US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR FEB 13

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

            USH    USJ     TYH    TYJ     FVH    TUJ     EDG     EDH

1:15       10.14% 9.18%   5.37%  4.84%   3.48%  3.12%    N/A    16.70%

11:30      9.92%  9.33%   5.15%  4.83%   3.32%  3.01%    N/A    17.40%

TUE OPEN   9.85%  9.44%   5.03%  4.88%   3.15%  2.98%    N/A    16.70%

MON 3:00   10.32% 9.80%   5.14%  4.85%   3.28%  2.94%    N/A    19.10%

MON OPEN   10.85% 10.40%  5.34%  5.18%   3.53%  3.22%    N/A    17.80%

FRI 3:00   10.92% 10.69%  5.25%  5.28%   3.31%  3.15%    N/A    19.20%

FRI OPEN   10.27% 9.56%   5.09%  4.98%   3.18%  3.12%    N/A    15.00%

THU 3:00   10.99% 10.32%  5.57%  5.01%   3.45%  3.03%    N/A    13.50%

THU OPEN   10.13% 9.53%   5.11%  4.80%   3.14%  2.89%    N/A    12.60%

WED 3:00   9.50%  9.27%   4.77%  4.54%   2.90%  2.69%    N/A    16.10%

WED OPEN   9.67%  9.52%   5.17%  4.74%   2.96%  2.78%    N/A    15.40%

TUE 3:00   14.53% 11.46%  5.01%  4.77%   3.19%  2.76%    N/A    15.10%

TUE OPEN   10.40% 9.79%   4.47%  4.98%   3.28%  2.70%    N/A    15.10%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

MAR18 10Y NOTE  126.00 C  121,296     -260   114.00 P  118,592    UNCH

APR18 10Y NOTE  122.50 C   52,869   +7,262   119.50 P  125,796  -5,371

MAR18 5Y NOTE   115.00 C   78,169   -2,760   108.50 P  140,106    UNCH

APR18 5Y NOTE   115.00 C   34,790   +2,054   114.50 P   23,121  +2,700

MAR18 2Y NOTE   106.87 C   65,207     UNCH   107.00 P   26,594    UNCH

APR18 2Y NOTE   107.12 C   13,970     UNCH   106.50 P    1,906    UNCH

FEB18 EURODLR    98.50 C  245,800     UNCH    98.12 P  172,615    -850

MAR18 EURODLR    98.50 C  486,766   +2,148    98.12 P  430,279-275,469

MAR19 1Y-MIDC    98.25 C  217,995     UNCH    97.50 P  490,442    -123

MAR20 2Y-MIDC    98.50 C  145,426     UNCH    97.37 P  200,932    +623

MAR21 3Y-MIDC    97.75 C   87,938     UNCH    97.37 P   91,815    UNCH

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

MAR18 10Y NOTE  121.00 C   22,789     +748   121.00 P   83,483  -1,124

MAR18 10Y NOTE  121.50 C   53,702   +3,462   121.50 P   83,708    -768

APR18 10Y NOTE  120.00 C    8,196   +2,062   120.00 P   69,923    +724

APR18 10Y NOTE  120.50 C   39,071  +25,104   120.50 P   32,491    -541

MAR18 5Y NOTE   114.50 C   10,121     +589   114.50 P   39,381    +666

MAR18 5Y NOTE   114.75 C   15,437   +1,089   114.75 P   23,767      -1

APR18 5Y NOTE   114.25 C   22,163  +11,982   114.25 P   12,103  +1,969

APR18 5Y NOTE   114.50 C   31,891   +1,888   114.50 P   23,121  +2,700

MAR18 2Y NOTE   106.50 C       20     UNCH   106.50 P    7,848    UNCH

MAR18 2Y NOTE   106.62 C    3,167     UNCH   106.62 P   11,009    +345

APR18 2Y NOTE   106.38 C      310     UNCH   106.38 P      793    UNCH

APR18 2Y NOTE   106.50 C    4,525     UNCH   106.50 P    1,906    UNCH

FEB18 EURODLR    98.00 C      305     +300    98.00 P   59,130  -1,300

FEB18 EURODLR    98.12 C   44,445     UNCH    98.12 P  172,615    -850

MAR18 EURODLR    98.00 C   27,115   +2,700    98.00 P  258,586 +56,581

MAR18 EURODLR    98.12 C  175,183  +11,750    98.12 P  430,279-275,469

MAR19 1Y-MIDC    97.50 C   52,702      -12    97.50 P  490,442    -123

MAR19 1Y-MIDC    97.62 C   54,772     UNCH    97.62 P  252,947    -350

MAR20 2Y-MIDC    97.37 C  117,003   +6,589    97.37 P  200,932    +623

MAR20 2Y-MIDC    97.50 C   56,691   +7,439    97.50 P  115,011    UNCH

MAR21 3Y-MIDC    97.25 C   59,779     +310    97.25 P   77,190    UNCH

MAR21 3Y-MIDC    97.37 C   47,615  +13,505    97.37 P   91,815    UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

MAR18 10Y NOTE PUT/CALL RATIO   -- 1.16 (157,368 PUTS VS. 135,237 CALLS)

APR18 10Y NOTE PUT/CALL RATIO   -- 1.11 (107,617 PUTS VS. 96,677 CALLS)

MAR18 5Y NOTE PUT/CALL RATIO    -- 1.84 (53,040 PUTS VS. 28,803 CALLS

APR18 5Y NOTE PUT/CALL RATIO    -- 0.95 (13,115 PUTS VS. 13,736 CALLS)

MAR18 2Y NOTE PUT/CALL RATIO    -- 2.41 (12,300 PUTS VS. 5,101 CALLS)

APR18 2Y NOTE PUT/CALL RATIO    -- 12.0 (736,696 PUTS VS. 61,204 CALLS)

FEB18 EURODLRS PUT/CALL RATIO   -- 36.3 (11,000 PUTS VS. 300 CALLS)

MAR18 EURODLRS PUT/CALL RATIO   -- 0.80 (207,169 PUTS VS. 256,674 CALLS)

MAR19 1Y-MIDCRVE PUT/CALL RATIO -- 4.04 (24,751 PUTS VS. 6,125 CALLS)

MAR20 2Y-MIDCRVE PUT/CALL RATIO -- 1.59 (130,897 PUTS VS. 82,150 CALLS)

MAR21 3Y-MIDCRVE PUT/CALL RATIO -- 3.16 (29,380 PUTS VS. 9,330 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         49.72    77.41    66.36    74.36    75.58    75.63

11:30        49.84    77.40    66.40    74.44    75.58    75.63

Tue Open     50.59    78.55    67.18    75.12    75.68    75.67

Mon 3:00     50.75    79.98    67.57    75.79    75.76    75.76

Mon Open     50.97    80.96    68.04    76.41    75.71    75.67

Fri 3:00     49.80    78.41    67.16    76.10    75.24    75.42

Fri Open     49.40    80.83    66.83    75.47    75.14    75.28

Thu 3:00     49.03    78.18    66.06    74.56    75.13    75.39

Thu Open     47.72    72.30    64.74    73.01    74.82    75.25

Wed 3:00     46.87    70.22    63.70    71.64    74.17    75.03

Wed Open     48.17    76.50    65.77    74.04    74.78    75.26

Tue 3:00     47.45    75.06    65.12    72.94    74.60    75.33

Tue Open     47.03    72.21    64.24    71.98    74.64    75.16

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

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