US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JAN 10

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

             USG    USH     TYG    TYH    FVG    FVH     EDF     EDH

THU 3:00    7.13%  7.05%   3.88%  3.83%  2.52%  2.48%   24.84%   7.89%

THU OPEN    7.33%  7.18%   4.06%  3.92%  2.72%  2.57%   28.04%   7.48%

WED 3:00    7.34%  7.17%   3.92%  3.73%  2.72%  2.57%   22.39%   8.68%

WED OPEN    7.28%  7.27%   3.90%  3.85%  2.76%  2.62%   18.33%   9.40%

TUE 3:00    7.47%  7.36%   4.00%  3.91%  2.83%  2.66%   16.94%  10.80%

TUE OPEN    7.68%  7.49%   4.13%  4.02%  2.75%  2.66%   19.43%   8.80%

MON 3:00    7.93%  7.65%   4.19%  4.04%  2.86%  2.70%   15.85%   8.17%

MON OPEN    8.08%  7.77%   4.33%  4.14%  3.01%  2.81%   16.45%  10.87% 

FRI 3:00    7.77%  7.70%   4.14%  4.14%  2.79%  2.79%   19.78%  11.82%

FRI OPEN    7.91%  7.81%   4.17%  4.15%  2.78%  2.79%   19.14%  14.35%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

FEB19 10Y NOTE  121.50 C  197,002   -1,745   121.00 P  105,587  +7,466

MAR19 10Y NOTE  127.00 C   45,550     -977   106.00 P   97,647    UNCH

FEB19 5Y NOTE   115.50 C   67,163     -365   113.25 P   94,440    UNCH

MAR19 5Y NOTE   114.25 C   24,172   +2,721   103.75 P  284,111    UNCH

FEB19 2Y NOTE   106.12 C   23,344  +11,672   105.37 P    9,908    UNCH

MAR19 2Y NOTE   106.12 C    7,020   +2,100   105.75 P   10,853    UNCH

JAN19 EURODLR    97.37 C  132,508     -108    97.12 P  143,299    UNCH

MAR19 EURODLR    97.37 C  416,269  -48,632    97.00 P  891,594    UNCH

MAR19 1Y-MIDC    97.12 C  143,794     UNCH    96.62 P  839,964 -57,738

MAR20 2Y-MIDC    97.50 C  130,971   +7,750    96.62 P  220,789    UNCH

MAR21 3Y-MIDC    97.00 C   60,658     UNCH    97.00 P   63,850    -494

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

FEB19 10Y NOTE  122.00 C  120,566   +1,458   122.00 P   35,610  -1,715

FEB19 10Y NOTE  122.50 C   43,875     -340   122.50 P   10,262      -7

MAR19 10Y NOTE  122.00 C   42,677     -668   122.00 P   31,006  -2,478

MAR19 10Y NOTE  122.50 C   35,358   +1,361   122.50 P   10,420  -1,481

FEB19 5Y NOTE   113.75 C   17,713      -25   113.75 P   18,607  +1,123

FEB19 5Y NOTE   114.00 C   23,777       +3   114.00 P   19,583  +1,040

MAR19 5Y NOTE   113.75 C    9,712       -6   113.75 P   19,598  +1,054

MAR19 5Y NOTE   114.00 C   19,689     UNCH   114.00 P   23,067  -4,732

FEB19 2Y NOTE   105.87 C    2,227     -536   105.87 P    8,817      +1

FEB19 2Y NOTE   106.00 C    4,800     -543   106.00 P    3,954    +100

MAR19 2Y NOTE   105.87 C    2,780       +2   105.87 P    6,523    +122

MAR19 2Y NOTE   106.00 C    1,985     +247   106.00 P    5,050    UNCH

JAN19 EURODLR    97.25 C  127,289     UNCH    97.25 P   77,911    UNCH

JAN19 EURODLR    97.37 C  132,508     -108    97.37 P    2,272    UNCH

MAR19 EURODLR    97.25 C  340,634  +36,147    97.25 P  193,589  +4,511

MAR19 EURODLR    97.37 C  416,269  -48,632    97.37 P  119,336    +206  

MAR20 1Y-MIDC    97.37 C  129,094   +1,092    97.37 P  112,750 +27,587

MAR20 1Y-MIDC    97.50 C  141,864  +23,269    97.50 P   36,657    UNCH

MAR21 2Y-MIDC    97.50 C  130,971   +7,750    97.50 P   50,231  +5,864

MAR21 2Y-MIDC    97.62 C   69,408   -1,396    97.62 P   17,257    UNCH  

MAR22 3Y-MIDC    97.50 C   28,752   +1,250    97.50 P    4,050    UNCH

MAR22 3Y-MIDC    97.62 C   30,683     -750    97.62 P      600    UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

FEB19 10Y NOTE PUT/CALL RATIO  -- 1.91 (113,894 PUTS VS. 59,490 CALLS)

MAR19 10Y NOTE PUT/CALL RATIO  -- 0.98 (74,138 PUTS VS. 75,552 CALLS)

FEB19 5Y NOTE PUT/CALL RATIO   -- 0.54 (31,975 PUTS VS. 59,220 CALLS)

MAR19 5Y NOTE PUT/CALL RATIO   -- 1.82 (65,194 PUTS VS. 35,911 CALLS)

FEB19 2Y NOTE PUT/CALL RATIO   -- 5.81 (9,642 PUTS VS. 1,659 CALLS)

MAR19 2Y NOTE PUT/CALL RATIO   -- 1.46 (7,293 PUTS VS. 5,007 CALLS)

JAN19 EURODLRS PUT/CALL RATIO  -- 15.6 (1,950 PUTS VS. 125 CALLS)

MAR19 EURODLRS PUT/CALL RATIO  -- 0.30 (56,504 PUTS VS. 189,715 CALLS)

MAR20 1Y-MIDCRVE PUT/CALL RATIO-- 6.59 (272,900 PUTS VS. 41,400 CALLS)

MAR21 2Y-MIDCRVE PUT/CALL RATIO-- 1.19 (15,500 PUTS VS. 13,000 CALLS)

MAR22 3Y-MIDCRVE PUT/CALL RATIO-- 0.00 (6,750 PUTS VS. 0 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

THU 3:00    57.01    57.16    62.47    59.15    68.91     76.10

THU OPEN    57.38    57.39    62.80    59.46    69.07     76.16

WED 3:00    58.96    57.99    64.03    60.42    69.52     76.68

WED OPEN    59.32    60.11    64.43    60.77    69.98     77.08

TUE 3:00    60.03    61.57    65.07    61.41    70.25     77.24

TUE OPEN    61.23    62.54    65.77    62.14    70.53     77.35

MON 3:00    61.51    63.44    66.48    62.72    70.73     77.61

MON OPEN    65.55    65.80    68.80    64.47    71.34     77.82

FRI 3:00    66.83    65.72    69.08    65.41    71.89     78.35

FRI OPEN    66.47    65.67    68.66    65.18    71.82     78.21

--MNI Chicago Bureau; +1 630-698-0154; email: ryan.martin@marketnews.com

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