US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR DEC 21

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

            USF    USH     TYF    TYH     FVF    TUH     EDF     EDH

THU 3:00   7.13%  7.76%   3.26%  3.65%   2.34%  2.18%   13.42%  14.08%

12:30      7.41%  7.64%   3.39%  3.57%   1.94%  2.14%   11.70%  14.24%

9:00       8.70%  7.68%   4.00%  3.60%   2.12%  2.16%   12.15%  14.06%

THU OPEN   8.85%  7.75%   3.53%  3.60%   2.15%  2.14%   11.80%  14.10%

WED 3:00   8.12%  7.76%   3.76%  3.58%   2.09%  2.15%   11.39%  14.01%

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

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

JAN18 10Y NOTE  125.00 C   99,108      -80   124.00 P   96,856 -10,717

MAR18 10Y NOTE  126.00 C   42,321   -1,775   114.00 P  112,635    UNCH

JAN18 5Y NOTE   117.00 C   30,976     UNCH   116.00 P   25,520    -257

MAR18 5Y NOTE   117.25 C   14,827     +742   108.50 P  140,106    UNCH

JAN18 2Y NOTE   107.50 C    8,970     UNCH   107.00 P    2,236     -50

MAR18 2Y NOTE   107.38 C   20,629     +359   107.00 P   61,750     -55

JAN18 EURODLR    98.62 C  265,189  +20,000    98.25 P  290,584    -780

MAR18 EURODLR    98.50 C  475,185     UNCH    98.25 P  831,667  +6,437

MAR19 1Y-MIDC    98.50 C  188,459     UNCH    97.62 P  413,273  +8,950

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

MAR21 3Y-MIDC    98.12 C   63,259     UNCH    97.37 P   62,351  +1,948

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

JAN18 10Y NOTE  124.50 C   41,480   -3,413   124.50 P   47,628    -179

JAN18 10Y NOTE  125.00 C   99,108      -80   125.00 P   27,139     -51

MAR18 10Y NOTE  124.50 C   30,118     +162   124.50 P   32,382     +61

MAR18 10Y NOTE  125.00 C   30,845   +4,222   125.00 P   19,983     -58

JAN18 5Y NOTE   116.75 C   24,046   +1,482   116.75 P    9,780    UNCH

JAN18 5Y NOTE   117.00 C   30,976     UNCH   117.00 P    8,297    UNCH

MAR18 5Y NOTE   116.75 C    4,248      -94   116.75 P    4,487    UNCH

MAR18 5Y NOTE   117.00 C   11,627   +3,854   117.00 P    3,255    UNCH

JAN18 2Y NOTE   107.00 C        0     UNCH   107.00 P    2,236     -50

JAN18 2Y NOTE   107.12 C    1,178     UNCH   107.12 P    1,787    -125

MAR18 2Y NOTE   107.00 C      428     +196   107.00 P   61,755     -55

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

JAN18 EURODLR    98.50 C  158,430   +9,968    98.50 P   18,103    UNCH

JAN18 EURODLR    98.62 C  265,189  +20,000    98.62 P        0    UNCH

MAR18 EURODLR    98.50 C  475,185     UNCH    98.50 P  124,436    -219

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

MAR19 1Y-MIDC    98.12 C  134,029     +800    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   64,199   +6,943    97.87 P   50,975    UNCH

MAR20 2Y-MIDC    98.00 C  108,008     UNCH    98.00 P   73,178    UNCH

MAR21 3Y-MIDC    97.75 C   36,818   +2,696    97.75 P   25,612    UNCH

MAR21 3Y-MIDC    97.87 C   47,581     +790    97.87 P   33,372    UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

JAN18 10Y NOTE PUT/CALL RATIO   -- 3.21 (182,995 PUTS VS. 56,914 CALLS)

MAR18 10Y NOTE PUT/CALL RATIO   -- 1.37 (55,635 PUTS VS. 40,456 CALLS)

JAN18 5Y NOTE PUT/CALL RATIO    -- 1.22 (16,075 PUTS VS. 13,191 CALLS)

MAR18 5Y NOTE PUT/CALL RATIO    -- 0.97 (25,536 PUTS VS. 26,224 CALLS)

JAN18 2Y NOTE PUT/CALL RATIO    -- 73.5 (1,323 PUTS VS. 18 CALLS)

MAR18 2Y NOTE PUT/CALL RATIO    -- 1.77 (1,032 PUTS VS. 583 CALLS)

JAN18 EURODLRS PUT/CALL RATIO   -- 0.61 (33,044 PUTS VS. 53,706 CALLS)

MAR18 EURODLRS PUT/CALL RATIO   -- 3.86 (65,724 PUTS VS. 17,024 CALLS)

MAR19 1Y-MIDCRVE PUT/CALL RATIO -- 1.30 (53,228 PUTS VS. 40,750 CALLS)

MAR20 2Y-MIDCRVE PUT/CALL RATIO -- 4.35 (22,244 PUTS VS. 5,150 CALLS)

MAR21 3Y-MIDCRVE PUT/CALL RATIO -- 1.17 (10,300 PUTS VS. 8,850 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

Thu 3:00     39.11    52.44    51.24    56.11    64.43    68.86

12:30        39.14    52.51    51.45    56.36    64.27    68.89

9:00         38.58    51.75    50.90    55.78    63.87    68.69

Thu Open     38.67    51.64    50.89    55.51    63.79    68.71

Wed 3:00     38.50    51.38    50.72    55.28    63.88    68.68

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

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

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