US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR FEB 28

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

            USJ    USM     TYH    TYJ     FVH    TUJ     EDH     EDJ

WED 3:00   8.31%  8:26%   4.57%  4.36%   2.97%  2.80%   15.43%  14.47%

1:15       8.32%  8:26%   4.64%  4.36%   2.98%  2.79%   14.75%  14.46%

11:30      8.37%  8:27%   4.64%  4.39%   3.09%  2.80%   14.73%  14.46%

9:30       8.31%  8:18%   4.58%  4.32%   3.02%  2.75%   14.70%  13.33%

WED OPEN   8.25%  8:09%   4.64%  4.28%   3.08%  2.79%   15.83%  13.45%

TUE 3:00   8.41%  8:21%   4.66%  4.35%   3.13%  2.79%   17.28%  16.25%

TUE OPEN   8.51%  8:16%   4.61%  4.32%   3.01%  2.75%   16.45%  16.10%

MON 3:00   8.54%  8:26%   4.62%  4.37%   3.02%  2.75%   16.70%  14.95%

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

APR18 10Y NOTE  122.50 C  105,695   +4,392   119.50 P  210,376  +3,094

JUN18 10Y NOTE  122.00 C   50,827   +5,787   108.50 P  107,370     +63

APR18 5Y NOTE   114.50 C   79,629     -492   113.50 P   28,973  +2,362

JUN18 5Y NOTE   116.00 C    8,882     UNCH   105.50 P  152,553  +6,000

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

JUN18 2Y NOTE   106.75 C   13,281     UNCH   106.12 P   30,000    UNCH

MAR18 EURODLR    98.50 C  480,031     UNCH    98.25 P  277,536 -15,379

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

MAR19 1Y-MIDC    98.25 C  217,995     UNCH    97.50 P  259,753  -3,450

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

MAR21 3Y-MIDC    97.50 C   97,413     UNCH    97.37 P   91,790    UNCH

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

APR18 10Y NOTE  120.00 C   34,808     +645   120.00 P   81,209    -391

APR18 10Y NOTE  120.50 C   89,805   +1,260   120.50 P   46,030  -1,602

JUN18 10Y NOTE  120.00 C   17,464      +41   120.00 P   38,135    +586

JUN18 10Y NOTE  120.50 C   13,982      +35   120.50 P   18,509    +125

APR18 5Y NOTE   114.25 C   23,269     -297   114.25 P   13,871     -12

APR18 5Y NOTE   114.50 C   79,629     -492   114.50 P   23,121    UNCH

JUN18 5Y NOTE   114.25 C    6,086       +6   114.25 P    5,910     -17

JUN18 5Y NOTE   114.50 C    6,002     +125   114.50 P   18,380    UNCH

APR18 2Y NOTE   106.38 C    1,737     -150   106.38 P      849    UNCH

APR18 2Y NOTE   106.50 C    5,117   -1,757   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   17,536     -350    97.87 P  224,575 -11,172

MAR18 EURODLR    98.00 C   83,336   +2,500    98.00 P  240,591    UNCH

APR18 EURODLR    97.75 C   20,926   +1,711    97.75 P  135,976  -1,144

APR18 EURODLR    97.87 C  108,471   +1,099    97.87 P  244,784    UNCH

MAR19 1Y-MIDC    97.37 C   22,015   +2,250    97.37 P  198,575    +682

MAR19 1Y-MIDC    97.50 C  137,768     +238    97.50 P  259,753  -3,450

MAR20 2Y-MIDC    97.00 C    6,821     UNCH    97.00 P  184,200  +7,952

MAR20 2Y-MIDC    97.12 C   36,270     UNCH    97.12 P  124,667  -7,341

MAR21 3Y-MIDC    96.87 C    1,750     UNCH    96.87 P   49,266  +2,410

MAR21 3Y-MIDC    97.00 C   18,975     UNCH    97.00 P   73,897  +7,952

PUT/CALL RATIO FOR VOLUME CLEARED:

APR18 10Y NOTE PUT/CALL RATIO   -- 1.02 (175,536 PUTS VS. 170,863 CALLS)

JUN18 10Y NOTE PUT/CALL RATIO   -- 1.42 (56,966 PUTS VS. 40,006 CALLS)

APR18 5Y NOTE PUT/CALL RATIO    -- 1.21 (27,654 PUTS VS. 22,866 CALLS)

JUN18 5Y NOTE PUT/CALL RATIO    -- 12.5 (26,463 PUTS VS. 2,124 CALLS)

APR18 2Y NOTE PUT/CALL RATIO    -- 1.31 (3,882 PUTS VS. 2,981 CALLS)

JUN18 2Y NOTE PUT/CALL RATIO    -- 9,776.0 (9,776 PUTS VS. 1 CALLS)

MAR18 EURODLRS PUT/CALL RATIO   -- 3.62 (38,831 PUTS VS. 10,725 CALLS)

APR18 EURODLRS PUT/CALL RATIO   -- 0.13 (6,370 PUTS VS. 47,755 CALLS)

MAR19 1Y-MIDCRVE PUT/CALL RATIO -- 2.23 (67,311 PUTS VS. 30,100 CALLS)

MAR20 2Y-MIDCRVE PUT/CALL RATIO -- 3.45 (94,362 PUTS VS. 27,299 CALLS)

MAR21 3Y-MIDCRVE PUT/CALL RATIO -- 5.19 (56,650 PUTS VS. 10,984 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

Wed 3:00     50.80    68.76    65.51    67.54    71.80    73.34

1:15         50.75    68.91    65.46    67.56    71.88    73.37

11:30        50.78    69.02    65.32    67.55    71.81    73.36

9:30         50.91    68.89    65.37    67.59    71.82    73.36

Wed Open     50.83    68.74    65.24    67.47    71.77    73.29

Tue 3:00     51.01    70.20    65.32    67.74    71.76    73.43

Tue Open     50.25    69.93    64.38    67.15    71.34    73.20

Mon 3:00     50.23    69.73    64.02    66.94    71.18    73.10

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

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

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