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    FVH     EDF      EDH

THU 3:00  10.46%   7.79%   4.73%  3.92%  2.93%  2.48%   11.67%   11.58%

THU OPEN  10.20%   7.02%   4.76%  3.58%  2.97%  2.30%   11.47%   11.10%

WED 3:00   9.94%   7.18%   4.86%  3.69%  3.36%  2.41%   12.46%   12.00%

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

     LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

JAN19 10Y NOTE  121.00 C  156,733   -3,837   117.50 P   99,051     -49

MAR19 10Y NOTE  127.00 C   39,464     -302   106.50 P   97,647    UNCH

JAN19 5Y NOTE   113.00 C   57,070     -145   111.25 P   93,492    UNCH

MAR19 5Y NOTE   113.50 C   18,062   -1,745   103.75 P  284,211    UNCH

JAN19 2Y NOTE   105.75 C    7,657      -76   105.12 P    6,100    UNCH

MAR19 2Y NOTE   105.87 C    8,506   -1,500   104.50 P    6,702    UNCH

JAN19 EURODLR    97.37 C  136,908  -19,691    97.12 P  116,297  +1,204

MAR19 EURODLR    97.37 C  741,845  -21,670    97.00 P1,083,285 +37,462

JAN19 1Y-MIDC    97.12 C   87,417   -4,075    96.62 P  117,653    UNCH

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    UNCH

     NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

JAN19 10Y NOTE  120.00 C  101,295     -109   120.00 P   53,276  +8,793

JAN19 10Y NOTE  120.50 C   65,149   -1,388   120.50 P   47,477  +5,024

MAR19 10Y NOTE  120.00 C   17,856     -101   120.00 P   24,925  +5,051

MAR19 10Y NOTE  120.50 C   29,769   +1,002   120.50 P   17,170  +3,092

JAN19 5Y NOTE   113.50 C   29,879   -6,186   113.50 P   26,394  +4,956

JAN19 5Y NOTE   113.75 C   35,076     -657   113.75 P   24,958  +2,590

MAR19 5Y NOTE   113.50 C   18,062   -1,745   113.50 P   12,588  +3,326

MAR19 5Y NOTE   113.75 C   10,339     +216   113.75 P    4,707    +602

JAN19 2Y NOTE   105.62 C    1,858     UNCH   105.62 P    3,756    UNCH

JAN19 2Y NOTE   105.75 C    7,657      -76   105.75 P    2,020    UNCH

MAR19 2Y NOTE   105.62 C    1,189     UNCH   105.62 P    1,827     +47

MAR19 2Y NOTE   105.75 C      542     -106   105.75 P    1,953    -115

JAN19 EURODLR    97.37 C  136,908  -19,691    97.12 P  116,297  +1,204

JAN19 EURODLR    97.50 C   75,273   +3,850    97.25 P   40,388 +10,783 

MAR19 EURODLR    97.50 C  274,026  -24,090    97.50 P  119,941    UNCH

MAR19 EURODLR    97.62 C   75,872     -446    97.62 P   49,325    UNCH

JAN19 1Y-MIDC    97.12 C   87,417   -4,075    97.00 P   98,442  +2,047

JAN19 1Y-MIDC    97.25 C   46,647   +4,970    97.12 P   88,415 +22,435

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

JAN20 2Y-MIDC    97.12 C   16,987     UNCH    97.12 P   36,181    -250  

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    UNCH

     PUT/CALL RATIO FOR VOLUME CLEARED:

JAN19 10Y NOTE PUT/CALL RATIO  -- 0.50 (109,583 PUTS VS. 218,138 CALLS)

MAR19 10Y NOTE PUT/CALL RATIO  -- 0.94 (48,677 PUTS VS. 51,718 CALLS)

JAN19 5Y NOTE PUT/CALL RATIO   -- 0.53 (47,117 PUTS VS. 88,592 CALLS)

MAR19 5Y NOTE PUT/CALL RATIO   -- 1.24 (27,767 PUTS VS. 22,342 CALLS)

JAN19 2Y NOTE PUT/CALL RATIO   -- 0.22 (2,241 PUTS VS. 10,043 CALLS)

MAR19 2Y NOTE PUT/CALL RATIO   -- 0.24 (971 PUTS VS. 4,057 CALLS)

JAN19 EURODLRS PUT/CALL RATIO  -- 0.42 (49,831 PUTS VS. 119,101 CALLS)

MAR19 EURODLRS PUT/CALL RATIO  -- 1.18 (165,776 PUTS VS. 140,195 CALLS)

JAN19 1Y-MIDCRVE PUT/CALL RATIO-- 2.23 (84,450 PUTS VS. 37,942 CALLS)

JAN20 2Y-MIDCRVE PUT/CALL RATIO-- 0.13 (2,000 PUTS VS. 15,250 CALLS)

JAN21 3Y-MIDCRVE PUT/CALL RATIO-- 0.25 (1,000 PUTS VS. 4,000 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

THU 3:00    59.53   57.36    63.05   60.82    69.61     76.65

THU OPEN    60.05   57.26    62.94   60.59    69.40     76.57

WED 3:00    59.66   56.94    62.20   60.17    69.25     76.56

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

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

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