US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR FEB 11

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

             USH    USJ     TYH    TYJ     FVH    FVJ     EDG     EDH

MON 3:00    6.17%  6.30%   3.27%  3.48%   2.05%  2.27%   9.43%   6.89%

1:15        6.19%  6.28%   3.16%  3.45%   2.10%  2.25%   9.40%   6.70%

10:30       6.27%  6.35%   3.34%  3.50%   2.11%  2.28%   10.72%  6.79%

MON OPEN    6.32%  6.44%   3.34%  3.54%   2.16%  2.30%   10.30%  8.65%

FRI 3:00    6.05%  6.35%   3.20%  3.48%   2.07%  2.24%   9.21%   7.11%

FRI OPEN    6.05%  6.40%   3.27%  3.54%   2.02%  2.28%    N/A    8.48%

THU 3:00    6.06%  6.38%   3.22%  3.50%   1.97%  2.25%    N/A    8.48%

THU OPEN    6.09%  6.35%   3.24%  3.44%   1.94%  2.23%    N/A    8.40%

WED 3:00    6.14%  6.34%   3.26%  3.39%   1.93%  2.21%   9.80%   6.30%

WED OPEN    6.05%  6.35%   3.24%  3.35%   1.97%  2.23%   8.88%   7.00%

TUE 3:00    6.02%  6.38%   3.24%  3.59%   1.98%  2.19%   10.05%  6.50%

TUE OPEN    6.14%  6.55%   3.28%  3.14%   2.05%  2.25%   7.98%   7.15%

MON 3:00    6.15%  6.30%   3.30%  3.49%   1.96%  2.20%   7.41%   6.10%

MON OPEN    6.11%  6.46%   3.31%  3.50%   2.19%  2.35%   7.71%   6.33%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

