US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR FEB 23

OPEN INTEREST LEVELS NOT UPDATED

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

            USH    USJ     TYH    TYJ     FVH    TUJ     EDH     EDJ

1:00        N/A   8.76%    N/A   4.62%    N/A   3.08%   15.90%  14.70%

11:30       N/A   8.60%    N/A   4.52%    N/A   3.00%   16.00%  14.20%

FRI OPEN    N/A   8.50%    N/A   4.47%    N/A   2.97%   15.13%  14.65%

THU 3:00   10.09% 8.63%   4.81%  4.58%   2.33%  2.99%   15.80%  13.90%

THU OPEN   10.39% 8.50%   5.02%  4.43%   2.71%  2.86%   16.80%  15.70%

WED 3:00   11.03% 8.75%   5.56%  4.49%   3.16%  2.94%   16.10%  15.45%

WED OPEN   9.19%  8.34%   4.78%  4.32%   3.05%  2.89%   16.25%  12.58%

TUE 3:00   9.02%  8.34%   4.89%  4.36%   2.58%  2.89%   19.10%  14.20%

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

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

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

APR18 10Y NOTE  122.50 C   69,882   +8,490   118.00 P  203,644    -327

MAR18 5Y NOTE   115.00 C   90,054       +9   108.50 P  140,106    UNCH

APR18 5Y NOTE   115.00 C   39,802   +1,449   111.50 P   23,865    UNCH

MAR18 2Y NOTE   106.87 C   67,109     UNCH   107.00 P   26,594    UNCH

APR18 2Y NOTE   107.12 C   13,970     UNCH   106.25 P    3,775    UNCH

MAR18 EURODLR    98.50 C  484,605     UNCH    98.25 P  301,872    UNCH

APR18 EURODLR    98.50 C  235,881     UNCH    98.00 P  270,386    UNCH

MAR19 1Y-MIDC    98.25 C  217,995     UNCH    97.50 P  281,175  -7,347

MAR20 2Y-MIDC    98.50 C  145,426     UNCH    97.25 P  202,213    UNCH

MAR21 3Y-MIDC    97.50 C   96,513   +9,242    97.37 P   91,800    UNCH

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

MAR18 10Y NOTE  121.00 C   30,922   +4,237   121.00 P   76,086  +3,324

MAR18 10Y NOTE  121.50 C   59,400     -668   121.50 P   78,995    -564

APR18 10Y NOTE  120.00 C   16,331   +3,074   120.00 P   72,621  +3,708

APR18 10Y NOTE  120.50 C   62,407     -806   120.50 P   43,501    +301

MAR18 5Y NOTE   114.50 C   11,141      -25   114.50 P   34,788  +1,541

MAR18 5Y NOTE   114.75 C   21,860   +4,233   114.75 P   21,238     -11

APR18 5Y NOTE   114.25 C   11,931   +1,597   114.25 P   10,787      -6

APR18 5Y NOTE   114.50 C   38,571     +915   114.50 P    5,385  +1,115

MAR18 2Y NOTE   106.50 C      240      +75   106.50 P    6,598    -491

MAR18 2Y NOTE   106.62 C    3,195     -180   106.62 P   11,780    +140

APR18 2Y NOTE   106.38 C    1,307     UNCH   106.38 P      848    UNCH

APR18 2Y NOTE   106.50 C    4,093     -600   106.50 P    1,906    UNCH

MAR18 EURODLR    97.87 C   16,570   +1,750    97.87 P  203,845  +4,393

MAR18 EURODLR    98.00 C   66,107  +16,049    98.00 P  266,898  -2,450

APR18 EURODLR    97.75 C    2,250   +1,750    97.75 P  178,790    -250

APR18 EURODLR    97.87 C   68,612     -498    97.87 P  246,375  -2,015

MAR19 1Y-MIDC    97.38 C    8,533     UNCH    97.38 P  211,124  +7,634

MAR19 1Y-MIDC    97.50 C  110,005  +13,042    97.50 P  281,175  -7,347

MAR20 2Y-MIDC    97.00 C   10,024   +1,000    97.00 P  179,383  +1,778

MAR20 2Y-MIDC    97.12 C   14,195     +100    97.12 P  149,717    +580

MAR21 3Y-MIDC    96.87 C        0     UNCH    96.87 P   49,306    +200

MAR21 3Y-MIDC    97.00 C    8,850     UNCH    97.00 P   86,256  -1,100

PUT/CALL RATIO FOR VOLUME CLEARED:

MAR18 10Y NOTE PUT/CALL RATIO   -- 1.66 (151,527 PUTS VS. 90,822 CALLS)

APR18 10Y NOTE PUT/CALL RATIO   -- 0.77 (75,672 PUTS VS. 97,532 CALLS)

MAR18 5Y NOTE PUT/CALL RATIO    -- 1.08 (36,988 PUTS VS. 34,129 CALLS

APR18 5Y NOTE PUT/CALL RATIO    -- 0.65 (23,374 PUTS VS. 35,606 CALLS)

MAR18 2Y NOTE PUT/CALL RATIO    -- 0.63 (1,892 PUTS VS. 3,071 CALLS)

APR18 2Y NOTE PUT/CALL RATIO    -- 0.17 (2,839 PUTS VS. 16,386 CALLS)

MAR18 EURODLRS PUT/CALL RATIO   -- 1.02 (129,530 PUTS VS. 126,212 CALLS)

Apr18 EURODLRS PUT/CALL RATIO   -- 2.76 (59,512 PUTS VS. 21,526 CALLS)

MAR19 1Y-MIDCRVE PUT/CALL RATIO -- 4.80 (82,201 PUTS VS. 17,150 CALLS)

MAR20 2Y-MIDCRVE PUT/CALL RATIO -- 1.04 (7,630 PUTS VS. 7,360 CALLS)

MAR21 3Y-MIDCRVE PUT/CALL RATIO -- 0.61 (6,800 PUTS VS. 11,050 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

1:00         49.81    69.19    63.50    66.50    70.76    72.84

11:30        49.72    69.14    63.50    66.42    70.63    72.81

Fri Open     49.54    67.88    63.07    65.91    70.44    72.66

Thu 3:00     49.72    67.94    63.46    66.53    70.80    72.98

Thu Open     50.04    67.73    63.87    66.92    71.04    73.16

Wed 3:00     48.85    66.15    63.26    66.17    70.96    73.26

Wed Open     49.05    67.50    63.78    67.20    71.60    73.61

Tue 3:00     49.18    67.90    62.81    67.32    72.04    73.79

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

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

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