US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR MAR 9

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

             USJ    USM     TYJ    TYM     FVH    FVJ     EDH     EDJ

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%

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

APR20 10Y NOTE  132.00 C   84,687       -2   131.00 P   93,984       -2

JUN20 10Y NOTE  138.00 C   64,104  +17,866   129.00 P   73,984      -82

APR20 5Y NOTE   121.25 C   37,657      -52   119.50 P   90,863       -1

JUN20 5Y NOTE   125.00 C  198,746   -2,159   113.00 P  199,474     UNCH

APR20 2Y NOTE   109.50 C    9,858     +172   107.50 P   23,000     UNCH

JUN20 2Y NOTE   110.00 C   22,268   +1,149   106.50 P   41,091     UNCH

MAR20 EURODLR    98.50 C  416,503   +2,323    98.00 P  395,629   -1,315

APR20 EURODLR    99.50 C  204,362  -25,839    98.25 P  238,096     UNCH

MAR21 1Y-MIDC    99.75 C  236,339     +605    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   29,361   -2,074   137.00 P    2,002   +1,974

APR20 10Y NOTE  137.50 C   22,003     -956   137.50 P    5,034   +4,673

JUN20 10Y NOTE  137.00 C   29,685   +3,100   137.00 P      879     +656

JUN20 10Y NOTE  137.50 C   15,002   +2,026   137.50 P    6,834   +6,785

APR20 5Y NOTE   124.00 C    6,158      -17   124.00 P      353     +199

APR20 5Y NOTE   124.25 C    3,308   +1,278   124.25 P    2,129   +1,698

JUN20 5Y NOTE   124.00 C   51,328   +8,800   124.00 P   46,104  +45,521

JUN20 5Y NOTE   124.25 C   13,639   +8,944   124.25 P    5,875   +5,871

APR20 2Y NOTE   109.50 C    9,858     +172   109.50 P      907       +1

APR20 2Y NOTE   109.62 C      554       -1   109.62 P      130     UNCH

JUN20 2Y NOTE   109.50 C   10,002     UNCH   109.50 P    3,770   +1,889

JUN20 2Y NOTE   109.62 C      206      +25   109.62 P    1,615     UNCH

MAR20 EURODLR    99.00 C  175,807  -44,381    99.00 P   85,834  +14,943

MAR20 EURODLR    99.12 C  215,538  +65,402    99.12 P    3,131   +1,130

APR20 EURODLR    99.25 C  152,822     -482    99.00 P   71,963  +20,233

APR20 EURODLR    99.38 C  134,846  +56,804    99.12 P   25,166   +5,013

MAR21 1Y-MIDC    99.38 C   51,506  -12,208    99.38 P  162,009     UNCH

MAR21 1Y-MIDC    99.50 C   60,296  +15,643    99.50 P  161,397     UNCH

MAR22 2Y-MIDC    99.25 C    6,263     +250    99.25 P    2,455     UNCH

MAR22 2Y-MIDC    99.38 C   11,298     +175    99.38 P    3,200   +3,200

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   -- 0.42 (137,407 PUTS VS. 320,192 CALLS)

JUN20 10Y NOTE PUT/CALL RATIO   -- 0.62 (166,987 PUTS VS. 264,951 CALLS)

APR20 5Y NOTE PUT/CALL RATIO    -- 0.46 (24,730 PUTS VS. 52,442 CALLS)

JUN20 5Y NOTE PUT/CALL RATIO    -- 0.86 (78,634 PUTS VS. 90,536 CALLS)

APR20 2Y NOTE PUT/CALL RATIO    -- 3.48 (2,241 PUTS VS. 643 CALLS)

JUN20 2Y NOTE PUT/CALL RATIO    -- 0.62 (8,990 PUTS VS. 13,968 CALLS)

MAR20 EURODLRS PUT/CALL RATIO   -- 0.12 (156,554 PUTS VS. 1,211,839 CALLS)

APR20 EURODLRS PUT/CALL RATIO   -- 0.07 (70,340 PUTS VS. 895,068 CALLS)

MAR21 1Y-MIDCRVE PUT/CALL RATIO -- 0.47 (39,605 PUTS VS. 82,166 CALLS)

MAR22 2Y-MIDCRVE PUT/CALL RATIO -- 2.24 (13,700 PUTS VS. 6,100 CALLS)

MAR23 3Y-MIDCRVE PUT/CALL RATIO -- 0.31 (1,930 PUTS VS. 6,000 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 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

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    87.34    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$]