US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR FEB 1

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

            USH    USJ     TYH    TYJ     FVH    TUJ     EDG     EDH

1:15       8.62%  8.17%   4.14%  4.11%   2.44%  2.47%   17.70%  15.17%

10:30      8.52%  8.10%   4.17%  4.07%   2.47%  2.46%   16.80%  14.75%

THU OPEN   8.48%  8.38%   4.17%  4.23%   2.54%  2.59%   16.20%  15.14%

WED 3:00   8.58%  8.37%   4.08%  4.17%   2.41%  2.70%   18.00%  15.02%

WED OPEN   8.79%  8.74%   4.21%  4.25%   2.35%  2.53%   16.50%  14.58%

TUE 3:00   8.87%  8.82%   4.26%  4.26%   2.44%  2.56%   14.30%  13.67%

TUE OPEN   8.84%  8.30%   4.25%  4.04%   2.50%  2.48%   14.50%  13.63%

MON 3:00   8.51%  8.24%   4.06%  4.25%   2.42%  2.75%   16.10%  14.32%

MON OPEN   9.27%  9.20%   4.53%  4.60%   2.60%  2.83%   12.10%  14.28%

FRI 3:00   8.25%   N/A    3.94%   N/A    2.29%   N/A    13.00%  13.13%

FRI OPEN   7.84%   N/A    3.93%   N/A    2.23%   N/A    10.10%  14.15%

THU 3:00   7.72%   N/A    3.68%   N/A    2.13%   N/A    11.00%  13.71%

THU OPEN   8.22%   N/A    3.85%   N/A    2.24%   N/A    11.05%  13.45%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

MAR18 10Y NOTE  126.00 C  127,039     +308   122.00 P  149,544  -2,667

APR18 10Y NOTE  125.00 C   44,583   +1,351   120.00 P   36,518  +1,109

MAR18 5Y NOTE   115.75 C   50,255      +91   108.50 P  140,106    UNCH

APR18 5Y NOTE   115.75 C   25,292  +15,714   113.50 P   22,121 +17,133

MAR18 2Y NOTE   107.38 C   20,745     UNCH   107.00 P   48,293      -4

APR18 2Y NOTE   106.62 C    6,311     UNCH   106.50 P    1,906    UNCH

FEB18 EURODLR    98.50 C  245,800     UNCH    98.12 P  180,436    +500

MAR18 EURODLR    98.50 C  493,040     UNCH    98.12 P  763,580  -3,364

MAR19 1Y-MIDC    98.25 C  217,995     UNCH    97.50 P  484,288  +4,971

MAR20 2Y-MIDC    98.50 C  145,426     UNCH    97.25 P  212,302  -5,152

MAR21 3Y-MIDC    98.12 C   63,218     UNCH    97.37 P   91,830    UNCH

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

MAR18 10Y NOTE  122.00 C   32,560   +4,578   122.00 P  149,544  -2,667

MAR18 10Y NOTE  122.50 C   47,368     +296   122.50 P  104,778    -640

APR18 10Y NOTE  121.50 C   10,874     +989   121.50 P   26,414  -3,902

APR18 10Y NOTE  122.00 C   15,092     +383   122.00 P   16,993     -69

MAR18 5Y NOTE   114.75 C    7,375   -1,378   114.75 P   15,974  -1,167

MAR18 5Y NOTE   115.00 C   10,714   +2,222   115.00 P   53,956     +18

APR18 5Y NOTE   114.50 C    2,427   +1,254   114.50 P   17,972    +773

APR18 5Y NOTE   114.75 C    5,287     +609   114.75 P    4,530    UNCH

MAR18 2Y NOTE   106.50 C        5       +5   106.50 P    1,508      +3

MAR18 2Y NOTE   106.62 C      183     +122   106.62 P   18,813     -10

APR18 2Y NOTE   106.38 C       40     UNCH   106.38 P        2    UNCH

APR18 2Y NOTE   106.50 C    1,700     UNCH   106.50 P    1,906    UNCH

FEB18 EURODLR    98.00 C        5     UNCH    98.00 P   95,824    UNCH

FEB18 EURODLR    98.12 C   11,004     UNCH    98.12 P  180,436    +500

MAR18 EURODLR    98.00 C   21,207     UNCH    98.00 P  256,315 -13,642

MAR18 EURODLR    98.12 C   40,071     +250    98.12 P  763,580  -3,364

MAR19 1Y-MIDC    97.50 C   19,695   +7,214    97.50 P  484,288  +4,971

MAR19 1Y-MIDC    97.62 C   43,298   -1,150    97.62 P  236,860    UNCH

MAR20 2Y-MIDC    97.37 C   46,684     +323    97.37 P  202,047  +1,843

MAR20 2Y-MIDC    97.50 C   39,922   +7,806    97.50 P  115,531    UNCH

MAR21 3Y-MIDC    97.25 C   46,886     +450    97.25 P   79,113    -248

MAR21 3Y-MIDC    97.37 C   32,155   +3,407    97.37 P   91,830    UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

MAR18 10Y NOTE PUT/CALL RATIO   -- 1.88 (195,450 PUTS VS. 103,736 CALLS)

APR18 10Y NOTE PUT/CALL RATIO   -- 0.82 (38,648 PUTS VS. 46,970 CALLS)

MAR18 5Y NOTE PUT/CALL RATIO    -- 1.11 (33,884 PUTS VS. 30,440 CALLS

APR18 5Y NOTE PUT/CALL RATIO    -- 0.95 (36,913 PUTS VS. 38,530 CALLS)

MAR18 2Y NOTE PUT/CALL RATIO    -- 0.14 (893 PUTS VS. 6,165 CALLS)

APR18 2Y NOTE PUT/CALL RATIO    -- 0.00 (0 PUTS VS. 42 CALLS)

FEB18 EURODLRS PUT/CALL RATIO   -- 0.00 (3,010 PUTS VS. 0 CALLS)

MAR18 EURODLRS PUT/CALL RATIO   -- 0.54 (89,933 PUTS VS. 165,504 CALLS)

MAR19 1Y-MIDCRVE PUT/CALL RATIO -- 2.12 (62,796 PUTS VS. 29,536 CALLS)

MAR20 2Y-MIDCRVE PUT/CALL RATIO -- 4.85 (89,785 PUTS VS. 18,500 CALLS)

MAR21 3Y-MIDCRVE PUT/CALL RATIO -- 1.01 (7,025 PUTS VS. 6,950 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

1:15         42.49    64.94    58.25    65.10    71.50    72.62

10:30        42.37    65.24    58.28    65.12    70.97    72.42

Thu Open     42.37    65.52    58.53    65.41    70.95    72.32

Wed 3:00     42.14    65.50    58.50    65.41    70.92    72.32

Wed Open     41.99    65.25    57.70    64.53    70.55    71.88

Tue 3:00     41.96    64.24    57.74    64.51    70.52    71.61

Tue Open     41.74    64.61    57.67    64.18    70.03    71.35

Mon 3:00     41.84    63.66    57.74    64.21    69.92    70.95

Mon Open     42.08    64.88    57.23    64.63    68.93    69.44

Fri 3:00     40.45    59.86    54.27    62.16    67.32    68.99

Fri Open     39.93    58.57    52.77    60.85    66.27    68.37

Thu 3:00     39.91    57.86    52.61    60.71    66.21    68.34

Thu Open     40.18    60.44    53.12    61.39    66.11    68.25

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

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