US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR DEC 29

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

            USG    USH     TYG    TYH     FVG    TUH     EDF     EDH

10:45      7.24%  7.52%   3.19%  3.47%   1.96%  2.09%   11.90%  14.86%

9:15       7.30%  7.50%   3.23%  3.46%   1.94%  2.10%   12.00%  14.47%

FRI OPEN   7.40%  7.55%   3.27%  3.50%   1.95%  2.08%   12.82%  14.77%

THU 3:00   7.37%  7.59%   3.26%  3.47%   1.91%  2.01%   12.25%  14.32%

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

FEB18 10Y NOTE  124.50 C   70,714   -4,362   123.00 P  100,879  +2,169

MAR18 10Y NOTE  126.00 C   46,361   +2,958   114.00 P  119,347    UNCH

FEB18 5Y NOTE   117.25 C   74,992     UNCH   115.50 P   67,430    +635

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

FEB18 2Y NOTE   107.25 C    8,628   +4,960   106.75 P   20,876    UNCH

MAR18 2Y NOTE   107.38 C   20,821      -75   107.00 P   62,445    UNCH

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

MAR18 EURODLR    98.50 C  474,885     UNCH    98.25 P  832,392  -1,225

MAR19 1Y-MIDC    98.25 C  219,654     UNCH    97.62 P  428,123  +1,002

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   26,081   +1,565   123.50 P   64,369 +14,350

FEB18 10Y NOTE  124.00 C   34,262     +389   124.00 P   67,601    -291

MAR18 10Y NOTE  123.50 C   12,369       +6   123.50 P   27,440    +466

MAR18 10Y NOTE  124.00 C   14,902     +345   124.00 P   38,223    +848

FEB18 5Y NOTE   115.75 C      315     UNCH   115.75 P   37,073     -67

FEB18 5Y NOTE   116.00 C   12,235     -134   116.00 P   17,163    -790

MAR18 5Y NOTE   115.75 C    1,217       +2   115.75 P   16,414     +10

MAR18 5Y NOTE   116.00 C    4,852     +100   116.00 P    7,729     +49

FEB18 2Y NOTE   107.00 C    1,227     UNCH   107.00 P   20,073     +20

FEB18 2Y NOTE   107.12 C    2,158     +194   107.12 P    3,572    UNCH

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

MAR18 2Y NOTE   107.12 C    2,366      +49   107.12 P   19,443    UNCH

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     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  150,813     -173    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   48,930   +1,349    97.87 P   33,372    UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

FEB18 10Y NOTE PUT/CALL RATIO   -- 2.05 (84,015 PUTS VS. 40,956 CALLS)

MAR18 10Y NOTE PUT/CALL RATIO   -- 0.84 (30,566 PUTS VS. 36,291 CALLS)

FEB18 5Y NOTE PUT/CALL RATIO    -- 0.58 (6,954 PUTS VS. 11,730 CALLS)

MAR18 5Y NOTE PUT/CALL RATIO    -- 1.88 (3,215 PUTS VS. 1,748 CALLS)

FEB18 2Y NOTE PUT/CALL RATIO    -- 0.03 (214 PUTS VS. 5,925 CALLS)

MAR18 2Y NOTE PUT/CALL RATIO    -- 0.82 (395 PUTS VS. 469 CALLS)

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

MAR18 EURODLRS PUT/CALL RATIO   -- 4.13 (30,633 PUTS VS. 7,378 CALLS)

MAR19 1Y-MIDCRVE PUT/CALL RATIO -- 33.1 (33,808 PUTS VS. 1,019 CALLS)

MAR20 2Y-MIDCRVE PUT/CALL RATIO -- 1.32 (2,050 PUTS VS. 1,550 CALLS)

MAR21 3Y-MIDCRVE PUT/CALL RATIO -- 1.06 (8,850 PUTS VS. 8,350 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

10:45        40.04    49.17    49.67    54.39    63.57    68.09

9:15         40.05    49.17    49.67    54.39    63.57    68.09

Fri Open     40.05    49.17    49.78    54.59    63.68    68.22

Thu 3:00     40.30    49.07    49.76    54.58    63.65    68.22

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

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

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