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    FVH     EDF     EDH

WED 1500    6.81%  7.16%   3.37%  3.82%   2.03%  2.33%   13.50%  10.75%

1100        6.68%  7.23%   3.41%  3.86%   2.04%  2.35%   12.55%  11.15%

0930        6.68%  7.22%   3.45%  3.84%   2.01%  2.35%   12.80%  11.75%

WED OPEN    6.80%  7.19%   3.49%  3.83%   2.01%  2.34%   12.80%  11.20%

TUE 1500    6.80%  7.13%   3.55%  3.80%   2.03%  2.32%   11.55%  11.05%

TUE OPEN    6.60%  7.10%   3.45%  3.80%   2.05%  2.31%   12.15%  10.65%

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

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

JAN20 10Y NOTE  130.00 C  161,867     -420   128.00 P   91,697   -4,418

MAR20 10Y NOTE  131.00 C   62,735      -86   117.50 P   66,948     UNCH

JAN20 5Y NOTE   119.50 C  106,057     -104   118.25 P   56,068     -980

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     UNCH

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

JAN20 EURODLR    98.50 C  129,677     -331    98.12 P  138,395     UNCH

MAR20 EURODLR    99.00 C  460,823     UNCH    98.25 P  569,571     -150

MAR21 1Y-MIDC    99.75 C  246,914     UNCH    98.25 P   77,515     +500

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     UNCH

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

JAN20 10Y NOTE  128.50 C   36,027   +3,285   128.50 P   77,179   -1,657

JAN20 10Y NOTE  129.00 C   48,958   +1,231   129.00 P   62,950     -252

MAR20 10Y NOTE  128.50 C   20,590     +446   128.50 P   20,280   +1,663

MAR20 10Y NOTE  129.00 C   20,506     +764   129.00 P   26,035     UNCH

JAN20 5Y NOTE   118.50 C   33,731   +1,031   118.50 P   31,734     -336

JAN20 5Y NOTE   118.75 C   26,677   +3,684   118.75 P   51,811     -500

MAR20 5Y NOTE   118.50 C    9,331     +649   118.50 P   18,660   +2,080

MAR20 5Y NOTE   118.75 C   11,999     UNCH   118.75 P   10,966     -190

JAN20 2Y NOTE   107.75 C    5,860     +100   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   47,116      -58    98.25 P  109,816   +1,405

JAN20 EURODLR    98.37 C   66,991     -350    98.37 P   27,422     UNCH

MAR20 EURODLR    98.25 C  385,029   +1,716    98.25 P  569,571     -150

MAR20 EURODLR    98.37 C  410,360  +14,605    98.37 P  241,734     UNCH

MAR21 1Y-MIDC    98.37 C   72,433     UNCH    98.37 P   71,250     -250

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

MAR22 2Y-MIDC    98.37 C   29,548     UNCH    98.37 P   29,876     -100

MAR22 2Y-MIDC    98.50 C   35,011     UNCH    98.50 P   30,640     -150

MAR23 3Y-MIDC    98.37 C   10,499     +325    98.37 P   26,202     UNCH

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

PUT/CALL RATIO FOR VOLUME CLEARED:

JAN20 10Y NOTE PUT/CALL RATIO   -- 0.93 (44,650 PUTS VS. 47,746 CALLS)

MAR20 10Y NOTE PUT/CALL RATIO   -- 1.26 (14,831 PUTS VS. 11,704 CALLS)

JAN20 5Y NOTE PUT/CALL RATIO    -- 0.95 (19,884 PUTS VS. 20,785 CALLS)

MAR20 5Y NOTE PUT/CALL RATIO    -- 3.40 (12,612 PUTS VS. 3,746 CALLS)

JAN20 2Y NOTE PUT/CALL RATIO    -- 0.83 (500 PUTS VS. 600 CALLS)

MAR20 2Y NOTE PUT/CALL RATIO    -- 3.84 (600 PUTS VS. 156 CALLS)

JAN20 EURODLRS PUT/CALL RATIO   -- 0.73 (1,940 PUTS VS. 2,656 CALLS)

MAR20 EURODLRS PUT/CALL RATIO   -- 0.29 (23,215 PUTS VS. 79,994 CALLS)

MAR21 1Y-MIDCRVE PUT/CALL RATIO -- 0.07 (1,055 PUTS VS. 13,631 CALLS)

MAR22 2Y-MIDCRVE PUT/CALL RATIO -- 0.37 (700 PUTS VS. 1,866 CALLS)

MAR23 3Y-MIDCRVE PUT/CALL RATIO -- 0.02 (400 PUTS VS. 17,800 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

Wed 1500    46.55    59.79    60.64    63.55    64.13     64.68

1245        46.45    60.66    60.65    63.65    64.10     64.79

1100        46.13    58.74    59.69    62.80    63.99     64.77

0930        46.11    59.44    59.69    62.79    64.12     64.82

Wed Open    46.51    60.93    60.45    63.14    64.39     64.87

Tue 1500    47.07    63.06    60.47    63.33    64.34     64.86

Tue Open    45.74    63.20    60.17    63.08    64.51     64.76

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

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

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