US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR DEC 22

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

            USF    USH     TYF    TYH     FVF    TUH     EDF     EDH

11:30       N/A   7.76%    N/A   3.56%    N/A   2.15%   11.94%  14.30%

10:30       N/A   7.76%    N/A   3.56%    N/A   2.15%   11.40%  14.30%

9:30       8.46%  7.81%   3.50%  3.63%   3.19%  2.19%   11.15%  14.30%

FRI OPEN   8.90%  7.75%   4.00%  3.63%   2.65%  2.17%   12.40%  13.21%

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

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

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

JAN18 10Y NOTE  125.00 C   98,988     -120   124.00 P   90,460  -6,396

MAR18 10Y NOTE  126.00 C   42,823     +502   114.00 P  112,635    UNCH

JAN18 5Y NOTE   117.00 C   30,895      -81   116.00 P   25,492     -28

MAR18 5Y NOTE   117.25 C   14,625     -202   108.50 P  140,106    UNCH

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

MAR18 2Y NOTE   107.38 C   20,893     +264   107.00 P   61,775     +25

JAN18 EURODLR    98.62 C  275,189  +10,000    98.25 P  290,584    UNCH

MAR18 EURODLR    98.50 C  475,185     UNCH    98.25 P  831,767    +100

MAR19 1Y-MIDC    98.25 C  207,618  +32,000    97.62 P  417,521  +4,248

MAR20 2Y-MIDC    98.50 C  145,426     UNCH    97.75 P  141,693  -2,800

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

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

JAN18 10Y NOTE  124.50 C   41,803     +323   124.50 P   47,602     -26

JAN18 10Y NOTE  125.00 C   98,988     -120   125.00 P   27,066     -73

MAR18 10Y NOTE  124.50 C   30,064      -54   124.50 P   32,414     +32

MAR18 10Y NOTE  125.00 C   33,853   +3,008   125.00 P   19,981      -2

JAN18 5Y NOTE   116.75 C   24,046     UNCH   116.75 P    9,774      -6

JAN18 5Y NOTE   117.00 C   30,895      -81   117.00 P    8,297    UNCH

MAR18 5Y NOTE   116.75 C    4,440     +192   116.75 P    4,487    UNCH

MAR18 5Y NOTE   117.00 C   11,639      +12   117.00 P    3,255    UNCH

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

JAN18 2Y NOTE   107.12 C      992     -186   107.12 P    1,601    -186

MAR18 2Y NOTE   107.00 C      810      +82   107.00 P   61,775     +25

MAR18 2Y NOTE   107.12 C      991     UNCH   107.12 P   18,859  +1,772

JAN18 EURODLR    98.50 C  163,430   +5,000    98.50 P   18,103    UNCH

JAN18 EURODLR    98.62 C  275,189  +10,000    98.62 P        0    UNCH

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

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

MAR19 1Y-MIDC    98.12 C  144,356  +10,327    98.12 P   70,031    UNCH

MAR19 1Y-MIDC    98.25 C  207,618  +32,000    98.25 P   36,397    UNCH

MAR20 2Y-MIDC    97.87 C   72,355   +8,156    97.87 P   50,975    UNCH

MAR20 2Y-MIDC    98.00 C  108,008     UNCH    98.00 P   72,318  -1,400

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

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

PUT/CALL RATIO FOR VOLUME CLEARED:

JAN18 10Y NOTE PUT/CALL RATIO   -- 1.47 (64,497 PUTS VS. 43,583 CALLS)

MAR18 10Y NOTE PUT/CALL RATIO   -- 1.48 (53,611 PUTS VS. 36,138 CALLS)

JAN18 5Y NOTE PUT/CALL RATIO    -- 0.95 (23,377 PUTS VS. 24,377 CALLS)

MAR18 5Y NOTE PUT/CALL RATIO    -- 13.1 (18,395 PUTS VS. 1,413 CALLS)

JAN18 2Y NOTE PUT/CALL RATIO    -- 0.41 (186 PUTS VS. 454 CALLS)

MAR18 2Y NOTE PUT/CALL RATIO    -- 8.85 (12,428 PUTS VS. 1,428 CALLS)

JAN18 EURODLRS PUT/CALL RATIO   -- 0.80 (16,700 PUTS VS. 20,800 CALLS)

MAR18 EURODLRS PUT/CALL RATIO   -- 20.0 (30,045 PUTS VS. 1,532 CALLS)

MAR19 1Y-MIDCRVE PUT/CALL RATIO -- 0.47 (25,300 PUTS VS. 52,950 CALLS)

MAR20 2Y-MIDCRVE PUT/CALL RATIO -- 3.75 (39,000 PUTS VS. 10,467 CALLS)

MAR21 3Y-MIDCRVE PUT/CALL RATIO -- 1.84 (3,597 PUTS VS. 1,985 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

11:30        40.39    53.01    51.80    56.49    64.51    68.93

10:30        40.39    53.19    51.68    56.36    64.51    68.95

9:30         40.39    53.01    51.50    56.16    64.45    68.95

Fri Open     39.53    52.31    51.31    56.04    64.46    68.95

Thu 3:00     39.11    52.44    51.24    56.11    64.43    68.86

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

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

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