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

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

            USG    USH     TYG    TYH     FVG    TUH     EDF     EDH

TUE OPEN   7.90%  7.88%   3.47%  3.63%   2.06%  2.18%   12.95%  15.02%

FRI 1:00    N/A   7.82%    N/A   3.60%    N/A   2.18%   11.94%  14.70%

FRI OPEN    N/A   7.75%    N/A   3.63%    N/A   2.17%   12.40%  13.21%

THU 3:00    N/A   7.76%    N/A   3.65%    N/A   2.18%   13.42%  14.08%

THU OPEN    N/A   7.75%    N/A   3.60%    N/A   2.14%   11.80%  14.10%

WED 3:00    N/A   7.76%    N/A   3.58%    N/A   2.15%   11.39%  14.01%

WED OPEN    N/A   7.59%    N/A   3.52%    N/A   2.14%   13.14%  13.97%

TUE 3:00    N/A   7.55%    N/A   3.53%    N/A   2.11%   11.20%  13.75%

TUE OPEN    N/A   7.38%    N/A   3.40%    N/A   2.10%   11.08%  12.59%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

FEB18 10Y NOTE  126.00 C   70,065   +1,340   123.00 P   97,274    +514

MAR18 10Y NOTE  126.00 C   43,046     +223   114.00 P  116,945  +4,310

FEB18 5Y NOTE   117.25 C   74,992       -1   115.50 P   66,686    +968

MAR18 5Y NOTE   117.25 C   14,314     -311   108.50 P  140,106    UNCH

FEB18 2Y NOTE   107.75 C    5,000     UNCH   106.75 P   20,886    +116

MAR18 2Y NOTE   107.38 C   20,895       +2   107.00 P   62,346    +571

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

MAR18 EURODLR    98.50 C  475,185     UNCH    98.25 P  831,917    +150

MAR19 1Y-MIDC    98.25 C  205,717   -1,901    97.62 P  425,678  +8,157

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

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

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

FEB18 10Y NOTE  123.50 C   23,340   +2,923   123.50 P   49,466  +2,025

FEB18 10Y NOTE  124.00 C   32,588   +3,314   124.00 P   69,440    -487

MAR18 10Y NOTE  123.50 C   11,330   +2,305   123.50 P   26,664    +463

MAR18 10Y NOTE  124.00 C   14,152     +727   124.00 P   37,612    -150

FEB18 5Y NOTE   115.75 C       76      +19   115.75 P   36,771     -25

FEB18 5Y NOTE   116.00 C   12,617   +2,172   116.00 P   19,399  +2,994

MAR18 5Y NOTE   115.75 C    1,215     UNCH   115.75 P   17,404  +2,001

MAR18 5Y NOTE   116.00 C    4,196   +1,871   116.00 P    7,953    +169

FEB18 2Y NOTE   107.00 C      767     +119   107.00 P   20,068     +30

FEB18 2Y NOTE   107.12 C    2,169     +109   107.12 P    3,572     +58

MAR18 2Y NOTE   107.00 C    3,160   +2,650   107.00 P   62,346    +571

MAR18 2Y NOTE   107.12 C    2,263   +1,272   107.12 P   19,401    +542

JAN18 EURODLR    98.50 C  163,430     UNCH    98.50 P   18,103    UNCH

JAN18 EURODLR    98.62 C  275,189     UNCH    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     UNCH    98.12 P   70,031    UNCH

MAR19 1Y-MIDC    98.25 C  205,717   -1,901    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    UNCH

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:

FEB18 10Y NOTE PUT/CALL RATIO   -- 1.09 (76,872 PUTS VS. 70,166 CALLS)

MAR18 10Y NOTE PUT/CALL RATIO   -- 1.14 (31,855 PUTS VS. 27,715 CALLS)

FEB18 5Y NOTE PUT/CALL RATIO    -- 0.98 (12,045 PUTS VS. 12,239 CALLS)

MAR18 5Y NOTE PUT/CALL RATIO    -- 0.53 (8,502 PUTS VS. 15,890 CALLS)

FEB18 2Y NOTE PUT/CALL RATIO    -- 1.50 (482 PUTS VS. 325 CALLS)

MAR18 2Y NOTE PUT/CALL RATIO    -- 0.82 (7,634 PUTS VS. 9,228 CALLS)

JAN18 EURODLRS PUT/CALL RATIO   -- 0.00 (0 PUTS VS. 400 CALLS)

MAR18 EURODLRS PUT/CALL RATIO   -- 1.11 (6,031 PUTS VS. 5,452 CALLS)

MAR19 1Y-MIDCRVE PUT/CALL RATIO -- 3.44 (28,947 PUTS VS. 8,450 CALLS)

MAR20 2Y-MIDCRVE PUT/CALL RATIO -- 1.00 (2,450 PUTS VS. 2,450 CALLS)

MAR21 3Y-MIDCRVE PUT/CALL RATIO -- 1.00 (300 PUTS VS. 300 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

Tue Open     40.93    52.33    52.16    56.72    64.39    68.96

Fri 1:00     40.65    51.53    51.93    56.49    64.41    68.93

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

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

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