US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR FEB 5

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

            USH    USJ     TYH    TYJ     FVH    TUJ     EDG     EDH

9:30       9.41%  9.10%   4.33%  4.16%   2.26%  2.37%    N/A    12.60%

MON OPEN   9.84%  9.46%   4.56%  4.44%   2.36%  2.55%    N/A    12.25%

FRI 3:00   9.07%  8.94%   4.33%  4.27%   2.31%  2.45%   17.50%  13.41%

FRI OPEN   9.11%  9.06%   4.15%  4.29%   2.43%  2.57%   17.80%  15.30%

THU 3:00   8.65%  8.63%   4.22%  4.13%   2.47%  2.55%   18.10%  15.18%

THU OPEN   8.48%  8.38%   4.17%  4.23%   2.54%  2.59%   16.20%  15.14%

WED 3:00   8.58%  8.37%   4.08%  4.17%   2.41%  2.70%   18.00%  15.02%

WED OPEN   8.79%  8.74%   4.21%  4.25%   2.35%  2.53%   16.50%  14.58%

TUE 3:00   8.87%  8.82%   4.26%  4.26%   2.44%  2.56%   14.30%  13.67%

TUE OPEN   8.84%  8.30%   4.25%  4.04%   2.50%  2.48%   14.50%  13.63%

MON 3:00   8.51%  8.24%   4.06%  4.25%   2.42%  2.75%   16.10%  14.32%

MON OPEN   9.27%  9.20%   4.53%  4.60%   2.60%  2.83%   12.10%  14.28%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

MAR18 10Y NOTE  126.00 C  125,063     +114   122.00 P  136,163  -6,380

APR18 10Y NOTE  125.00 C   44,582       -1   120.00 P   37,949  -1,606

MAR18 5Y NOTE   115.75 C   49,704     +241   108.50 P  140,106    UNCH

APR18 5Y NOTE   115.75 C   30,355   +4,862   113.50 P   37,881  +4,817

MAR18 2Y NOTE   107.38 C   20,745     UNCH   107.00 P   48,293      -4

APR18 2Y NOTE   106.62 C    6,311     UNCH   106.62 P    6,311    UNCH

FEB18 EURODLR    98.50 C  245,800     UNCH    98.12 P  180,249    -275

MAR18 EURODLR    98.50 C  493,037     UNCH    98.12 P  719,197 -29,983

MAR19 1Y-MIDC    98.25 C  217,995     UNCH    97.50 P  495,042  +6,511

MAR20 2Y-MIDC    98.50 C  145,426     UNCH    97.25 P  207,319  -2,250

MAR21 3Y-MIDC    97.75 C   87,637     UNCH    97.37 P   91,830    UNCH

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

MAR18 10Y NOTE  122.00 C   49,530   +6,286   122.00 P  136,163  -6,380

MAR18 10Y NOTE  122.50 C   59,329   +2,798   122.50 P   94,313  -6,525

APR18 10Y NOTE  121.50 C   17,434   +6,107   121.50 P   25,406    -310

APR18 10Y NOTE  122.00 C   18,542   +1,974   122.00 P   16,960    -307

MAR18 5Y NOTE   114.75 C   12,238   -2,192   114.75 P   15,964  -1,796

MAR18 5Y NOTE   115.00 C   13,676   +2,489   115.00 P   53,904     -52

APR18 5Y NOTE   114.50 C    4,329   +1,207   114.50 P   18,375     -50

APR18 5Y NOTE   114.75 C    4,754      -22   114.75 P    4,432    -100

MAR18 2Y NOTE   106.50 C       20     UNCH   106.50 P    1,508      +3

MAR18 2Y NOTE   106.62 C    1,849     +101   106.62 P   18,813     -10

APR18 2Y NOTE   106.38 C      140     +100   106.38 P      140    +100

APR18 2Y NOTE   106.50 C    1,700     UNCH   106.50 P    1,700    UNCH

FEB18 EURODLR    98.00 C        5     UNCH    98.00 P   94,824    UNCH

FEB18 EURODLR    98.12 C   13,504   +2,500    98.12 P  180,249    -275

MAR18 EURODLR    98.00 C   21,207     UNCH    98.00 P  255,740    UNCH

MAR18 EURODLR    98.12 C   50,449  +10,148    98.12 P  719,197 -29,983

MAR19 1Y-MIDC    97.50 C   32,105   +7,183    97.50 P  495,042  +6,511

MAR19 1Y-MIDC    97.62 C   46,882   +3,684    97.62 P  236,027  -2,834

MAR20 2Y-MIDC    97.37 C   50,328   +3,599    97.37 P  201,009     -14

MAR20 2Y-MIDC    97.50 C   42,581     +159    97.50 P  115,531    UNCH

MAR21 3Y-MIDC    97.25 C   57,393  +10,157    97.25 P   78,479    -248

MAR21 3Y-MIDC    97.37 C   31,036   -3,769    97.37 P   91,830    UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

MAR18 10Y NOTE PUT/CALL RATIO   -- 3.08 (604,402 PUTS VS. 196,208 CALLS)

APR18 10Y NOTE PUT/CALL RATIO   -- 1.53 (83,034 PUTS VS. 54,151 CALLS)

MAR18 5Y NOTE PUT/CALL RATIO    -- 1.47 (53,126 PUTS VS. 36,134 CALLS

APR18 5Y NOTE PUT/CALL RATIO    -- 1.38 (20,687 PUTS VS. 15,030 CALLS)

MAR18 2Y NOTE PUT/CALL RATIO    -- 1.00 (2,228 PUTS VS. 2,228 CALLS)

APR18 2Y NOTE PUT/CALL RATIO    -- 2.52 (106 PUTS VS. 42 CALLS)

FEB18 EURODLRS PUT/CALL RATIO   -- 2.61 (14,412 PUTS VS. 5,500 CALLS)

MAR18 EURODLRS PUT/CALL RATIO   -- 1.07 (67,645 PUTS VS. 62,860 CALLS)

MAR19 1Y-MIDCRVE PUT/CALL RATIO -- 1.96 (28,321 PUTS VS. 14,400 CALLS)

MAR20 2Y-MIDCRVE PUT/CALL RATIO -- 1.68 (33,013 PUTS VS. 19,550 CALLS)

MAR21 3Y-MIDCRVE PUT/CALL RATIO -- 0.83 (7,800 PUTS VS. 9,350 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

9:30         44.57    68.16    61.24    68.78    73.87    75.09

Mon Open     44.30    68.42    61.58    69.19    74.02    75.33

Fri 3:00     44.16    68.54    61.26    68.72    73.73    75.58

Fri Open     43.71    67.31    60.00    67.07    72.85    74.80

Thu 3:00     42.50    65.48    58.37    65.48    71.94    72.77

Thu Open     42.37    65.52    58.53    65.41    70.95    72.32

Wed 3:00     42.14    65.50    58.50    65.41    70.92    72.32

Wed Open     41.99    65.25    57.70    64.53    70.55    71.88

Tue 3:00     41.96    64.24    57.74    64.51    70.52    71.61

Tue Open     41.74    64.61    57.67    64.18    70.03    71.35

Mon 3:00     41.84    63.66    57.74    64.21    69.92    70.95

Mon Open     42.08    64.88    57.23    64.63    68.93    69.44

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

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