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

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

             USJ    USM     TYJ    TYM     FVJ    FVM     EDH     EDJ

1:00        6.20%  6.32%   3.37%  3.54%   2.17%  2.29%   7.70%   8.34%

11:15       6.19%  6.28%   3.40%  3.48%   2.18%  2.28%   7.39%   8.51%

9:30        6.20%  6.27%   3.40%  3.48%   2.18%  2.28%   7.56%   8.12%

THU OPEN    6.23%  6.30%   3.35%  3.47%   2.28%  2.30%   8.23%   7.61%

WED 3:00    6.23%  6.30%   3.35%  3.47%   2.28%  2.30%   7.31%   7.57%

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

APR19 10Y NOTE  123.00 C  102,039   +7,823   121.00 P  125,099  +5,489

JUN19 10Y NOTE  124.50 C   23,832      +48   112.00 P   40,122    UNCH

APR19 5Y NOTE   115.50 C   43,437     -137   114.25 P   39,948    +735

JUN19 5Y NOTE   116.00 C   12,323   +1,025   108.25 P  151,523    UNCH

APR19 2Y NOTE   106.50 C    3,454     UNCH   105.62 P    3,234    UNCH

JUN19 2Y NOTE   106.00 C    4,598   +1,106   105.25 P   35,000    UNCH

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

APR19 EURODLR    97.37 C  134,611     -400    97.25 P   68,840    UNCH

MAR19 1Y-MIDC    97.50 C  137,396  -17,700    96.62 P  790,236    UNCH

MAR20 2Y-MIDC    97.62 C   96,071     +770    96.62 P  220,789    UNCH

MAR21 3Y-MIDC    97.62 C   60,921     +284    97.00 P   64,925    UNCH

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

APR19 10Y NOTE  122.00 C   26,277   -1,129   122.00 P   58,597  +2,282

APR19 10Y NOTE  122.50 C   66,879     -148   122.50 P   67,828 +39,320

JUN19 10Y NOTE  122.00 C   19,587   +1,764   122.00 P   27,143    +766

JUN19 10Y NOTE  122.50 C   16,187   +1,444   122.50 P   19,834  +7,354

APR19 5Y NOTE   114.50 C    9,992   +1,212   114.50 P   38,013  +2,923

APR19 5Y NOTE   114.75 C   19,518     +917   114.75 P   16,292  +1,536

JUN19 5Y NOTE   114.50 C    8,279   +2,234   114.50 P    9,368    -382

JUN19 5Y NOTE   114.75 C   11,791   +6,056   114.75 P   36,017 +26,179

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

APR19 2Y NOTE   106.12 C      711      +12   106.12 P    2,487    +710

JUN19 2Y NOTE   106.00 C    4,598   +1,106   106.00 P   20,960 +20,441

JUN19 2Y NOTE   106.12 C    1,425     UNCH   106.12 P   11,003  +9,577

MAR19 EURODLR    97.25 C  322,561     UNCH    97.25 P  318,126      +5

MAR19 EURODLR    97.37 C  302,364   -3,400    97.37 P  148,910    UNCH

APR19 EURODLR    97.25 C   75,473     -250    97.25 P   68,840    UNCH

APR19 EURODLR    97.37 C  134,611     -400    97.37 P   35,532    -250

MAR20 1Y-MIDC    97.37 C  134,352  -22,628    97.37 P  130,234  -3,894

MAR20 1Y-MIDC    97.50 C  137,396  -17,700    97.50 P   37,194    +398

MAR21 2Y-MIDC    97.50 C   85,001     UNCH    97.50 P   66,096    -663

MAR21 2Y-MIDC    97.62 C   96,071     +770    97.62 P   23,128    -140

MAR22 3Y-MIDC    97.50 C   42,752   -1,000    97.50 P   15,119    UNCH

MAR22 3Y-MIDC    97.62 C   60,921     +248    97.62 P    2,100    UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

APR19 10Y NOTE PUT/CALL RATIO   -- 2.29 (256,108 PUTS VS. 111,432 CALLS)

JUN19 10Y NOTE PUT/CALL RATIO   -- 1.48 (63,253 PUTS VS. 42,541 CALLS)

APR19 5Y NOTE PUT/CALL RATIO    -- 0.59 (36,634 PUTS VS. 61,397 CALLS)

JUN19 5Y NOTE PUT/CALL RATIO    -- 4.73 (143,155 PUTS VS. 30,259 CALLS)

MAR19 2Y NOTE PUT/CALL RATIO    -- 0.67 (785 PUTS VS. 1,160 CALLS)

APR19 2Y NOTE PUT/CALL RATIO    -- 20.3 (63,219 PUTS VS. 3,171 CALLS)

MAR19 EURODLRS PUT/CALL RATIO   -- 2.50 (10,010 PUTS VS. 4,044 CALLS)

APR19 EURODLRS PUT/CALL RATIO   -- 0.01 (250 PUTS VS. 15,600 CALLS)

MAR20 1Y-MIDCRVE PUT/CALL RATIO -- 0.32 (44,952 PUTS VS. 140,000 CALLS)

MAR21 2Y-MIDCRVE PUT/CALL RATIO -- 16.1 (55,045 PUTS VS. 3,450 CALLS)

MAR22 3Y-MIDCRVE PUT/CALL RATIO -- 0.18 (1,575 PUTS VS. 8,300 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

1:00        44.41    51.01    53.34    53.22    63.41     69.82

11:15       44.29    50.76    53.23    53.12    63.48     69.86

9:30        44.37    50.88    53.24    53.13    63.36     69.75

Thu Open    44.31    50.66    53.07    52.95    63.28     69.69

Wed 3:00    44.32    50.67    53.02    52.84    63.24     69.65

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

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

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