US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR FEB 25

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

             USJ    USM     TYJ    TYM     FVJ    FVM     EDH     EDJ

12:45       5.86%  6.10%   3.30%  3.37%   2.11%  2.19%   7.04%   8.20%

11:15       5.85%  6.09%   3.33%  3.35%   2.11%  2.18%   7.49%   8.11%

9:45        5.92%  6.14%   3.33%  3.39%   2.16%  2.22%   6.92%   7.85%

MON OPEN    6.03%  6.24%   3.33%  3.44%   2.18%  2.25%   7.12%   7.70%

FRI 3:00    5.97%   N/A    3.27%   N/A    2.09%   N/A    7.27%   7.82%

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

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

THU OPEN    6.17%   N/A    3.27%   N/A    2.07%   N/A    7.06%   7.80%

WED 3:00    5.67%   N/A    3.22%   N/A    2.07%   N/A    7.06%   7.80%

WED OPEN    5.88%   N/A    3.33%   N/A    2.21%   N/A    7.38%   7.97%

TUE 3:00    5.87%   N/A    3.30%   N/A    2.13%   N/A    6.76%   7.28%

TUE OPEN    5.87%   N/A    3.33%   N/A    2.19%   N/A    6.55%   7.32%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

APR19 10Y NOTE  123.00 C   97,439  +15,130   121.00 P  114,327  +4,884

JUN19 10Y NOTE  124.50 C   21,546   +1,394   112.00 P   37,599    UNCH

APR19 5Y NOTE   115.50 C   42,801   +6,580   114.25 P   34,881  +1,900

JUN19 5Y NOTE   116.00 C   11,298   +3,835   108.25 P  151,400    UNCH

APR19 2Y NOTE   106.50 C    2,759   +2,640   103.62 P    3,309  +2,135

JUN19 2Y NOTE   106.00 C    3,492   +1,667   104.62 P    5,286  +5,198

MAR19 EURODLR    97.25 C  322,301     UNCH    97.00 P  886,549    UNCH

APR19 EURODLR    97.37 C  135,011     UNCH    97.25 P   69,340  -2,000

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

MAR20 2Y-MIDC    97.62 C   95,149   -2,240    96.62 P  220,789    UNCH

MAR21 3Y-MIDC    97.62 C   60,441     +500    97.00 P   64,925    UNCH

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

APR19 10Y NOTE  122.00 C   28,105      +87   122.00 P   47,186  +6,399

APR19 10Y NOTE  122.50 C   65,931   +8,322   122.50 P   28,443  +2,069

JUN19 10Y NOTE  122.00 C   17,946   +1,650   122.00 P   25,907  +2,074

JUN19 10Y NOTE  122.50 C   13,010     +779   122.50 P   11,085    +530

APR19 5Y NOTE   114.50 C    8,617      -20   114.50 P   31,589    +687

APR19 5Y NOTE   114.75 C   18,106   +2,456   114.75 P   13,007  +1,371

JUN19 5Y NOTE   114.50 C    6,035   +1,823   114.50 P    9,730      +9

JUN19 5Y NOTE   114.75 C    5,669     +132   114.75 P    9,023    +352

APR19 2Y NOTE   106.00 C      622     UNCH   106.00 P    2,024    +550

APR19 2Y NOTE   106.12 C      692       +1   106.12 P    1,077      +7

JUN19 2Y NOTE   106.00 C    3,492   +1,667   106.00 P        6      +1

JUN19 2Y NOTE   106.12 C    1,425     +150   106.12 P    1,426    +150

MAR19 EURODLR    97.25 C  322,301     UNCH    97.25 P  320,521  -2,875

MAR19 EURODLR    97.37 C  305,565   +1,085    97.37 P  148,555  +2,985

APR19 EURODLR    97.25 C   75,541     UNCH    97.25 P   69,340  -2,000

APR19 EURODLR    97.37 C  135,011     UNCH    97.37 P   34,832  +3,102

MAR20 1Y-MIDC    97.37 C  191,830     UNCH    97.37 P  127,314  +2,098

MAR20 1Y-MIDC    97.50 C  175,648     +958    97.50 P   39,635    -373

MAR21 2Y-MIDC    97.50 C   85,001   -4,250    97.50 P   66,084  +4,015

MAR21 2Y-MIDC    97.62 C   95,149   -2,240    97.62 P   23,404  +2,370

MAR22 3Y-MIDC    97.50 C   46,152     +450    97.50 P   17,869  +1,139

MAR22 3Y-MIDC    97.62 C   60,441     +500    97.62 P    2,100    UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

APR19 10Y NOTE PUT/CALL RATIO   -- 0.60 (60,416 PUTS VS. 100,672 CALLS)

JUN19 10Y NOTE PUT/CALL RATIO   -- 0.64 (41,704 PUTS VS. 64,519 CALLS)

APR19 5Y NOTE PUT/CALL RATIO    -- 0.60 (22,663 PUTS VS. 37,157 CALLS)

JUN19 5Y NOTE PUT/CALL RATIO    -- 1.30 (18,497 PUTS VS. 14,225 CALLS)

MAR19 2Y NOTE PUT/CALL RATIO    -- 1.51 (4,132 PUTS VS. 2,772 CALLS)

APR19 2Y NOTE PUT/CALL RATIO    -- 0.98 (5,499 PUTS VS. 5,563 CALLS)

MAR19 EURODLRS PUT/CALL RATIO   -- 0.14 (15,655 PUTS VS. 104,898 CALLS)

APR19 EURODLRS PUT/CALL RATIO   -- 9.14 (24,701 PUTS VS. 2,700 CALLS)

MAR20 1Y-MIDCRVE PUT/CALL RATIO -- 0.60 (15,993 PUTS VS. 26,108 CALLS)

MAR21 2Y-MIDCRVE PUT/CALL RATIO -- 6.10 (34,180 PUTS VS. 5,610 CALLS)

MAR22 3Y-MIDCRVE PUT/CALL RATIO -- 0.52 (2,775 PUTS VS. 5,150 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

12:45       44.39    51.03    53.11    52.95    63.26     69.49

11:15       44.46    51.18    53.19    53.04    63.28     69.52

9:45        44.48    51.34    53.33    53.16    63.27     69.49

Mon Open    44.58    51.33    53.36    53.16    63.27     69.49

Fri 3:00    44.06    50.60    53.28    53.01    63.10     69.34

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

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

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