US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR FEB 18

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

             USH    USJ     TYH    TYJ     FVH    FVJ     EDH     EDJ

0915        9.24%  8.19%   5.10%  4.35%   3.11%  2.85%   17.85%  31.20%

TUE OPEN    9.26%  8.22%   5.03%  4.34%   3.15%  2.85%   17.20%  30.60%

FRI 1500    7.25%  7.64%   3.76%  4.02%   2.19%  2.59%   16.85%   N/A

FRI OPEN    7.22%  7.55%   3.90%  4.00%   2.06%  2.60%   16.30%   N/A

THU 1500    7.56%  7.90%   3.97%  4.18%   2.56%  2.66%   15.95%   N/A

THU OPEN    8.29%  8.00%   4.12%  4.22%   2.64%  2.67%   17.40%   N/A

WED 1500    7.69%  7.75%   4.04%  4.11%   2.44%  2.67%   16.40%   N/A

WED OPEN    7.81%  7.81%   4.05%  4.10%   2.41%  2.65%   16.35%   N/A

TUE 1500    8.28%  7.99%   4.25%  4.25%   2.69%  2.72%   18.10%   N/A

TUE OPEN    8.54%  7.65%   4.38%  4.36%   2.69%  2.71%   17.15%   N/A

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

MAR20 10Y NOTE  131.50 C  131,530  -18,975   128.00 P  131,314     +150

APR20 10Y NOTE  132.00 C   87,850  +15,372   129.00 P   95,996   +1,122

MAR20 5Y NOTE   119.00 C   45,726      -12   111.00 P  252,174     UNCH

APR20 5Y NOTE   121.50 C   48,952      +65   119.50 P   59,345      -78

MAR20 2Y NOTE   108.00 C   10,141     +721   105.75 P   55,165     UNCH

APR20 2Y NOTE   108.50 C    3,402     UNCH   108.00 P   10,379   +6,585

MAR20 EURODLR    98.50 C  544,590     +500    98.12 P  409,726     UNCH

APR20 EURODLR    98.50 C  110,889  -18,616    98.25 P  251,708   -4,275

MAR21 1Y-MIDC    99.75 C  235,547   -2,500    98.37 P  174,162   -1,646

MAR22 2Y-MIDC    98.25 C   78,546     UNCH    98.25 P  100,183     UNCH

MAR23 3Y-MIDC    98.12 C   53,469     UNCH    98.12 P   38,842     UNCH

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

MAR20 10Y NOTE  131.00 C  104,920   -8,903   131.00 P   43,401   -3,871

MAR20 10Y NOTE  131.50 C  131,530  -18,975   131.50 P   18,845     -469

APR20 10Y NOTE  131.00 C   77,817   +3,735   131.00 P   27,397     +535

APR20 10Y NOTE  131.50 C   65,095   +3,132   131.50 P   16,080     +118

MAR20 5Y NOTE   119.75 C   19,972     -548   119.75 P   21,741     +646

MAR20 5Y NOTE   120.00 C   35,913      +63   120.00 P   12,141      +20

APR20 5Y NOTE   120.00 C   14,676     UNCH   120.00 P   16,662      -29

APR20 5Y NOTE   120.25 C    7,861      -32   120.25 P    5,372     +190

MAR20 2Y NOTE   107.88 C    5,053     UNCH   107.88 P   10,163     +181

MAR20 2Y NOTE   108.00 C   10,141     +721   108.00 P    1,351       +4

APR20 2Y NOTE   108.00 C      196     UNCH   108.00 P   10,379   +6,585

APR20 2Y NOTE   108.12 C      647     UNCH   108.12 P      851     UNCH

MAR20 EURODLR    98.25 C  245,898     -500    98.25 P  332,770     UNCH

MAR20 EURODLR    98.37 C  418,767   -3,250    98.37 P  157,085     +500

APR20 EURODLR    98.25 C   78,176     UNCH    98.25 P  251,708   -4,275

APR20 EURODLR    98.37 C   77,044     +200    98.37 P  112,015   +2,515

MAR21 1Y-MIDC    98.37 C  113,716     UNCH    98.37 P  174,162   -1,646

MAR21 1Y-MIDC    98.50 C  146,156      +93    98.50 P  172,309   -1,600

MAR22 2Y-MIDC    98.37 C   31,398     UNCH    98.37 P   43,501     -434

MAR22 2Y-MIDC    98.50 C   34,628     UNCH    98.50 P   45,332     -500

MAR23 3Y-MIDC    98.37 C   10,870     UNCH    98.37 P   26,662      -20

MAR23 3Y-MIDC    98.50 C   44,709     -200    98.50 P   16,418     UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

MAR20 10Y NOTE PUT/CALL RATIO   -- 0.77 (142,794 PUTS VS. 184,638 CALLS)

APR20 10Y NOTE PUT/CALL RATIO   -- 0.71 (65,974 PUTS VS. 92,576 CALLS)

MAR20 5Y NOTE PUT/CALL RATIO    -- 1.09 (12,330 PUTS VS. 11,418 CALLS)

APR20 5Y NOTE PUT/CALL RATIO    -- 0.57 (2,307 PUTS VS. 4,067 CALLS)

MAP20 2Y NOTE PUT/CALL RATIO    -- 0.52 (496 PUTS VS. 946 CALLS)

APR20 2Y NOTE PUT/CALL RATIO    -- 196.5 (7,469 PUTS VS. 38 CALLS)

MAR20 EURODLRS PUT/CALL RATIO   -- 0.01 (500 PUTS VS. 14,750 CALLS)

APR20 EURODLRS PUT/CALL RATIO   -- 0.29 (19,550 PUTS VS. 64,472 CALLS)

MAR21 1Y-MIDCRVE PUT/CALL RATIO -- 0.18 (12,493 PUTS VS. 66,209 CALLS)

MAR22 2Y-MIDCRVE PUT/CALL RATIO -- 0.51 (2,785 PUTS VS. 5,385 CALLS)

MAR23 3Y-MIDCRVE PUT/CALL RATIO -- 0.54 (646 PUTS VS. 1,175 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

0915        61.16    66.66    65.52    66.89    64.94     65.17

Tue Open    61.18    66.71    65.39    66.72    64.86     65.10

Fri 1500    60.25    65.77    65.13    66.26    64.82     65.00

Fri Open    59.75    65.31    64.73    65.88    64.68     65.05

Thu 1500    59.19    67.84    64.61    65.78    64.44     65.01

Thu Open    58.33    68.61    65.10    66.19    64.75     65.08

Wed 1500    57.88    68.43    64.94    66.20    64.97     65.42

Wed Open    58.90    68.98    65.09    66.54    64.86     65.27

Tue 1500    60.35    69.41    65.88    67.31    65.28     65.60

Tue Open    61.56    72.04    67.06    68.07    65.43     65.54

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

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