US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR FEB 8

OI LEVELS UPDATED

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

            USH    USJ     TYH    TYJ     FVH    TUJ     EDG     EDH

Thu 3:00   10.99% 10.32%  5.57%  5.01%   3.45%  3.03%    N/A    13.50%

1:30       10.57% 9.95%   5.27%  5.02%   3.20%  2.92%    N/A    12.00%

11:45      10.59% 9.79%   5.22%  4.85%   3.08%  2.87%    N/A    13.10%

10:30      10.30% 9.85%   5.15%  4.87%   3.13%  2.88%    N/A    13.80%

THU OPEN   10.13% 9.53%   5.11%  4.80%   3.14%  2.89%    N/A    12.60%

WED 3:00   9.50%  9.27%   4.77%  4.54%   2.90%  2.69%    N/A    16.10%

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

MAR18 10Y NOTE  126.00 C  118,513     -150   122.00 P  133,175  -1,764

APR18 10Y NOTE  122.50 C   44,685   +7,688   120.00 P   74,935 +30,009

MAR18 5Y NOTE   115.00 C   70,628  +26,787   108.50 P  140,106    UNCH

APR18 5Y NOTE   114.50 C   29,940      +23   114.50 P   22,744      -2

MAR18 2Y NOTE   106.87 C   64,036  +40,070   107.00 P   26,994    UNCH

APR18 2Y NOTE   106.87 C   13,950  +13,948   106.50 P    1,906    UNCH

FEB18 EURODLR    98.50 C  245,800     UNCH    98.12 P  178,440    -150

MAR18 EURODLR    98.50 C  484,626      +56    98.12 P  730,311  -3,070

MAR19 1Y-MIDC    98.25 C  217,995     UNCH    97.50 P  503,317  +1,001

MAR20 2Y-MIDC    98.50 C  145,426     UNCH    97.25 P  203,547  +4,132

MAR21 3Y-MIDC    97.75 C   87,638     UNCH    97.37 P   91,815    UNCH

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

MAR18 10Y NOTE  122.00 C   65,215   +2,854   122.00 P  133,175  -1,764

MAR18 10Y NOTE  122.50 C   64,393     -147   122.50 P   96,305  +2,338

APR18 10Y NOTE  121.50 C   32,191   +1,805   121.50 P   25,599    -210

APR18 10Y NOTE  122.00 C   33,273   +4,651   122.00 P   15,517    +338

MAR18 5Y NOTE   114.75 C   12,992   -1,480   114.75 P   46,255  -1,274

MAR18 5Y NOTE   115.00 C   70,628  +26,787   115.00 P   44,913  -1,600

APR18 5Y NOTE   114.50 C   29,940      +23   114.50 P   22,744      -2

APR18 5Y NOTE   114.75 C   10,117     +254   114.75 P   10,278    UNCH

MAR18 2Y NOTE   106.50 C       20     UNCH   106.50 P   11,012  +7,971

MAR18 2Y NOTE   106.62 C    1,845     UNCH   106.62 P   14,954     -14

APR18 2Y NOTE   106.38 C      310     UNCH   106.38 P      793    +360

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   78,805 -16,019

FEB18 EURODLR    98.12 C   45,951   +2,000    98.12 P  178,440    -150

MAR18 EURODLR    98.00 C   24,165   +2,958    98.00 P  248,564  -6,612

MAR18 EURODLR    98.12 C  104,156  +14,170    98.12 P  730,311  -3,070

MAR19 1Y-MIDC    97.50 C   33,476      +19    97.50 P  503,317  +1,001

MAR19 1Y-MIDC    97.62 C   48,418   -1,450    97.62 P  236,947    -251

MAR20 2Y-MIDC    97.37 C   57,511   +7,927    97.37 P  200,024    +200

MAR20 2Y-MIDC    97.50 C   40,215     -300    97.50 P  115,022    UNCH

MAR21 3Y-MIDC    97.25 C   58,859     -327    97.25 P   77,940  -1,200

MAR21 3Y-MIDC    97.37 C   33,310   +2,750    97.37 P   91,815    UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

MAR18 10Y NOTE PUT/CALL RATIO   -- 1.30 (291,195 PUTS VS. 223,469 CALLS)

APR18 10Y NOTE PUT/CALL RATIO   -- 1.78 (152,266 PUTS VS. 85,518 CALLS)

MAR18 5Y NOTE PUT/CALL RATIO    -- 0.85 (82,216 PUTS VS. 95,798 CALLS

APR18 5Y NOTE PUT/CALL RATIO    -- 0.33 (6,187 PUTS VS. 18,292 CALLS)

MAR18 2Y NOTE PUT/CALL RATIO    -- 0.60 (26,294 PUTS VS. 43,406 CALLS)

APR18 2Y NOTE PUT/CALL RATIO    -- 0.04 (1,264 PUTS VS. 26,914 CALLS)

FEB18 EURODLRS PUT/CALL RATIO   -- 17.6 (35,339 PUTS VS. 2,000 CALLS)

MAR18 EURODLRS PUT/CALL RATIO   -- 1.87 (189,696 PUTS VS. 101,468 CALLS)

MAR19 1Y-MIDCRVE PUT/CALL RATIO -- 0.69 (11,810 PUTS VS. 17,100 CALLS)

MAR20 2Y-MIDCRVE PUT/CALL RATIO -- 2.09 (52,075 PUTS VS. 24,800 CALLS)

MAR21 3Y-MIDCRVE PUT/CALL RATIO -- 0.87 (31,300 PUTS VS. 35,950 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

Thu 3:00     49.03    78.18    66.06    74.56    75.13    75.39

1:30         48.74    74.53    65.50    73.95    74.86    75.16

11:45        48.34    73.84    65.46    73.82    74.86    75.19

10:15        47.93    73.12    65.40    73.84    74.95    75.30

Thu Open     47.72    72.30    64.74    73.01    74.82    75.25

Wed 3:00     46.87    70.22    63.70    71.64    74.17    75.03

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

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

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