US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR FEB 22

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

             USH    USJ     TYH    TYJ     FVH    FVJ     EDH     EDJ

1:45         N/A   5.97%    N/A   3.27%    N/A   2.09%   7.27%   7.82%

11:00        N/A   6.02%    N/A   3.23%    N/A   2.10%   7.08%   7.97%

9:30         N/A   5.99%    N/A   3.13%    N/A   2.14%   7.07%   7.35%

FRI OPEN     N/A   6.01%    N/A   3.24%    N/A   2.14%   7.11%   7.37%

THU 3:00     N/A   6.07%    N/A   3.29%    N/A   2.14%   6.86%   7.50%

THU OPEN    8.33%  6.17%   3.71%  3.27%   2.60%  2.07%   7.06%   7.80%

WED 3:00    7.08%  5.67%   3.50%  3.22%   2.59%  2.07%   7.06%   7.80%

WED OPEN    7.39%  5.88%   3.88%  3.33%   2.73%  2.21%   7.38%   7.97%

TUE 3:00    6.45%  5.87%   3.43%  3.30%   2.20%  2.13%   6.76%   7.28%

TUE OPEN    6.52%  5.87%   3.58%  3.33%   2.26%  2.19%   6.55%   7.32%

FRI 3:00    4.88%  5.72%   2.86%  3.23%   1.68%  2.12%   4.38%    N/A

FRI OPEN    5.40%  5.86%   3.11%  3.29%   1.80%  2.17%   6.06%    N/A

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

MAR19 10Y NOTE  122.50 C  106,997   -1,028   106.50 P   97,647    UNCH

APR19 10Y NOTE  123.00 C   81,509   +4,979   121.00 P  109,500 +13,442

MAR19 5Y NOTE   115.50 C   31,948     UNCH   103.75 P  284,211    UNCH

APR19 5Y NOTE   115.50 C   36,221   -2,891   114.25 P   32,981  +1,619

MAR19 2Y NOTE   106.12 C   13,144     UNCH   105.62 P    8,781    UNCH

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

MAR19 EURODLR    97.50 C  327,259   -1,000    97.00 P  886,549    UNCH

APR19 EURODLR    97.37 C  135,011     +251    97.25 P   71,340    UNCH

MAR19 1Y-MIDC    97.37 C  191,830     -122    96.62 P  790,236    UNCH

MAR20 2Y-MIDC    97.62 C   97,889   +1,718    96.62 P  220,789    UNCH

MAR21 3Y-MIDC    97.62 C   59,941     UNCH    97.00 P   64,925    UNCH

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

MAR19 10Y NOTE  122.00 C   54,343   +1,459   122.00 P   42,749  -6,188

MAR19 10Y NOTE  122.50 C  106,997   -1,028   122.50 P   17,875  -2,036

APR19 10Y NOTE  122.00 C   28,018   +2,127   122.00 P   40,787  +4,092

APR19 10Y NOTE  122.50 C   57,609   +1,311   122.50 P   26,374    -132

MAR19 5Y NOTE   114.25 C   24,593     -218   114.25 P   48,566    +757

MAR19 5Y NOTE   114.50 C   22,269  -10,191   114.50 P   17,818  -6,780

APR19 5Y NOTE   114.25 C    1,450       -6   114.25 P   32,981  +1,619

APR19 5Y NOTE   114.50 C    8,637   +1,778   114.50 P   30,902  +1,723

MAR19 2Y NOTE   106.00 C    5,012     -100   106.00 P    5,653     -61

MAR19 2Y NOTE   106.12 C   13,144     UNCH   106.12 P    1,297    UNCH

APR19 2Y NOTE   106.00 C      622     UNCH   106.00 P    1,474    UNCH

APR19 2Y NOTE   106.12 C      691       -1   106.12 P    1,070    UNCH

MAR19 EURODLR    97.25 C  322,301     UNCH    97.25 P  323,396    UNCH

MAR19 EURODLR    97.37 C  304,480     -524    97.37 P  145,970  -4,231

APR19 EURODLR    97.25 C   75,541     UNCH    97.25 P   71,340    UNCH

APR19 EURODLR    97.37 C  135,011     +251    97.37 P   31,730  +4,000

MAR20 1Y-MIDC    97.37 C  191,830     -122    97.37 P  125,216  -7,152

MAR20 1Y-MIDC    97.50 C  174,690   +2,224    97.50 P   40,008  -3,195

MAR21 2Y-MIDC    97.50 C   89,251   +5,520    97.50 P   62,069     +52

MAR21 2Y-MIDC    97.62 C   97,889   +1,718    97.62 P   21,034    UNCH

MAR22 3Y-MIDC    97.50 C   45,702     -600    97.50 P   16,730    -273

MAR22 3Y-MIDC    97.62 C   59,941     UNCH    97.62 P    2,100  +1,062

PUT/CALL RATIO FOR VOLUME CLEARED:

MAR19 10Y NOTE PUT/CALL RATIO   -- 0.47 (88,746 PUTS VS. 185,094 CALLS)

APR19 10Y NOTE PUT/CALL RATIO   -- 1.24 (113,150 PUTS VS. 91,620 CALLS)

MAR19 5Y NOTE PUT/CALL RATIO    -- 1.17 (27,322 PUTS VS. 23,033 CALLS)

APR19 5Y NOTE PUT/CALL RATIO    -- 1.33 (32,004 PUTS VS. 24,136 CALLS)

MAR19 2Y NOTE PUT/CALL RATIO    -- 0.64 (341 PUTS VS. 530 CALLS)

APR19 2Y NOTE PUT/CALL RATIO    -- 1.00 (4 PUTS VS. 4 CALLS)

MAR19 EURODLRS PUT/CALL RATIO   -- 0.54 (12,219 PUTS VS. 22,438 CALLS)

APR19 EURODLRS PUT/CALL RATIO   -- 0.20 (6,477 PUTS VS. 31,558 CALLS)

MAR20 1Y-MIDCRVE PUT/CALL RATIO -- 1.03 (48,100 PUTS VS. 46,500 CALLS)

MAR21 2Y-MIDCRVE PUT/CALL RATIO -- 0.38 (12,702 PUTS VS. 33,000 CALLS)

MAR22 3Y-MIDCRVE PUT/CALL RATIO -- 0.37 (3,351 PUTS VS. 8,851 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

1:45        44.06    50.60    53.28    53.01    63.10     69.34

11:00       44.17    50.44    53.13    52.81    63.09     69.33

9:30        44.24    50.19    53.13    52.81    63.14     69.39

Fri Open    44.22    50.11    53.10    52.84    63.13     69.37

Thu 3:00    44.18    49.97    53.08    52.86    63.11     69.41

Thu Open    44.37    49.44    53.14    52.90    63.05     69.38

Wed 3:00    44.59    49.12    53.16    52.91    63.04     69.38

Wed Open    44.59    49.35    53.39    53.07    62.88     69.37

Tue 3:00    44.31    49.23    53.21    53.10    62.95     69.48

Tue Open    44.62    49.38    53.64    53.41    63.01     69.66

Fri 3:00    44.78    49.41    53.69    53.45    63.24     70.03

Fri Open    46.04    50.65    54.48    54.15    T63.87    70.49

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

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