US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR DEC 18

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

            USF    USH     TYF    TYH     FVF    TUH     EDF     EDH

MON 3:00   8.13%  7.33%   3.79%  3.45%   2.32%  2.11%   11.67%  13.48%

1:45       8.03%  7.26%   3.46%  3.36%   2.18%  2.11%   11.67%  13.26%

12:30      8.12%  7.29%   3.52%  3.38%   2.30%  2.06%   11.66%  13.26%

11:00      8.21%  7.37%   3.70%  3.39%   2.31%  2.08%   12.39%  13.26%

9:15       8.07%  7.31%   3.76%  3.41%   2.22%  2.10%   12.57%  13.83%

MON OPEN   8.26%  7.43%   3.81%  3.47%   2.36%  2.11%   12.66%  13.65%

FRI 3:00   6.80%  7.36%   3.06%  3.42%   1.98%  2.10%   11.10%   N/A

FRI OPEN   7.02%  7.29%   3.21%  3.42%   1.80%  2.11%   10.80%   N/A

THU 3:00   6.89%  7.24%   3.28%  3.40%   1.84%  2.08%   11.25%   N/A

THU OPEN   6.80%  7.16%   3.32%  3.39%   2.13%  2.13%   11.50%   N/A

WED 3:00   7.24%  7.10%   3.48%  3.40%   2.11%  2.10%   11.70%   N/A

WED OPEN   8.15%  7.35%   4.07%  3.52%   2.45%  2.17%   13.30%   N/A

TUE 3:00   7.99%  7.40%   3.98%  3.53%   2.34%  2.17%   13.20%   N/A

TUE OPEN   8.08%  7.51%   3.85%  3.54%   2.26%  2.17%   13.30%   N/A

MON 3:00   7.90%  7.47%   3.82%  3.55%   2.36%  2.16%   12.50%   N/A

MON OPEN   8.26%  7.61%   3.95%  3.57%   2.35%  2.21%   13.09%   N/A

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

JAN18 10Y NOTE  125.00 C   96,685   -3,253   124.00 P  134,658    +902

MAR18 10Y NOTE  126.00 C   43,716     +611   114.00 P  110,162    UNCH

JAN18 5Y NOTE   117.00 C   30,650      -82   116.25 P   30,655  -1,997

MAR18 5Y NOTE   117.25 C   14,060     UNCH   108.50 P  140,106    UNCH

JAN18 2Y NOTE   107.50 C    8,970     UNCH   107.00 P    2,286    UNCH

MAR18 2Y NOTE   107.38 C   20,270       -6   107.00 P   61,760     +45

JAN18 EURODLR    98.62 C  245,189     UNCH    98.25 P  270,365  +2,433

MAR18 EURODLR    98.50 C  469,325   -4,980    98.25 P  798,622    +250

MAR19 1Y-MIDC    98.50 C  188,459     UNCH    97.62 P  396,881    UNCH

MAR20 2Y-MIDC    98.50 C  145,426     UNCH    97.75 P  140,595    -250

MAR21 3Y-MIDC    98.12 C   64,759   -1,000    97.37 P   58,525    UNCH

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

JAN18 10Y NOTE  124.50 C   46,140     -647   124.50 P   48,146    -865

JAN18 10Y NOTE  125.00 C   96,685   -3,253   125.00 P   27,485    -257

MAR18 10Y NOTE  124.50 C   29,056   +1,732   124.50 P   32,238    +931

MAR18 10Y NOTE  125.00 C   26,383       +8   125.00 P   20,041    +100

JAN18 5Y NOTE   116.75 C   21,910     +142   116.75 P    9,774    UNCH

JAN18 5Y NOTE   117.00 C   30,650      -82   117.00 P    8,297    UNCH

MAR18 5Y NOTE   116.75 C    4,342       -3   116.75 P    4,487    UNCH

MAR18 5Y NOTE   117.00 C    7,302     UNCH   117.00 P    3,255    UNCH

JAN18 2Y NOTE   107.00 C        0     UNCH   107.00 P    2,286    UNCH

JAN18 2Y NOTE   107.12 C    1,177     UNCH   107.12 P    1,912    UNCH

