US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR FEB 27

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

             USJ    USM     TYJ    TYM     FVJ    FVM     EDH     EDJ

12:45       5.98%  6.20%   3.37%  3.49%   2.25%  2.30%   6.65%   8.04%

10:15       6.15%  6.24%   3.37%  3.49%   2.25%  2.30%   6.65%   7.70%

WED OPEN    5.71%  6.04%   3.22%  3.36%   2.14%  2.23%   6.67%   7.74%

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

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

APR19 10Y NOTE  123.00 C   94,216   -2,535   121.00 P  119,312  +1,348

JUN19 10Y NOTE  124.50 C   23,784   +1,721   112.00 P   40,111  +2,512

APR19 5Y NOTE   115.50 C   43,574     +554   114.25 P   39,213     +10

JUN19 5Y NOTE   116.00 C   11,300     UNCH   108.25 P  151,523    +123

APR19 2Y NOTE   106.50 C    3,454     +700   105.62 P    3,234     -75

JUN19 2Y NOTE   106.00 C    3,492     UNCH   105.25 P   35,000 +35,000

MAR19 EURODLR    97.25 C  322,561     +260    97.00 P  886,549    UNCH

APR19 EURODLR    97.37 C  135,011   +1,000    97.25 P   68,840  -1,000

MAR19 1Y-MIDC    97.37 C  156,980  -34,850    96.62 P  790,236    UNCH

MAR20 2Y-MIDC    97.62 C   95,301   -1,348    96.62 P  220,789    UNCH

MAR21 3Y-MIDC    97.62 C   60,637     +196    97.00 P   64,925    UNCH

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

APR19 10Y NOTE  122.00 C   27,406       -2   122.00 P   56,315  +2,590

APR19 10Y NOTE  122.50 C   67,027   -2,745   122.50 P   28,508     -55

JUN19 10Y NOTE  122.00 C   17,823      -52   122.00 P   26,377    +461

JUN19 10Y NOTE  122.50 C   14,743     +955   122.50 P   12,480    +632

APR19 5Y NOTE   114.50 C    8,780       -2   114.50 P   35,090    +802

APR19 5Y NOTE   114.75 C   18,601     +589   114.75 P   14,756    +708

JUN19 5Y NOTE   114.50 C    6,045     UNCH   114.50 P    9,750    UNCH

JUN19 5Y NOTE   114.75 C    5,735      +69   114.75 P    9,838    +700

APR19 2Y NOTE   106.00 C      622     UNCH   106.00 P    2,086     +62

APR19 2Y NOTE   106.12 C      692     UNCH   106.12 P    1,777    +700

JUN19 2Y NOTE   106.00 C    3,492     UNCH   106.00 P      519    +478

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

MAR19 EURODLR    97.25 C  322,561     +260    97.25 P  318,121    UNCH

MAR19 EURODLR    97.37 C  305,764     -400    97.37 P  148,910    +105

APR19 EURODLR    97.25 C   75,723     +182    97.25 P   68,840  -1,000

APR19 EURODLR    97.37 C  135,011   +1,000    97.37 P   35,782    +950

MAR20 1Y-MIDC    97.37 C  156,980  -34,850    97.37 P  133,628  +4,487

MAR20 1Y-MIDC    97.50 C  155,096  -20,289    97.50 P   39,796  -2,990

MAR21 2Y-MIDC    97.50 C   85,001     UNCH    97.50 P   66,759    +675

MAR21 2Y-MIDC    97.62 C   95,301   -1,348    97.62 P   23,268    -136

MAR22 3Y-MIDC    97.50 C   43,752     +150    97.50 P   15,119    UNCH

MAR22 3Y-MIDC    97.62 C   60,637     +196    97.62 P    2,100    UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

APR19 10Y NOTE PUT/CALL RATIO   -- 1.02 (65,659 PUTS VS. 63,825 CALLS)

JUN19 10Y NOTE PUT/CALL RATIO   -- 1.75 (32,904 PUTS VS. 18,779 CALLS)

APR19 5Y NOTE PUT/CALL RATIO    -- 2.42 (67,625 PUTS VS. 27,994 CALLS)

JUN19 5Y NOTE PUT/CALL RATIO    -- 15.8 (92,097 PUTS VS. 5,832 CALLS)

MAR19 2Y NOTE PUT/CALL RATIO    -- 2.25 (3,677 PUTS VS. 1,583 CALLS)

APR19 2Y NOTE PUT/CALL RATIO    -- 37.2 (44,779 PUTS VS. 1,174 CALLS)

MAR19 EURODLRS PUT/CALL RATIO   -- 3.29 (14,570 PUTS VS. 4,432 CALLS)

APR19 EURODLRS PUT/CALL RATIO   -- 0.49 (5,000 PUTS VS. 10,212 CALLS)

MAR20 1Y-MIDCRVE PUT/CALL RATIO -- 0.25 (37,787 PUTS VS. 147,950 CALLS)

MAR21 2Y-MIDCRVE PUT/CALL RATIO -- 2.79 (25,701 PUTS VS. 9,250 CALLS)

MAR22 3Y-MIDCRVE PUT/CALL RATIO -- 0.08 (100 PUTS VS. 1,150 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       44.28    50.80    53.11    52.91    63.22     69.60

10:15       44.20    50.49    53.00    52.84    63.24     69.53

Wed Open    44.01    50.33    52.78    52.59    63.03     69.32

Tue 3:00    43.93    50.42    52.73    52.51    63.06     69.28

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

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

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