US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR DEC 19

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

            USF    USH     TYF    TYH     FVF    TUH     EDF     EDH

TUE 3:00   10.03% 7.55%   4.41%  3.53%   3.15%  2.11%   11.20%  13.75%

1:45       9.85%  7.56%   4.55%  3.52%   3.12%  2.14%   11.80%  13.20%

12:30      9.59%  7.54%   4.66%  3.66%   3.01%  2.16%   12.10%  13.90%

11:00      9.11%  7.43%   3.99%  3.44%   2.28%  2.13%   12.26%  13.36%

9:30       8.66%  7.71%   3.71%  3.41%   2.35%  2.11%   11.77%  12.88%

TUE OPEN   8.31%  7.38%   3.69%  3.40%   2.41%  2.10%   11.08%  12.59%

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

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

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

JAN18 10Y NOTE  125.00 C   96,985     +300   124.00 P  131,438  -3,220

MAR18 10Y NOTE  126.00 C   44,012     +296   114.00 P  110,162    UNCH

JAN18 5Y NOTE   117.00 C   30,548     -102   116.00 P   26,978    -994

MAR18 5Y NOTE   117.25 C   14,006      -54   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     UNCH   107.00 P   61,780     +20

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

MAR18 EURODLR    98.50 C  469,325     UNCH    98.25 P  798,621      -1

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  142,495  +1,900

MAR21 3Y-MIDC    98.12 C   63,259   -1,500    97.37 P   60,753  +2,228

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

JAN18 10Y NOTE  124.50 C   47,283   +1,143   124.50 P   48,121     -25

JAN18 10Y NOTE  125.00 C   96,985     +300   125.00 P   27,184    -301

MAR18 10Y NOTE  124.50 C   29,756     +700   124.50 P   32,321     +83

MAR18 10Y NOTE  125.00 C   26,286      -97   125.00 P   20,041    UNCH

JAN18 5Y NOTE   116.75 C   22,478     +568   116.75 P    9,774    UNCH

JAN18 5Y NOTE   117.00 C   30,548     -102   117.00 P    8,297    UNCH

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

MAR18 5Y NOTE   117.00 C    7,849     +547   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    1,178       +1   107.12 P    1,912    UNCH

MAR18 2Y NOTE   107.00 C      232       +1   107.00 P   61,780     +20

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     UNCH    98.50 P  125,305    UNCH

MAR18 EURODLR    98.62 C  253,051     +389    98.62 P   28,813    UNCH

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

MAR19 1Y-MIDC    98.25 C  175,618   +4,000    98.25 P   36,397    UNCH

MAR20 2Y-MIDC    97.87 C   57,256   -3,500    97.87 P   50,975    UNCH

MAR20 2Y-MIDC    98.00 C  111,508     +250    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   -- 1.01 (35,800 PUTS VS. 35,621 CALLS)

MAR18 10Y NOTE PUT/CALL RATIO   -- 1.06 (11,436 PUTS VS. 10,764 CALLS)

JAN18 5Y NOTE PUT/CALL RATIO    -- 2.33 (11,247 PUTS VS. 4,841 CALLS)

MAR18 5Y NOTE PUT/CALL RATIO    -- 0.88 (1,573 PUTS VS. 1,689 CALLS)

JAN18 2Y NOTE PUT/CALL RATIO    -- 0.00 (0 PUTS VS. 17 CALLS)

MAR18 2Y NOTE PUT/CALL RATIO    -- 0.24 (152 PUTS VS. 626 CALLS)

JAN18 EURODLRS PUT/CALL RATIO   -- 0.08 (3,584 PUTS VS. 39,096 CALLS)

MAR18 EURODLRS PUT/CALL RATIO   -- 0.28 (2,981 PUTS VS. 10,150 CALLS)

MAR19 1Y-MIDCRVE PUT/CALL RATIO -- 0.97 (8,040 PUTS VS. 8,250 CALLS)

MAR20 2Y-MIDCRVE PUT/CALL RATIO -- 6.46 (9,700 PUTS VS. 1,500 CALLS)

MAR21 3Y-MIDCRVE PUT/CALL RATIO -- 0.84 (3,877 PUTS VS. 4,500 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

Tue 3:00     38.14    50.32    49.67    53.74    63.37    68.88

1:45         38.14    50.01    49.62    53.69    63.35    68.88

12:30        37.79    49.55    49.43    53.33    63.33    68.95

11:00        37.62    49.30    49.24    53.13    62.65    68.61

9:30         37.88    48.99    49.11    52.88    62.81    68.77

Tue Open     38.05    48.67    48.69    52.32    63.06    68.90

Mon 3:00     38.05    48.02    48.63    52.11    63.06    69.02

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

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

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