MAR18 2Y NOTE   107.00 C      231     UNCH   107.00 P   61,760     +45

MAR18 2Y NOTE   107.12 C      991     UNCH   107.12 P   17,227    UNCH

JAN18 EURODLR    98.50 C  148,212     UNCH    98.50 P   18,103    UNCH

JAN18 EURODLR    98.62 C  245,189     UNCH    98.62 P        0    UNCH

MAR18 EURODLR    98.50 C  469,325   -4,980    98.50 P  125,305    UNCH

MAR18 EURODLR    98.62 C  252,662     -248    98.62 P   28,813    UNCH

MAR19 1Y-MIDC    98.12 C  133,979   +7,500    98.12 P   70,031    UNCH

MAR19 1Y-MIDC    98.25 C  171,618  +14,250    98.25 P   36,397    UNCH

MAR20 2Y-MIDC    97.87 C   60,756     UNCH    97.87 P   50,975    UNCH

MAR20 2Y-MIDC    98.00 C  111,258     UNCH    98.00 P   73,178    UNCH

MAR21 3Y-MIDC    97.75 C   34,828     UNCH    97.75 P   25,612    UNCH

MAR21 3Y-MIDC    97.87 C   46,791     UNCH    97.87 P   33,372    UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

JAN18 10Y NOTE PUT/CALL RATIO   -- 0.75 (41,433 PUTS VS. 55,157 CALLS)

MAR18 10Y NOTE PUT/CALL RATIO   -- 1.36 (15,143 PUTS VS. 11,136 CALLS)

JAN18 5Y NOTE PUT/CALL RATIO    -- 0.70 (14,107 PUTS VS. 20,015 CALLS)

MAR18 5Y NOTE PUT/CALL RATIO    -- 1.09 (4,850 PUTS VS. 4,394 CALLS)

JAN18 2Y NOTE PUT/CALL RATIO    -- 0.01 (2 PUTS VS. 316 CALLS)

MAR18 2Y NOTE PUT/CALL RATIO    -- 1.32 (492 PUTS VS. 374 CALLS)

JAN18 EURODLRS PUT/CALL RATIO   -- 209.4 (10,473 PUTS VS. 50 CALLS)

MAR18 EURODLRS PUT/CALL RATIO   -- 0.38 (12,800 PUTS VS. 32,994 CALLS)

MAR19 1Y-MIDCRVE PUT/CALL RATIO -- 0.05 (2,096 PUTS VS. 43,188 CALLS)

MAR20 2Y-MIDCRVE PUT/CALL RATIO -- 8.01 (4,333 PUTS VS. 541 CALLS)

MAR21 3Y-MIDCRVE PUT/CALL RATIO -- 0.77 (3,450 PUTS VS. 4,450 CALLS)

(VOLUME, OPEN INTEREST, PUT/CALL RATIOS FOR VOLUME CLEARED 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 3:00     38.05    48.02    48.63    52.11    63.06    69.02

1:45         37.98    47.50    48.42    52.03    63.03    68.99

12:30        37.98    47.50    48.42    52.03    63.03    68.99

11:00        38.01    47.50    48.35    51.97    62.07    69.14

9:15         38.01    47.31    48.57    52.61    63.37    69.23

Mon Open     37.73    47.20    48.64    52.50    63.27    69.17

Fri 3:00     37.31    47.35    48.66    52.50    63.28    69.17

Fri Open     37.39    47.17    47.75    51.29    63.37    69.32

Thu 3:00     37.19    46.60    48.18    52.04    63.53    69.76

Thu Open     37.31    47.65    48.38    52.40    64.26    70.34

Wed 3:00     38.05    48.55    48.72    52.90    64.32    70.51

Wed Open     37.81    50.22    49.45    53.85    65.17    71.44

Tue 3:00     37.57    51.29    49.76    53.92    65.65    71.45

Tue Open     37.66    51.32    49.97    54.18    65.88    71.75

Mon 3:00     38.04    51.05    50.24    54.22    65.75    71.82

Mon Open     38.04    50.85    50.28    54.39    65.81    71.79

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

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