MAR19 10Y NOTE  122.50 C  116,055   -6,960   106.50 P   97,647    UNCH

APR19 10Y NOTE  123.00 C   52,004  +10,448   121.00 P   43,838  +2,242

MAR19 5Y NOTE   114.50 C   35,104     -750   103.75 P  284,211    UNCH

APR19 5Y NOTE   115.50 C   29,794  +12,878   114.00 P   22,615  +1,001

MAR19 2Y NOTE   106.12 C    6,894      +58   105.62 P    8,781    UNCH

APR19 2Y NOTE   106.37 C    2,101     UNCH   103.75 P    3,022    UNCH

FEB19 EURODLR    97.37 C   49,473     +372    97.00 P   84,387    UNCH

MAR19 EURODLR    97.37 C  341,225  -29,658    97.00 P  886,549    UNCH

MAR19 1Y-MIDC    97.37 C  195,088     UNCH    96.62 P  790,236    UNCH

MAR20 2Y-MIDC    97.62 C  125,936   +1,436    96.62 P  220,789    UNCH

MAR21 3Y-MIDC    97.00 C   60,658     UNCH    97.00 P   64,675    UNCH

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

MAR19 10Y NOTE  121.50 C   39,597      +21   121.50 P   63,869  -4,006

MAR19 10Y NOTE  122.00 C   59,326     -888   122.00 P   43,541  +2,921

APR19 10Y NOTE  121.50 C    8,412      +37   121.50 P   43,651  +7,540

APR19 10Y NOTE  122.00 C   21,020     -316   122.00 P   25,492    +642

MAR19 5Y NOTE   114.00 C   17,392     UNCH   114.00 P   35,494    UNCH

MAR19 5Y NOTE   114.25 C   26,243       -2   114.25 P   70,295      -1

APR19 5Y NOTE   114.00 C    1,626     UNCH   114.00 P   22,615  +1,001

APR19 5Y NOTE   114.25 C    1,856       -1   114.25 P   14,068    -340

MAR19 2Y NOTE   105.87 C    2,768     UNCH   105.87 P    4,602    UNCH

MAR19 2Y NOTE   106.00 C    4,589     +154   106.00 P    4,510    +946

APR19 2Y NOTE   105.87 C        4     UNCH   105.87 P        7    UNCH

APR19 2Y NOTE   106.00 C      612     UNCH   106.00 P    1,061    +256

FEB19 EURODLR    97.25 C   34,977     UNCH    97.25 P   71,995    UNCH

FEB19 EURODLR    97.37 C   49,473     +372    97.37 P    5,470    UNCH

MAR19 EURODLR    97.25 C  337,562     -173    97.25 P  329,730  +7,250

MAR19 EURODLR    97.37 C  341,225  -29,658    97.37 P  131,225  +8,594

MAR20 1Y-MIDC    97.37 C  195,088     UNCH    97.37 P  117,879    -512

MAR20 1Y-MIDC    97.50 C  165,385   +1,920    97.50 P   44,883  -2,500

MAR21 2Y-MIDC    97.50 C   87,792     +764    97.50 P   58,194    UNCH

MAR21 2Y-MIDC    97.62 C  125,936   +1,436    97.62 P   21,251    +994

MAR22 3Y-MIDC    97.50 C   43,234     -850    97.50 P   15,591    +200

MAR22 3Y-MIDC    97.62 C   50,578   +8,254    97.62 P      850    UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

MAR19 10Y NOTE PUT/CALL RATIO  -- 0.71 (57,379 PUTS VS. 80,777 CALLS)

APR19 10Y NOTE PUT/CALL RATIO  -- 0.16 (53,653 PUTS VS. 323,193 CALLS)

MAR19 5Y NOTE PUT/CALL RATIO   -- 2.11 (14,628 PUTS VS. 6,913 CALLS)

APR19 5Y NOTE PUT/CALL RATIO   -- 0.16 (19,771 PUTS VS. 121,359 CALLS)

MAR19 2Y NOTE PUT/CALL RATIO   -- 4.60 (6,960 PUTS VS. 1,532 CALLS)

APR19 2Y NOTE PUT/CALL RATIO   -- 3.57 (100 PUTS VS. 28 CALLS)

FEB19 EURODLRS PUT/CALL RATIO  -- 0.00 (0 PUTS VS. 24,898 CALLS)

MAR19 EURODLRS PUT/CALL RATIO  -- 0.18 (24,454 PUTS VS. 134,400 CALLS)

MAR20 1Y-MIDCRVE PUT/CALL RATIO-- 0.74 (14,150 PUTS VS. 18,920 CALLS)

MAR21 2Y-MIDCRVE PUT/CALL RATIO-- 3.11 (39,215 PUTS VS. 12,650 CALLS)

MAR22 3Y-MIDCRVE PUT/CALL RATIO-- 0.24 (5,608 PUTS VS. 23,000 CALLS)

(VOLUME, OPEN INTEREST, RATIOS 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

Mon 3:00    47.22    51.59    56.03    55.02    64.76     72.56

1:15        47.25    51.58    55.99    55.00    64.74     72.58

10:30       47.40    52.21    56.32    55.24    64.94     72.79

Mon Open    47.44    52.45    56.38    55.31    64.87     72.79

Fri 3:00    47.65    52.37    56.57    55.33    64.51     72.97

Fri Open    47.27    52.04    56.22    55.03    64.66     73.11

Thu 3:00    47.01    51.69    56.01    54.85    64.75     73.30

Thu Open    46.99    51.64    55.92    54.77    64.77     73.37

Wed 3:00    46.95    51.54    55.83    54.73    64.80     73.47

Wed Open    46.98    51.87    56.26    55.05    65.04     73.77

Tue 3:00    47.12    52.24    56.40    55.20    65.23     73.91

Tue Open    47.68    52.45    56.64    55.16    65.49     74.24

Mon 3:00    47.73    52.42    56.62    54.80    65.48     74.28

Mon Open    48.11    52.05    56.71    55.01    65.51     74.33

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

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