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

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

             USJ    USM     TYJ    TYM     FVJ    FVM     EDH     EDJ

TUE 3:00    5.80%  6.07%   3.23%  3.38%   2.17%  2.23%   7.16%   7.27%

1:15        5.82%  6.06%   3.20%  3.37%   2.17%  2.22%   6.68%   7.39%

10:45       5.80%  6.07%   3.18%  3.35%   2.15%  2.21%   6.61%   7.44%

TUE OPEN    5.82%  6.10%   3.29%  3.39%   2.16%  2.21%   6.65%   7.75%

MON 3:00    5.85%  6.12%   3.33%  3.35%   2.12%  2.15%   6.57%   7.70%

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   96,571     +522   121.00 P  117,965  +4,239

JUN19 10Y NOTE  124.50 C   22,063     +517   112.00 P   37,599    UNCH

APR19 5Y NOTE   115.50 C   43,020     +219   114.25 P   39,203  +4,322

JUN19 5Y NOTE   116.00 C   11,300       +2   108.25 P  151,400    UNCH

APR19 2Y NOTE   106.50 C    2,754       -5   103.62 P    3,309    UNCH

JUN19 2Y NOTE   106.00 C    3,492     UNCH   104.62 P    5,539    +253

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

APR19 EURODLR    97.37 C  134,011   -1,000    97.25 P   69,840    +500

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

MAR20 2Y-MIDC    97.62 C   96,649   +1,500    96.62 P  220,789    UNCH

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

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

APR19 10Y NOTE  122.00 C   27,408     -697   122.00 P   53,725  +6,839

APR19 10Y NOTE  122.50 C   69,880   +3,949   122.50 P   28,563    +120

JUN19 10Y NOTE  122.00 C   17,875      -71   122.00 P   25,919      +9

JUN19 10Y NOTE  122.50 C   13,788     +978   122.50 P   11,848    +763

APR19 5Y NOTE   114.50 C    8,782     +165   114.50 P   34,288  +2,699

APR19 5Y NOTE   114.75 C   18,012      -94   114.75 P   14,048  +1,041

JUN19 5Y NOTE   114.50 C    6,045      +10   114.50 P    9,750     +20

JUN19 5Y NOTE   114.75 C    5,666       -3   114.75 P    9,138    +115

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

APR19 2Y NOTE   106.12 C      692     UNCH   106.12 P    1,077    UNCH

JUN19 2Y NOTE   106.00 C    3,492     UNCH   106.00 P       41     +35

JUN19 2Y NOTE   106.12 C    1,425     UNCH   106.12 P    1,426    UNCH

MAR19 EURODLR    97.25 C  322,301     UNCH    97.25 P  318,121    UNCH

MAR19 EURODLR    97.37 C  306,164     +599    97.37 P  148,805    +250

APR19 EURODLR    97.25 C   75,541     UNCH    97.25 P   69,840    +500

APR19 EURODLR    97.37 C  134,011   -1,000    97.37 P   34,832    UNCH

MAR20 1Y-MIDC    97.37 C  191,830     UNCH    97.37 P  129,641  +2,327

MAR20 1Y-MIDC    97.50 C  175,385     -263    97.50 P   39,786    +151

MAR21 2Y-MIDC    97.50 C   85,001     UNCH    97.50 P   66,084    UNCH

MAR21 2Y-MIDC    97.62 C   96,649   +1,500    97.62 P   23,404    UNCH

MAR22 3Y-MIDC    97.50 C   45,252     -900    97.50 P   17,769    -100

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

PUT/CALL RATIO FOR VOLUME CLEARED:

APR19 10Y NOTE PUT/CALL RATIO   -- 1.59 (102,994 PUTS VS. 64,611 CALLS)

JUN19 10Y NOTE PUT/CALL RATIO   -- 2.32 (35,104 PUTS VS. 15,121 CALLS)

APR19 5Y NOTE PUT/CALL RATIO    -- 1.25 (24,502 PUTS VS. 19,652 CALLS)

JUN19 5Y NOTE PUT/CALL RATIO    -- 6.33 (24,723 PUTS VS. 3,900 CALLS)

MAR19 2Y NOTE PUT/CALL RATIO    -- 0.22 (2 PUTS VS. 9 CALLS)

APR19 2Y NOTE PUT/CALL RATIO    -- 1.88 (495 PUTS VS. 261 CALLS)

MAR19 EURODLRS PUT/CALL RATIO   -- 0.09 (1,750 PUTS VS. 18,770 CALLS)

APR19 EURODLRS PUT/CALL RATIO   -- 0.12 (3,500 PUTS VS. 28,528 CALLS)

MAR20 1Y-MIDCRVE PUT/CALL RATIO -- 1.75 (7,907 PUTS VS. 4,538 CALLS)

MAR21 2Y-MIDCRVE PUT/CALL RATIO -- 0.68 (36,402 PUTS VS. 53,305 CALLS)

MAR22 3Y-MIDCRVE PUT/CALL RATIO -- 0.55 (2,100 PUTS VS. 3,895 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

Tue 3:00    43.93    50.42    52.73    52.51    63.06     69.28

1:15        43.94    50.45    52.69    52.50    63.06     69.29

10:45       43.89    50.41    52.68    52.51    63.00     69.25

Tue Open    44.10    50.52    52.79    52.61    63.04     69.27

Mon 3:00    44.24    50.87    52.92    52.80    63.18     69.41

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$]