US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR DEC 17

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

             USF    USH     TYF    TYH     FVF    FVH     EDF     EDH

MON 1500    7.04%  7.22%   3.67%  3.89%   2.15%  2.34%   12.30%  11.20%

MON OPEN    6.77%  7.09%   3.60%  3.83%   2.08%  2.33%   13.20%  11.70%

FRI 1500    7.01%  7.35%   3.63%  4.01%   2.17%  2.36%   20.37%   N/A

FRI OPEN    8.37%  8.07%   4.63%  4.30%   2.75%  2.62%   21.60%   N/A

THU 1500    8.37%  8.07%   4.63%  4.30%   2.75%  2.62%   21.60%   N/A

THU OPEN    8.05%  8.03%   4.29%  4.21%   2.59%  2.62%   22.65%   N/A

WED 1500    8.10%  8.15%   4.29%  4.30%   2.63%  2.64%   24.15%   N/A

WED OPEN    8.40%  8.27%   4.50%  4.37%   2.67%  2.72%   24.40%   N/A

TUE 1500    8.43%  8.32%   4.53%  4.42%   2.70%  2.75%   23.20%   N/A

TUE OPEN    8.87%  8.43%   4.83%  4.48%   2.93%  2.88%   22.95%   N/A

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

JAN20 10Y NOTE  130.00 C  162,287  -35,127   128.00 P   95,976   -3,561

MAR20 10Y NOTE  131.00 C   62,821   +2,623   117.50 P   66,948     UNCH

JAN20 5Y NOTE   119.50 C  106,161     -130   118.25 P   57,048     +773

MAR20 5Y NOTE   128.00 C   21,291     UNCH   111.00 P  250,582     UNCH

JAN20 2Y NOTE   108.00 C   11,238     UNCH   107.62 P   14,526     +200

MAR20 2Y NOTE   110.37 C    7,692     UNCH   105.75 P   55,036     UNCH

JAN20 EURODLR    98.50 C  130,008     -313    98.12 P  138,395      -89

MAR20 EURODLR    99.00 C  460,823     UNCH    98.25 P  569,721   -9,927

MAR21 1Y-MIDC    99.75 C  246,914     UNCH    98.25 P   77,015     -766

MAR22 2Y-MIDC    98.25 C   78,846     UNCH    97.37 P   96,133     UNCH

MAR23 3Y-MIDC    98.12 C   53,469     UNCH    97.62 P   29,500      -50

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

JAN20 10Y NOTE  128.50 C   32,742   +1,787   128.50 P   78,836     +125

JAN20 10Y NOTE  129.00 C   47,727   +1,263   129.00 P   63,202   -5,237

MAR20 10Y NOTE  128.50 C   20,144   +1,240   128.50 P   18,617   +2,355

MAR20 10Y NOTE  129.00 C   19,742     -870   129.00 P   26,035     +256

JAN20 5Y NOTE   118.50 C   32,700   +1,000   118.50 P   32,070   +1,492

JAN20 5Y NOTE   118.75 C   22,993     +726   118.75 P   52,311     -412

MAR20 5Y NOTE   118.50 C    8,682     +205   118.50 P   16,580      -10

MAR20 5Y NOTE   118.75 C   11,999     UNCH   118.75 P   11,156       -1

JAN20 2Y NOTE   107.75 C    5,760      +78   107.75 P   10,207     UNCH

JAN20 2Y NOTE   107.88 C    6,522     UNCH   107.88 P    8,170     UNCH

MAR20 2Y NOTE   107.75 C    1,059     UNCH   107.75 P    2,720     UNCH

MAR20 2Y NOTE   107.88 C      937     UNCH   107.88 P    4,509     UNCH

JAN20 EURODLR    98.25 C   47,174   -1,396    98.25 P  108,411   -1,264

JAN20 EURODLR    98.37 C   67,341     +845    98.37 P   27,422     UNCH

MAR20 EURODLR    98.25 C  383,313   +2,463    98.25 P  569,721   -9,927

MAR20 EURODLR    98.37 C  405,755  +13,995    98.37 P  241,734     +449

MAR21 1Y-MIDC    98.37 C   72,433     UNCH    98.37 P   71,500   +1,079

MAR21 1Y-MIDC    98.50 C   61,639   -1,334    98.50 P   51,159   -1,242

MAR22 2Y-MIDC    98.37 C   29,548     +843    98.37 P   29,976     +357

MAR22 2Y-MIDC    98.50 C   35,011     UNCH    98.50 P   30,790     UNCH

MAR23 3Y-MIDC    98.37 C   10,174     UNCH    98.37 P   26,202     UNCH

MAR23 3Y-MIDC    98.50 C   49,923     UNCH    98.50 P   10,895      -48

PUT/CALL RATIO FOR VOLUME CLEARED:

JAN20 10Y NOTE PUT/CALL RATIO   -- 1.68 (233,579 PUTS VS. 138,358 CALLS)

MAR20 10Y NOTE PUT/CALL RATIO   -- 0.89 (57,794 PUTS VS. 64,713 CALLS)

JAN20 5Y NOTE PUT/CALL RATIO    -- 1.16 (21,356 PUTS VS. 18,297 CALLS)

MAR20 5Y NOTE PUT/CALL RATIO    -- 2.13 (4,972 PUTS VS. 2,389 CALLS)

JAN20 2Y NOTE PUT/CALL RATIO    -- 0.99 (1,415 PUTS VS. 1,489 CALLS)

MAR20 2Y NOTE PUT/CALL RATIO    -- 1.00 (550 PUTS VS. 550 CALLS)

JAN20 EURODLRS PUT/CALL RATIO   -- 1.16 (14,075 PUTS VS. 12,336 CALLS)

MAR20 EURODLRS PUT/CALL RATIO   -- 0.42 (45,055 PUTS VS. 105,614 CALLS)

MAR21 1Y-MIDCRVE PUT/CALL RATIO -- 0.30 (14,781 PUTS VS. 56,828 CALLS)

MAR22 2Y-MIDCRVE PUT/CALL RATIO -- 10.1 (6,157 PUTS VS. 650 CALLS)

MAR23 3Y-MIDCRVE PUT/CALL RATIO -- 1.00 (125 PUTS VS. 125 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 1500    47.61    62.06    59.91    61.84    64.00     64.61

Mon Open    49.32    65.41    62.22    64.09    64.60     64.70

Fri 1500    49.40    64.61    62.37    63.98    64.57     64.61

Fri Open    50.05    68.20    65.30    67.47    65.49     65.05

Thu 1500    50.05    68.20    65.30    67.47    65.49     65.05

Thu Open    52.59    67.58    65.66    67.05    65.78     65.41

Wed 1500    53.85    68.14    66.31    67.61    65.94     65.64

Wed Open    55.35    71.08    68.44    69.80    66.84     66.16

Tue 1500    55.68    72.82    68.49    69.85    67.13     66.19

Tue Open    56.53    72.19    68.50    69.74    67.53     66.59

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

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