US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR FEB 26

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

            USJ    USM     TYH    TYJ     FVH    TUJ     EDH     EDJ

1:00       8.53%  8:20%   4.65%  4.33%   3.05%  2.75%  15.52%   14.85%

11:45      8.55%  8:21%   4.57%  4.28%   3.07%  2.74%  15.90%   14.70%

10:00      8.73%  8:27%   4.70%  4.35%   3.17%  2.80%  16.00%   14.60%

MON OPEN   8.72%  8:26%   4.65%  4.33%   3.16%  2.79%  16.75%   15.60%

FRI 3:00   8.65%   N/A    4.54%   N/A    3.05%   N/A   16.10%   14.60%

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

THU 3:00   8.63%   N/A    4.58%   N/A    2.99%   N/A   15.80%   13.90%

THU OPEN   8.50%   N/A    4.43%   N/A    2.86%   N/A   16.80%   15.70%

WED 3:00   8.75%   N/A    4.49%   N/A    2.94%   N/A   16.10%   15.45%

WED OPEN   8.34%   N/A    4.32%   N/A    2.89%   N/A   16.25%   12.58%

TUE 3:00   8.34%   N/A    4.36%   N/A    2.89%   N/A   19.10%   14.20%

TUE OPEN   8.39%   N/A    4.41%   N/A    2.85%   N/A   17.22%   13.10%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

APR18 10Y NOTE  122.50 C   95,777  +22,765   118.00 P  200,994  +1,802

JUN18 10Y NOTE  122.00 C   44,653     +870   108.50 P  107,307 +24,000

APR18 5Y NOTE   114.50 C   80,419   +1,458   114.00 P   24,284  +4,274

JUN18 5Y NOTE   116.00 C    8,882     UNCH   106.00 P   92,102 +22,352

APR18 2Y NOTE   106.62 C   19,066   +7,658   105.50 P    6,550    UNCH

JUN18 2Y NOTE   106.75 C   13,725   +1,000   106.12 P   30,000    UNCH

MAR18 EURODLR    98.50 C  484,605     UNCH    98.25 P  295,415    UNCH

APR18 EURODLR    98.37 C  235,881     UNCH    98.00 P  268,886  -1,500

MAR19 1Y-MIDC    98.25 C  217,995     UNCH    97.50 P  265,453  -1,247

MAR20 2Y-MIDC    98.50 C  145,426     UNCH    97.25 P  202,294    UNCH

MAR21 3Y-MIDC    97.50 C   97,513     UNCH    97.37 P   91,790    UNCH

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

APR18 10Y NOTE  120.00 C   33,810   +3,115   120.00 P   77,884  +4,315

APR18 10Y NOTE  120.50 C   86,421   +5,799   120.50 P   45,321    +712

JUN18 10Y NOTE  120.00 C   16,491   +3,042   120.00 P   37,414  +3,996

JUN18 10Y NOTE  120.50 C   12,800     +200   120.50 P   17,323    +110

APR18 5Y NOTE   114.25 C   21,938   +1,148   114.25 P   12,920    UNCH

APR18 5Y NOTE   114.50 C   80,419   +1,458   114.50 P   23,121    UNCH

JUN18 5Y NOTE   114.25 C    4,903       +1   114.25 P    5,909    +609

JUN18 5Y NOTE   114.50 C    5,877      -50   114.50 P   18,380  +2,073

APR18 2Y NOTE   106.38 C    1,857     +560   106.38 P      849      +1

APR18 2Y NOTE   106.50 C    6,872   +1,608   106.50 P    1,906    UNCH

JUN18 2Y NOTE   106.38 C    1,363     UNCH   106.38 P   30,000    UNCH

JUN18 2Y NOTE   106.50 C      142     UNCH   106.50 P    1,800    UNCH

MAR18 EURODLR    97.87 C   17,570     +100    97.87 P  252,690  +8,927

MAR18 EURODLR    98.00 C   81,286   -5,292    98.00 P  241,105    -212

APR18 EURODLR    97.75 C   19,215     UNCH    97.75 P  159,137      +1

APR18 EURODLR    97.87 C  107,322  +23,162    97.87 P  244,784  -1,391

MAR19 1Y-MIDC    97.37 C   19,765   +3,976    97.37 P  197,865  -5,997

MAR19 1Y-MIDC    97.50 C  138,080  +10,550    97.50 P  265,453  -1,247

MAR20 2Y-MIDC    97.00 C    6,821     UNCH    97.00 P  168,017  -2,917

MAR20 2Y-MIDC    97.12 C   36,270  +10,550    97.12 P  133,909  -2,666

MAR21 3Y-MIDC    96.87 C    1,750   +1,000    96.87 P   46,856  -1,000

MAR21 3Y-MIDC    97.00 C   18,975     -150    97.00 P   66,045 -12,231

PUT/CALL RATIO FOR VOLUME CLEARED:

APR18 10Y NOTE PUT/CALL RATIO   -- 0.48 (95,732 PUTS VS. 195,423 CALLS)

JUN18 10Y NOTE PUT/CALL RATIO   -- 2.39 (80,288 PUTS VS. 33,490 CALLS)

APR18 5Y NOTE PUT/CALL RATIO    -- 0.81 (27,039 PUTS VS. 33,377 CALLS)

JUN18 5Y NOTE PUT/CALL RATIO    -- 1.43 (36,265 PUTS VS. 25,363 CALLS)

APR18 2Y NOTE PUT/CALL RATIO    -- 0.03 (536 PUTS VS. 16,010 CALLS)

JUN18 2Y NOTE PUT/CALL RATIO    -- 0.10 (695 PUTS VS. 6,924 CALLS)

MAR18 EURODLRS PUT/CALL RATIO   -- 1.68 (68,129 PUTS VS. 40,452 CALLS)

Apr18 EURODLRS PUT/CALL RATIO   -- 0.28 (27,102 PUTS VS. 94,170 CALLS)

MAR19 1Y-MIDCRVE PUT/CALL RATIO -- 0.95 (38,071 PUTS VS. 29,750 CALLS)

MAR20 2Y-MIDCRVE PUT/CALL RATIO -- 0.25 (28,362 PUTS VS. 111,750 CALLS)

MAR21 3Y-MIDCRVE PUT/CALL RATIO -- 1.23 (46,255 PUTS VS. 37,350 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         50.22    69.65    64.01    66.94    71.10    73.07

11:45        50.25    69.82    64.04    66.97    71.09    73.06

10:00        50.13    69.91    64.24    67.04    71.06    73.17

Mon Open     50.20    69.98    64.33    66.98    71.00    73.19

Fri 3:00     49.89    69.47    63.79    66.70    70.83    72.80

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

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

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