US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR MAY 26

OI numbers not updated

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

             USN    USU     TYN   TYU     FVN    FVU     EDM     EDN

1345        9.03%  9.28%   3.64% 3.73%   1.92%  1.97%   68.03%  92.80%

1130        9.02%  9.27%   3.62% 3.73%   1.88%  1.95%   67.20%  95.35%

TUE OPEN    9.00%  9.33%   3.65% 3.79%   1.90%  1.98%   65.30%  97.25%

LARGEST O/I:      STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

JUL'20 10Y NOTE  139.50 C   46,658   +9,841   138.00 P   53,090   +9,621

SEP'20 10Y NOTE  141.00 C   81,282      -12   135.00 P  104,431     -630

JUL'20 5Y NOTE   126.25 C   41,919   +3,305   124.50 P   12,583   +4,374

SEP'20 5Y NOTE   126.50 C   75,713   -2,777   113.00 P  202,033     UNCH

JUL'20 2Y NOTE   110.38 C      582     +500   110.38 P    5,510     +500

SEP'20 2Y NOTE   110.25 C   65,649      +21   106.50 P   41,126     UNCH

JUN'20 EURODLR    99.50 C  413,539       -3    98.25 P  619,337     UNCH

JUL'20 EURODLR    99.62 C  163,698     UNCH    99.50 P  207,630      +73

JUN'21 1Y-MIDC    99.75 C  131,385     UNCH    98.50 P  201,925     UNCH

JUN'22 2Y-MIDC    99.62 C   85,873     UNCH    99.37 P  110,436     +200

JUN'23 3Y-MIDC    99.62 C   57,939     UNCH    98.75 P   25,810     UNCH

NEAREST ATM:      STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

JUL'20 10Y NOTE  138.50 C   18,426     +723   138.50 P   26,066     +143

JUL'20 10Y NOTE  139.00 C   27,104   +3,880   139.00 P   14,609   +1,832

SEP'20 10Y NOTE  139.00 C   56,817   -2,994   139.00 P   41,563   -1,191

SEP'20 10Y NOTE  139.50 C   51,163   -6,717   139.50 P   11,930     -781

JUL'20 5Y NOTE   125.50 C    9,818      -48   125.50 P    5,856     UNCH

JUL'20 5Y NOTE   125.75 C   12,516      +95   125.75 P    4,593     UNCH

SEP'20 5Y NOTE   125.50 C   34,608   -3,924   125.50 P   17,495   -1,162

SEP'20 5Y NOTE   125.75 C   23,123   -2,963   125.75 P    3,976       -2

JUL'20 2Y NOTE   110.25 C        6     UNCH   110.25 P    5,085     UNCH

JUL'20 2Y NOTE   110.38 C      582     +500   110.38 P    5,510     +500

SEP'20 2Y NOTE   110.12 C   39,621     UNCH   110.12 P   27,874     UNCH

SEP'20 2Y NOTE   110.25 C   65,649      +21   110.25 P    6,542     -660

JUN'20 EURODLR    99.62 C  286,811   +9,654    99.62 P  214,695   +3,650

JUN'20 EURODLR    99.75 C  342,154      +97    99.75 P    3,032     +280

JUL'20 EURODLR    99.62 C  163,698     UNCH    99.62 P  122,131   +3,260

JUL'20 EURODLR    99.75 C  152,124     +506    99.75 P   70,886   +1,808

JUN'21 1Y-MIDC    99.75 C  131,385     UNCH    99.75 P   30,826      +30

JUN'21 1Y-MIDC    99.88 C   36,315     +440    99.88 P    4,325     UNCH

JUN'22 2Y-MIDC    99.75 C   73,505     UNCH    99.75 P   49,126     -575

JUN'22 2Y-MIDC    99.88 C   16,773     +830    99.88 P        0     UNCH

JUN'23 3Y-MIDC    99.38 C   34,624   -3,362    99.38 P   19,617     +200

JUN'23 3Y-MIDC    99.50 C   16,948   -5,902    99.50 P   10,894     UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

JUL'20 10Y NOTE PUT/CALL RATIO   -- 1.17 (80,568 PUTS VS. 68,077 CALLS)

SEP'20 10Y NOTE PUT/CALL RATIO   -- 1.05 (108,960 PUTS VS. 102,264 CALLS)

JUL'20 5Y NOTE PUT/CALL RATIO    -- 0.65 (10,287 PUTS VS. 15,557 CALLS)

SEP'20 5Y NOTE PUT/CALL RATIO    -- 0.70 (24,495 PUTS VS. 34,142 CALLS)

JUL'20 2Y NOTE PUT/CALL RATIO    -- 1.00 (500 PUTS VS. 500 CALLS)

SEP'20 2Y NOTE PUT/CALL RATIO    -- 2.80 (5,667 PUTS VS. 2,032 CALLS)

JUN'20 EURODLRS PUT/CALL RATIO   -- 1.10 (22,058 PUTS VS. 20,845 CALLS)

JUL'20 EURODLRS PUT/CALL RATIO   -- 8.01 (8,883 PUTS VS. 1,161 CALLS)

JUN'21 1Y-MIDCRVE PUT/CALL RATIO -- 7.18 (7,186 PUTS VS. 1,070 CALLS)

JUN'22 2Y-MIDCRVE PUT/CALL RATIO -- 5.60 (18,492 PUTS VS. 3,350 CALLS)

JUN'23 3Y-MIDCRVE PUT/CALL RATIO -- 0.00 (600 PUTS VS. 25,380 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

1345        31.13   60.07    45.64    60.39     61.54     59.69

1130        31.71   60.07    45.57    60.47     61.56     59.80

Tue Open    32.56   60.88    46.27    61.61     61.93     59.97

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

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