US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR FEB 7

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

            USH    USJ     TYH    TYJ     FVH    TUJ     EDG     EDH

12:30      9.40%  9.25%   4.85%  4.59%   2.91%  2.63%    N/A    15.20%

11:00      9.53%  8.99%   4.82%  4.56%   2.88%  2.64%    N/A    14.40%

9:45       9.53%  8.87%   4.81%  4.56%   2.88%  2.69%    N/A    14.80%

WED OPEN   9.67%  9.52%   5.17%  4.74%   2.96%  2.78%    N/A    15.40%

TUE 3:00   14.53% 11.46%  5.01%  4.77%   3.19%  2.76%    N/A    15.10%

TUE OPEN   10.40% 9.79%   4.47%  4.98%   3.28%  2.70%    N/A    15.10%

MON 3:00   9.65%  9.21%   4.35%  4.43%   2.42%  2.46%    N/A    12.30%

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

MAR18 10Y NOTE  126.00 C  118,663   -6,301   122.00 P  134,939  +5,948

APR18 10Y NOTE  125.00 C   44,405     -178   120.00 P   44,926  +5,801

MAR18 5Y NOTE   115.50 C   50,238   +1,285   108.50 P  140,106    UNCH

APR18 5Y NOTE   114.50 C   29,917     +896   114.50 P   22,746  +4,099

MAR18 2Y NOTE   107.00 C   24,282  +12,481   107.00 P   26,994    UNCH

APR18 2Y NOTE   106.62 C    6,311     UNCH   106.50 P    1,906    UNCH

FEB18 EURODLR    98.50 C  245,800     UNCH    98.12 P  178,590  -1,659

MAR18 EURODLR    98.50 C  484,570   -7,750    98.12 P  733,381 +22,600

MAR19 1Y-MIDC    98.25 C  217,995     UNCH    97.50 P  502,316  +3,625

MAR20 2Y-MIDC    98.50 C  145,426     UNCH    97.37 P  199,824    -658

MAR21 3Y-MIDC    97.75 C   87,638       +1    97.37 P   91,815     -15

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

MAR18 10Y NOTE  122.00 C   62,361   +2,538   122.00 P  134,939  +5,948

MAR18 10Y NOTE  122.50 C   64,540   +2,840   122.50 P   93,967    +270

APR18 10Y NOTE  121.50 C   30,386   +4,080   121.50 P   25,809    +316

APR18 10Y NOTE  122.00 C   28,622   +4,750   122.00 P   15,179     -23

MAR18 5Y NOTE   114.75 C   14,472   -1,646   114.75 P   47,529 +31,234

MAR18 5Y NOTE   115.00 C   43,841   +4,681   115.00 P   46,513  -7,568

APR18 5Y NOTE   114.50 C   29,917     +896   114.50 P   22,746  +4,099

APR18 5Y NOTE   114.75 C    9,863   +3,517   114.75 P   10,278  +5,299

MAR18 2Y NOTE   106.50 C       20     UNCH   106.50 P    3,041    UNCH

MAR18 2Y NOTE   106.62 C    1,845     UNCH   106.62 P   14,968  -2,576

APR18 2Y NOTE   106.38 C      310     UNCH   106.38 P      433    UNCH

APR18 2Y NOTE   106.50 C    1,700     UNCH   106.50 P    1,906    UNCH

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

FEB18 EURODLR    98.12 C   43,951   -2,793    98.12 P  178,590  -1,659

MAR18 EURODLR    98.00 C   21,207     UNCH    98.00 P  255,176    +584

MAR18 EURODLR    98.12 C   89,986  +13,855    98.12 P  733,381 +22,600

MAR19 1Y-MIDC    97.50 C   33,457     UNCH    97.50 P  502,316  +3,625

MAR19 1Y-MIDC    97.62 C   49,868     +711    97.62 P  237,198    UNCH

MAR20 2Y-MIDC    97.37 C   49,584     +282    97.37 P  199,824    -658

MAR20 2Y-MIDC    97.50 C   40,515     -989    97.50 P  115,022    -500

MAR21 3Y-MIDC    97.25 C   59,186   -1,425    97.25 P   79,140    +661

MAR21 3Y-MIDC    97.37 C   30,560     UNCH    97.37 P   91,815     -15

PUT/CALL RATIO FOR VOLUME CLEARED:

MAR18 10Y NOTE PUT/CALL RATIO   -- 0.87 (313,797 PUTS VS. 360,037 CALLS)

APR18 10Y NOTE PUT/CALL RATIO   -- 0.96 (105,086 PUTS VS. 109,329 CALLS)

MAR18 5Y NOTE PUT/CALL RATIO    -- 2.16 (196,914 PUTS VS. 90,937 CALLS

APR18 5Y NOTE PUT/CALL RATIO    -- 0.85 (66,940 PUTS VS. 78,655 CALLS)

MAR18 2Y NOTE PUT/CALL RATIO    -- 0.65 (28,703 PUTS VS. 43,838 CALLS)

APR18 2Y NOTE PUT/CALL RATIO    -- 0.05 (10 PUTS VS. 186 CALLS)

FEB18 EURODLRS PUT/CALL RATIO   -- 1.32 (15,946 PUTS VS. 12,050 CALLS)

MAR18 EURODLRS PUT/CALL RATIO   -- 0.17 (44,147 PUTS VS. 250,161 CALLS)

MAR19 1Y-MIDCRVE PUT/CALL RATIO -- 0.49 (62,678 PUTS VS. 127,450 CALLS)

MAR20 2Y-MIDCRVE PUT/CALL RATIO -- 7.49 (143,829 PUTS VS. 19,250 CALLS)

MAR21 3Y-MIDCRVE PUT/CALL RATIO -- 0.34 (11,831 PUTS VS. 3,425 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

12:30        46.60    70.08    63.51    71.41    74.16    74.90

11:00        46.62    70.00    63.60    71.57    74.22    75.00

9:45         47.82    75.68    65.38    73.56    74.67    75.18

Wed Open     48.17    76.50    65.77    74.04    74.78    75.26

Tue 3:00     47.45    75.06    65.12    72.94    74.60    75.33

Tue Open     47.03    72.21    64.24    71.98    74.64    75.16

Mon 3:00     44.15    67.66    61.00    68.54    73.47    74.88

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

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

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