US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR FEB 20

OPEN INTEREST LEVELS NOT UPDATED

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

            USH    USJ     TYH    TYJ     FVH    TUJ     EDH     EDJ

TUE OPEN   9.17%  8.39%   4.74%  4.41%   2.74%  2.85%   17.22%  13.10%

FRI 3:00   7.77%  8.21%   4.06%  4.38%   2.30%  2.83%   18.20%   N/A

FRI OPEN   7.70%  8.38%   4.11%  4.46%   2.62%  2.81%   18.50%   N/A

THU 3:00   8.24%  8.77%   4.17%  4.61%   2.68%  2.88%   18.10%   N/A

THU OPEN   9.12%  9.17%   4.55%  4.82%   3.00%  2.95%   18.00%   N/A

WED 3:00   9.35%  9.22%   4.68%  4.85%   3.13%  3.03%   18.30%   N/A

WED OPEN   10.27% 9.38%   5.55%  5.04%   3.56%  3.12%   16.80%   N/A

TUE 3:00   10.25% 9.51%   5.39%  4.90%   3.41%  3.06%   16.55%   N/A

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

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

Tue Open     49.97    69.49    63.50    68.30    73.38    74.96

Fri 3:00     50.14    69.28    64.10    69.16    73.80    75.16

Fri Open     51.21    72.65    66.28    72.24    75.15    75.69

Thu 3:00     51.77    74.78    67.14    73.27    75.47    75.75

Thu Open     52.33    77.55    68.22    74.45    75.85    76.04

Wed 3:00     50.91    76.82    67.33    74.12    75.74    75.98

Wed Open     49.76    77.09    66.72    74.32    75.49    75.63

Tue 3:00     49.89    77.61    66.58    74.47    75.56    75.62

Tue Open     50.59    78.55    67.18    75.12    75.68    75.67

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

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