US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR FEB 4

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

             USH    USJ     TYH    TYJ     FVH    FVJ     EDG     EDH

12:15       6.18%  6.32%   3.30%  3.49%   2.06%  2.20%   6.40%   7.12%

10:45       6.23%  6.36%   3.35%  3.49%   2.10%  2.25%   7.45%   6.51%

9:30        6.12%  6.42%   3.32%  3.49%   2.19%  2.35%   7.83%   6.42%

MON OPEN    6.11%  6.46%   3.31%  3.50%   2.19%  2.35%   7.71%   6.33%

FRI 3:00    6.12%  6.48%   3.26%  3.52%   2.19%  2.35%   7.33%   5.98%

FRI OPEN    6.39%  7.05%   3.34%  3.41%   2.23%  2.29%   6.90%   6.11%

THU 3:00    6.36%  7.10%   3.40%  3.37%   2.12%  2.25%   6.60%   6.05%

THU OPEN    6.37%  6.44%   3.46%  3.57%   2.20%  2.35%   8.31%   6.33%

WED 3:30    6.11%  6.86%   3.38%  3.66%   2.26%  2.39%   10.14%  6.27%

WED OPEN    6.15%  6.44%   3.44%  3.61%   2.26%  2.38%   9.11%   7.45%

TUE 3:00    6.17%  6.34%   3.50%  3.79%   2.30%  2.34%   8.81%   7.00%

MON 3:00    6.31%  5.76%   3.45%  3.47%   2.36%  2.41%   8.35%   8.16%

MON OPEN    6.22%  6.12%   3.56%  3.50%   2.35%  2.37%   9.72%   8.94%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

MAR19 10Y NOTE  122.50 C  106,968      +39   106.50 P   97,647    UNCH

APR19 10Y NOTE  124.00 C   28,800     +102   121.50 P   33,131  +9,687

MAR19 5Y NOTE   115.50 C   34,879   -3,395   103.75 P  284,211    UNCH

APR19 5Y NOTE   116.50 C   11,760     UNCH   114.00 P   14,664  +6,206

MAR19 2Y NOTE   106.12 C    7,171      +58   105.62 P    8,781    UNCH

APR19 2Y NOTE   106.12 C      717       +1   103.75 P    3,022    UNCH

FEB19 EURODLR    97.37 C   41,513     UNCH    97.00 P   84,387    UNCH

MAR19 EURODLR    97.37 C  356,975   -1,403    97.00 P  890,586    UNCH

MAR19 1Y-MIDC    97.37 C  185,437     +350    96.62 P  790,236    UNCH

MAR20 2Y-MIDC    97.50 C  103,171     +871    96.62 P  220,789    UNCH

MAR21 3Y-MIDC    97.00 C   60,658     UNCH    97.00 P   63,850    UNCH

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

MAR19 10Y NOTE  121.50 C   41,584     -568   121.50 P   64,880  +3,960

MAR19 10Y NOTE  122.00 C   66,711   -5,186   122.00 P   42,555  +2,655

APR19 10Y NOTE  121.50 C    6,941     -213   121.50 P   33,131  +9,687

APR19 10Y NOTE  122.00 C   13,956   +1,427   122.00 P   20,001  +1,360

MAR19 5Y NOTE   114.00 C   17,392       -1   114.00 P   35,410    +357

MAR19 5Y NOTE   114.25 C   26,321       +8   114.25 P   67,185  -1,568

APR19 5Y NOTE   114.00 C    1,622       +1   114.00 P   14,664  +6,206

APR19 5Y NOTE   114.25 C    2,154       +5   114.25 P    3,035  +1,444

MAR19 2Y NOTE   105.87 C    2,768     UNCH   105.87 P    3,569    +358

MAR19 2Y NOTE   106.00 C    4,651     -613   106.00 P    4,702    +585

APR19 2Y NOTE   105.87 C        4     UNCH   105.87 P        7    UNCH

APR19 2Y NOTE   106.00 C      606     UNCH   106.00 P      372    UNCH

FEB19 EURODLR    97.25 C   35,477     UNCH    97.25 P   67,190      +1

FEB19 EURODLR    97.37 C   41,513     UNCH    97.37 P    5,470    UNCH

MAR19 EURODLR    97.25 C  335,537     -241    97.25 P  253,068  -1,500

MAR19 EURODLR    97.37 C  356,975   -1,403    97.37 P  119,619    UNCH

MAR20 1Y-MIDC    97.37 C  185,437     +350    97.37 P  104,459  +4,683

MAR20 1Y-MIDC    97.50 C  168,478     +400    97.50 P   39,083     +50

MAR21 2Y-MIDC    97.50 C  103,171     +871    97.50 P   55,758  +2,598

MAR21 2Y-MIDC    97.62 C   89,151   +1,050    97.62 P   20,257    UNCH

MAR22 3Y-MIDC    97.50 C   43,183     +812    97.50 P   14,732    +212

MAR22 3Y-MIDC    97.62 C   41,408      -51    97.62 P      850    UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

MAR19 10Y NOTE PUT/CALL RATIO  -- 0.65 (93,855 PUTS VS. 207,489 CALLS)

APR19 10Y NOTE PUT/CALL RATIO  -- 0.21 (35,770 PUTS VS. 20,746 CALLS)

MAR19 5Y NOTE PUT/CALL RATIO   -- 0.60 (37,411 PUTS VS. 61,121 CALLS)

APR19 5Y NOTE PUT/CALL RATIO   -- 1.57 (16,384 PUTS VS. 1,890 CALLS)

MAR19 2Y NOTE PUT/CALL RATIO   -- 79.8 (3,755 PUTS VS. 1,212 CALLS)

APR19 2Y NOTE PUT/CALL RATIO   -- 1.22 (100 PUTS VS. 269 CALLS)

FEB19 EURODLRS PUT/CALL RATIO  -- 1.00 (4 PUTS VS. 4 CALLS)

MAR19 EURODLRS PUT/CALL RATIO  -- 0.00 (6,000 PUTS VS. 20,001 CALLS)

MAR20 1Y-MIDCRVE PUT/CALL RATIO-- 0.78 (154,921 PUTS VS. 13,750 CALLS)

MAR21 2Y-MIDCRVE PUT/CALL RATIO-- 3.28 (39,215 PUTS VS. 21,650 CALLS)

MAR22 3Y-MIDCRVE PUT/CALL RATIO-- 0.16 (52,659 PUTS VS. 1,210 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

12:15       48.24    52.11    56.92    55.19    65.53     74.34

10:45       48.25    52.11    57.00    55.25    65.53     74.34

9:30        48.22    52.07    56.83    55.07    65.52     74.34

Mon Open    48.11    52.05    56.71    55.01    65.51     74.33

Fri 3:00    47.83    52.20    56.02    54.09    65.48     74.26

Fri Open    49.13    52.33    56.44    54.27    65.39     74.19

Thu 3:00    48.93    52.08    56.55    54.24    65.35     74.04

Thu Open    50.05    51.87    57.11    55.01    65.99     74.51

Wed 3:00    51.73    51.84    57.72    55.39    66.58     74.84

Wed Open    52.92    52.59    58.48    56.07    66.87     74.96

Tue 3:00    53.00    52.92    58.70    56.16    66.93     75.05

Mon 3:00    53.50    53.02    58.97    56.46    67.36     75.32

Mon Open    54.42    54.64    59.81    57.21    67.66     75.62

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

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