US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR DEC 20

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

            USF    USH     TYF    TYH     FVF    TUH     EDF     EDH

1:45       8.02%  7.64%   3.74%  3.58%   2.20%  2.13%   11.41%  13.82%

12:00      8.09%  7.58%   3.59%  3.53%   2.01%  2.14%   11.22%  14.10%

10:30      8.92%  7.69%   4.02%  3.58%   2.23%  2.14%   11.40%  13.60%

9:15       8.59%  7.69%   4.22%  3.61%   2.27%  2.16%   12.33%  13.60%

WED OPEN   8.85%  7.59%   4.19%  3.52%   2.34%  2.14%   13.14%  13.97%

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

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

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

JAN18 10Y NOTE  125.00 C   99,188   +2,203   124.00 P  107,965 -23,473

MAR18 10Y NOTE  126.00 C   44,096      +84   114.00 P  112,635  +2,473

JAN18 5Y NOTE   117.00 C   30,976     +428   116.00 P   26,181    -797

MAR18 5Y NOTE   117.25 C   14,085      +79   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   20,629     +359   107.00 P   61,805     +25

JAN18 EURODLR    98.62 C  245,189     UNCH    98.25 P  291,364 +20,999

MAR18 EURODLR    98.50 C  475,185   +5,860    98.25 P  825,230 +26,609

MAR19 1Y-MIDC    98.50 C  188,459     UNCH    97.62 P  404,323  +7,442

MAR20 2Y-MIDC    98.50 C  145,426     UNCH    97.75 P  144,493  +1,998

MAR21 3Y-MIDC    98.12 C   63,259     UNCH    97.37 P   60,403    -350

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

JAN18 10Y NOTE  124.50 C   44,893   -2,390   124.50 P   47,807    -314

JAN18 10Y NOTE  125.00 C   99,188   +2,203   125.00 P   27,190      +6

MAR18 10Y NOTE  124.50 C   29,956     +200   124.50 P   32,321    UNCH

MAR18 10Y NOTE  125.00 C   26,623     +337   125.00 P   20,041    UNCH

JAN18 5Y NOTE   116.75 C   22,564      +86   116.75 P    9,774    UNCH

JAN18 5Y NOTE   117.00 C   30,976     +428   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    7,773      -76   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     UNCH   107.12 P    1,912    UNCH

MAR18 2Y NOTE   107.00 C      232     UNCH   107.00 P   61,805     +25

MAR18 2Y NOTE   107.12 C      991     UNCH   107.12 P   17,087    -140

JAN18 EURODLR    98.50 C  148,462     +250    98.50 P   18,103    UNCH

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

MAR18 EURODLR    98.50 C  475,185   +5,860    98.50 P  124,655    -650

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

MAR19 1Y-MIDC    98.12 C  133,229     -750    98.12 P   70,031    UNCH

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

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

MAR20 2Y-MIDC    98.00 C  108,008   -3,500    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   -- 2.11 (117,678 PUTS VS. 55,634 CALLS)

MAR18 10Y NOTE PUT/CALL RATIO   -- 1.77 (110,082 PUTS VS. 61,957 CALLS)

JAN18 5Y NOTE PUT/CALL RATIO    -- 1.16 (14,561 PUTS VS. 12,570 CALLS)

MAR18 5Y NOTE PUT/CALL RATIO    -- 4.96 (16,520 PUTS VS. 3,326 CALLS)

JAN18 2Y NOTE PUT/CALL RATIO    -- 0.00 (0 PUTS VS. 32 CALLS)

MAR18 2Y NOTE PUT/CALL RATIO    -- 1.01 (783 PUTS VS. 771 CALLS)

JAN18 EURODLRS PUT/CALL RATIO   -- 1.37 (38,089 PUTS VS. 27,720 CALLS)

MAR18 EURODLRS PUT/CALL RATIO   -- 3.88 (431,133 PUTS VS. 111,096 CALLS)

MAR19 1Y-MIDCRVE PUT/CALL RATIO -- 9.15 (72,300 PUTS VS. 7,900 CALLS)

MAR20 2Y-MIDCRVE PUT/CALL RATIO -- 17.8 (110,812 PUTS VS. 6,200 CALLS)

MAR21 3Y-MIDCRVE PUT/CALL RATIO -- 0.00 (1,758 PUTS VS. 0 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

1:45         38.50    51.38    50.72    55.28    63.88    68.68

12:00        38.50    51.89    50.72    55.28    63.88    68.70

10:30        38.40    51.70    50.64    55.16    63.60    68.68

9:15         38.10    51.83    50.32    54.66    63.37    68.87

Wed Open     38.14    51.01    49.99    54.09    63.35    68.84

Tue 3:00     38.14    50.32    49.67    53.74    63.37    68.88

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

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

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