR20 5Y NOTE   121.25 C   37,709     UNCH   119.50 P   90,864      -13

JUN20 5Y NOTE   125.00 C  200,905  +70,600   113.00 P  199,474     UNCH

APR20 2Y NOTE   109.50 C    9,686     +592   107.50 P   23,000     UNCH

JUN20 2Y NOTE   110.00 C   21,119   +1,119   106.50 P   41,091     UNCH

MAR20 EURODLR    98.50 C  414,180      -14    98.00 P  396,944     UNCH

APR20 EURODLR    99.50 C   23,201  +73,077    98.25 P  238,096     UNCH

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    98.12 P   38,842     UNCH

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

APR20 10Y NOTE  137.00 C   31,649   -2,639   137.00 P       28     UNCH

APR20 10Y NOTE  137.50 C   22,959   -1,616   137.50 P      361       +9

JUN20 10Y NOTE  137.00 C   26,585   +8,664   137.00 P      323      +68

JUN20 10Y NOTE  137.50 C   12,976   +1,996   137.50 P       49      +22

APR20 5Y NOTE   124.00 C    6,175   +4,716   124.00 P      154     +144

APR20 5Y NOTE   124.25 C    2,030     -299   124.25 P      431     +417

JUN20 5Y NOTE   124.00 C   42,528      +43   124.00 P      583     +578

JUN20 5Y NOTE   124.25 C    4,695   +3,343   124.25 P        4     UNCH

APR20 2Y NOTE   109.50 C    9,686     +592   109.50 P      906      +68

APR20 2Y NOTE   109.75 C      555     UNCH   109.75 P      130     UNCH

JUN20 2Y NOTE   109.50 C   10,002      -24   109.50 P    1,881      +20

JUN20 2Y NOTE   109.75 C      181      +86   109.75 P    1,615   +1,551

MAR20 EURODLR    99.00 C  220,188  -20,729    99.00 P   70,891  +40,136

MAR20 EURODLR    99.12 C  150,136  +26,660    99.12 P    2,001     UNCH

APR20 EURODLR    99.25 C  153,304  +17,741    99.00 P   51,730  +16,001

APR20 EURODLR    99.38 C   89,042  -63,464    99.12 P   24,153  +15,517

MAR21 1Y-MIDC    99.38 C   63,714   -2,860    99.38 P  162,009     UNCH

MAR21 1Y-MIDC    99.50 C   44,653   -1,088    99.50 P  161,397     UNCH

MAR22 2Y-MIDC    99.25 C    6,013     UNCH    99.25 P    2,455   +1,600

MAR22 2Y-MIDC    99.38 C   11,123     +500    99.38 P        0     UNCH

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

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

PUT/CALL RATIO FOR VOLUME CLEARED:

APR20 10Y NOTE PUT/CALL RATIO   -- 0.27 (102,299 PUTS VS. 366,564 CALLS)

JUN20 10Y NOTE PUT/CALL RATIO   -- 0.35 (116,674 PUTS VS. 323,148 CALLS)

APR20 5Y NOTE PUT/CALL RATIO    -- 0.21 (40,746 PUTS VS. 191,408 CALLS)

JUN20 5Y NOTE PUT/CALL RATIO    -- 0.05 (33,515 PUTS VS. 606,822 CALLS)

APR20 2Y NOTE PUT/CALL RATIO    -- 4.50 (11,712 PUTS VS. 2,695 CALLS)

JUN20 2Y NOTE PUT/CALL RATIO    -- 0.29 (10,188 PUTS VS. 34,259 CALLS)

MAR20 EURODLRS PUT/CALL RATIO   -- 0.23 (172,789 PUTS VS. 752,123 CALLS)

APR20 EURODLRS PUT/CALL RATIO   -- 0.30 (150,259 PUTS VS. 495,185 CALLS)

MAR21 1Y-MIDCRVE PUT/CALL RATIO -- 1.57 (24,591 PUTS VS. 15,601 CALLS)

MAR22 2Y-MIDCRVE PUT/CALL RATIO -- 8.56 (13,700 PUTS VS. 1,600 CALLS)

MAR23 3Y-MIDCRVE PUT/CALL RATIO -- 0.01 (25 PUTS VS. 630 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    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

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$]