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    FVH     EDF      EDH

WED OPEN  12.32%   6.98%   6.79%  3.76%  5.24%  2.50%   16.74%   13.27%

TUE 3:00  11.47%   7.46%   6.18%  3.86%  4.42%  2.58%   16.48%   13.28%

TUE OPEN  10.14%   7.10%   5.40%  3.76%  4.02%  2.50%   15.76%   13.31%

MON 3:00   9.36%   7.22%   4.88%  3.73%  3.41%  2.43%   14.81%    N/A

MON OPEN   9.36%   7.18%   4.65%  3.69%  3.03%  2.42%   14.52%    N/A

FRI 3:00   7.46%   7.10%   3.71%  3.62%  2.46%  2.39%   14.87%    N/A

FRI OPEN   7.33%   6.97%   3.53%  3.57%  2.45%  2.39%   14.73%    N/A

THU 3:00   7.38%   7.04%   3.75%  3.60%  2.57%  2.42%   14.11%    N/A

THU OPEN   7.69%   7.09%   3.79%  3.67%  2.72%  2.49%   15.76%    N/A

     LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

JAN18 10Y NOTE  121.00 C  160,570   +2,484   117.50 P   99,100    +125

MAR19 10Y NOTE  127.00 C   39,766   +1,598   106.50 P   97,647    UNCH

JAN18 5Y NOTE   113.00 C   57,215     UNCH   111.25 P   93,492    UNCH

MAR19 5Y NOTE   113.50 C   19,807   -1,710   103.75 P  284,211    UNCH

JAN18 2Y NOTE   105.87 C    8,879   +1,510   105.12 P    6,100    UNCH

MAR19 2Y NOTE   105.87 C   10,006       +3   104.50 P    6,702    UNCH

JAN18 EURODLR    97.37 C  156,599   +8,358    97.12 P  115,093 +32,955

MAR18 EURODLR    97.37 C  763,515  +38,043    97.00 P1,045,823 +11,694

JAN19 1Y-MIDC    97.12 C   91,492  -10,119    96.62 P  117,653    -107

JAN20 2Y-MIDC    97.00 C   37,813     UNCH    96.75 P   54,437    UNCH

JAN21 3Y-MIDC    97.00 C   36,539     UNCH    97.00 P   48,242  +1,000

     NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

JAN18 10Y NOTE  120.00 C  101,404     UNCH   120.00 P   44,483  -3,114

JAN18 10Y NOTE  120.50 C   66,537  -17,639   120.50 P   42,453 +16,765

MAR19 10Y NOTE  120.00 C   17,957      +31   120.00 P   19,874  +2,481

MAR19 10Y NOTE  120.50 C   28,842     -327   120.50 P   14,078  +2,827

JAN18 5Y NOTE   113.50 C   36,065   -2,639   113.50 P   21,438    -154

JAN18 5Y NOTE   113.75 C   35,733   +7,078   113.75 P   22,368 +15,418

MAR19 5Y NOTE   113.50 C   19,807   -1,710   113.50 P    9,262  +3,824

MAR19 5Y NOTE   113.75 C   10,123      -30   113.75 P    4,105    +512

JAN18 2Y NOTE   105.62 C    1,858     -200   105.62 P    3,756      +5

JAN18 2Y NOTE   105.75 C    7,733     -893   105.75 P    2,020    UNCH

MAR19 2Y NOTE   105.62 C    1,189     +406   105.62 P    1,780  +1,605

MAR19 2Y NOTE   105.75 C      648      -26   105.75 P    2,068     -24

JAN18 EURODLR    97.37 C  156,599   +8,358    97.12 P  115,093 +32,955

JAN18 EURODLR    97.50 C   71,423   +5,973    97.25 P   29,605 +13,568 

MAR18 EURODLR    97.50 C  298,116   -4,277    97.50 P  119,941    UNCH

MAR18 EURODLR    97.62 C   76,318   -5,582    97.62 P   49,325    UNCH

JAN19 1Y-MIDC    97.12 C   91,492  -10,119    97.00 P   96,395  +1,858

JAN19 1Y-MIDC    97.25 C   41,677   +2,104    97.12 P   65,980 +43,327

JAN20 2Y-MIDC    97.00 C   37,813     UNCH    97.00 P   41,895    UNCH

JAN20 2Y-MIDC    97.12 C   16,987      -50    97.12 P   36,431  +2,740  

JAN21 3Y-MIDC    96.87 C   13,157     UNCH    96.87 P   16,596    UNCH

JAN21 3Y-MIDC    97.00 C   36,539     UNCH    97.00 P   48,242  +1,000

     PUT/CALL RATIO FOR VOLUME CLEARED:

JAN18 10Y NOTE PUT/CALL RATIO  -- 0.63 (123,599 PUTS VS. 237,623 CALLS)

MAR19 10Y NOTE PUT/CALL RATIO  -- 0.56 (82,964 PUTS VS. 49,853 CALLS)

JAN18 5Y NOTE PUT/CALL RATIO   -- 0.34 (45,080 PUTS VS. 56,344 CALLS)

MAR19 5Y NOTE PUT/CALL RATIO   -- 1.64 (26,992 PUTS VS. 13,116 CALLS)

JAN18 2Y NOTE PUT/CALL RATIO   -- 5.01 (84,326 PUTS VS. 18,844 CALLS)

MAR19 2Y NOTE PUT/CALL RATIO   -- 1.00 (5,167 PUTS VS. 1,386 CALLS)

JAN18 EURODLRS PUT/CALL RATIO  -- 0.14 (84,326 PUTS VS. 120,424 CALLS)

MAR18 EURODLRS PUT/CALL RATIO  -- 0.25 (402,681 PUTS VS. 244,694 CALLS)

JAN19 1Y-MIDCRVE PUT/CALL RATIO-- 0.65 (33,800 PUTS VS. 32,552 CALLS)

JAN20 2Y-MIDCRVE PUT/CALL RATIO-- 0.00 (3,750 PUTS VS. 3,850 CALLS)

JAN21 3Y-MIDCRVE PUT/CALL RATIO-- 0.00 (2,500 PUTS VS. 600 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 OPEN    60.48   58.11    62.87   60.77    69.56     76.71 

TUE 3:00    59.86   58.21    61.31   59.65    69.33     76.50

TUE OPEN    57.34   56.66    60.48   58.98    69.15     76.52

MON 3:00    56.91   55.86    59.88   58.68    69.15     76.54

MON OPEN    56.37   55.91    59.93   58.77    69.23     76.49

FRI 3:00    56.64   55.66    60.08   58.82    69.23     76.50

FRI OPEN    56.69   55.82    60.26   58.99    69.38     76.67

THU 3:00    56.83   55.97    60.96   59.39    69.62     76.82

THU OPEN    57.67   57.11    61.94   60.01    69.87     77.08

--MNI Chicago Bureau; +1 630-698-0154; email: ryan.martin@marketnews.com

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