US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR DEC 28

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

            USG    USH     TYG    TYH     FVG    TUH     EDF     EDH

THU OPEN   7.26%  7.59%   3.18%  3.42%   1.90%  2.07%   11.46%  14.95%

TUE 3:00   7.78%  7.87%   3.41%  3.55%   2.04%  2.15%   13.12%  14.88%

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

FEB18 10Y NOTE  124.50 C   75,076     +294   123.00 P   98,710  +3,264

MAR18 10Y NOTE  126.00 C   43,403      +83   114.00 P  119,347    UNCH

FEB18 5Y NOTE   117.25 C   74,992     UNCH   115.50 P   66,795    +136

MAR18 5Y NOTE   117.25 C   14,308       -6   108.50 P  140,106    UNCH

FEB18 2Y NOTE   107.75 C    5,000     UNCH   106.75 P   20,876     -10

MAR18 2Y NOTE   107.38 C   20,896       +1   107.00 P   62,445      +1

JAN18 EURODLR    98.62 C  275,189     UNCH    98.25 P  286,834  -4,000

MAR18 EURODLR    98.50 C  474,885     -300    98.25 P  833,617  +1,450

MAR19 1Y-MIDC    98.25 C  219,654     UNCH    97.62 P  427,121  +1,443

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   24,516     +880   123.50 P   50,019    -557

FEB18 10Y NOTE  124.00 C   33,873   +2,171   124.00 P   67,892  -1,515

MAR18 10Y NOTE  123.50 C   12,363     +100   123.50 P   26,974     +23

MAR18 10Y NOTE  124.00 C   14,557     +404   124.00 P   37,375    -237

FEB18 5Y NOTE   115.75 C      315     +125   115.75 P   37,140    +438

FEB18 5Y NOTE   116.00 C   12,369     -445   116.00 P   17,953  -1,526

MAR18 5Y NOTE   115.75 C    1,215     UNCH   115.75 P   16,404    UNCH

MAR18 5Y NOTE   116.00 C    4,752     +112   116.00 P    7,680    -184

FEB18 2Y NOTE   107.00 C    1,227     +105   107.00 P   20,053     -15

FEB18 2Y NOTE   107.12 C    1,964     +295   107.12 P    3,572    UNCH

MAR18 2Y NOTE   107.00 C    3,160     UNCH   107.00 P   62,445      +1

MAR18 2Y NOTE   107.12 C    2,318      -58   107.12 P   19,443     +42

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  474,885     -300    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  150,896     +148    98.12 P   70,031    UNCH

MAR19 1Y-MIDC    98.25 C  219,654     UNCH    98.25 P   36,397    UNCH

MAR20 2Y-MIDC    97.87 C   72,355     UNCH    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   -- 1.11 (48,293 PUTS VS. 43,457 CALLS)

MAR18 10Y NOTE PUT/CALL RATIO   -- 1.45 (15,369 PUTS VS. 10,537 CALLS)

FEB18 5Y NOTE PUT/CALL RATIO    -- 1.03 (8,842 PUTS VS. 8,556 CALLS)

MAR18 5Y NOTE PUT/CALL RATIO    -- 0.82 (973 PUTS VS. 1,176 CALLS)

FEB18 2Y NOTE PUT/CALL RATIO    -- 0.31 (250 PUTS VS. 805 CALLS)

MAR18 2Y NOTE PUT/CALL RATIO    -- 1.07 (165 PUTS VS. 153 CALLS)

JAN18 EURODLRS PUT/CALL RATIO   -- 2.48 (6,255 PUTS VS. 2,500 CALLS)

MAR18 EURODLRS PUT/CALL RATIO   -- 0.20 (2,284 PUTS VS. 11,372 CALLS)

MAR19 1Y-MIDCRVE PUT/CALL RATIO -- 35.3 (187,327 PUTS VS. 5,304 CALLS)

MAR20 2Y-MIDCRVE PUT/CALL RATIO -- 1.00 (50 PUTS VS. 50 CALLS)

MAR21 3Y-MIDCRVE PUT/CALL RATIO -- 1.00 (550 PUTS VS. 550 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 Open     40.21    50.79    51.13    55.67    63.83    68.50

Tue 3:00     40.62    52.35    51.78    56.37    64.45    68.87

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

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

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