US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JAN 11

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

            USG    USH     TYG    TYH     FVG    TUH     EDF     EDH

1:45       7.28%  7.40%   3.42%  3.48%   1.91%  2.02%    N/A    13.67%

12:30      7.07%  7.24%   3.45%  3.45%   2.00%  2.00%    N/A    13.66%

11:15      7.21%  7.33%   3.44%  3.48%   2.03%  2.00%    N/A    13.65%

9:30       7.15%  7.30%   3.43%  3.43%   1.91%  1.97%    N/A    14.23%

THU OPEN   7.36%  7.43%   3.50%  3.52%   2.00%  2.04%    N/A    13.63%

WED 3:00   7.57%  7.54%   3.53%  3.49%   2.04%  2.03%    N/A    13.10%

WED OPEN   7.80%  7.84%   3.78%  3.79%   2.15%  2.21%    N/A    13.90%

TUE 3:00   7.31%  7.33%   3.26%  3.40%   1.89%  2.06%    N/A    13.60%

TUE OPEN   7.17%  7.16%   3.24%  3.32%   1.85%  2.02%    N/A    12.20%

MON 3:00   6.95%  7.01%   3.22%  3.31%   1.85%  2.00%    N/A    12.10%

MON OPEN   6.98%  7.07%   3.26%  3.30%   1.91%  1.99%    N/A    12.50%

FRI 3:00   6.77%  7.01%   3.05%  3.30%   1.83%  2.01%    N/A    10.10%

FRI OPEN   7.06%  7.17%   3.28%  3.37%   1.95%  2.02%    N/A    13.32%

THU 3:00   6.98%  7.30%   3.31%  3.46%   1.88%  2.04%    N/A    11.96%

THU OPEN   7.31%  7.45%   3.31%  3.46%   1.94%  2.04%    N/A    14.99%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

FEB18 10Y NOTE  125.00 C  109,218     -562   123.00 P  115,936  -7,768

MAR18 10Y NOTE  126.00 C   87,956   +7,191   123.00 P  159,331  -3,160

FEB18 5Y NOTE   117.25 C   75,131     UNCH   115.50 P   54,030 -19,855

MAR18 5Y NOTE   117.25 C   14,458       +9   108.50 P  140,106    UNCH

FEB18 2Y NOTE   107.25 C   13,246     UNCH   106.87 P   30,590      +5

MAR18 2Y NOTE   107.38 C   20,745     UNCH   107.00 P   48,393  -4,139

JAN18 EURODLR    98.62 C  275,189     UNCH    98.25 P  279,852    UNCH

MAR18 EURODLR    98.50 C  486,453     UNCH    98.25 P  813,833    -928

MAR19 1Y-MIDC    98.25 C  215,751     UNCH    97.62 P  449,444 -28,650

MAR20 2Y-MIDC    98.50 C  145,426     UNCH    97.50 P  152,712  -4,776

MAR21 3Y-MIDC    98.12 C   63,218     UNCH    97.37 P   60,227    UNCH

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

FEB18 10Y NOTE  123.50 C   32,963   +2,728   123.50 P   68,008  -1,433

FEB18 10Y NOTE  124.00 C   48,053     -859   124.00 P   51,472 -12,822

MAR18 10Y NOTE  123.50 C   37,155   +9,203   123.50 P   40,871    +262

MAR18 10Y NOTE  124.00 C   38,106  +10,256   124.00 P   41,130  -1,292

FEB18 5Y NOTE   115.75 C   18,656   +8,206   115.75 P   43,003    -704

FEB18 5Y NOTE   116.00 C   24,533      -94   116.00 P   19,463      -1

MAR18 5Y NOTE   115.75 C    3,580     +279   115.75 P   17,902  +1,240

MAR18 5Y NOTE   116.00 C   13,983   +2,888   116.00 P    8,345    UNCH

FEB18 2Y NOTE   107.00 C    2,790     +235   107.00 P   20,069    UNCH

FEB18 2Y NOTE   107.12 C    1,865     -250   107.12 P    3,849    UNCH

MAR18 2Y NOTE   107.00 C    4,083     +650   107.00 P   48,393  -4,139

MAR18 2Y NOTE   107.12 C    4,528     +625   107.12 P   19,443    UNCH

JAN18 EURODLR    98.50 C  163,410     UNCH    98.50 P   18,103    UNCH

JAN18 EURODLR    98.62 C  275,189     UNCH    98.62 P        0    UNCH

MAR18 EURODLR    98.50 C  486,453     UNCH    98.50 P  124,436    UNCH

MAR18 EURODLR    98.62 C  253,276     UNCH    98.62 P   28,813    UNCH

MAR19 1Y-MIDC    98.12 C  192,303     UNCH    98.12 P   65,854    UNCH

MAR19 1Y-MIDC    98.25 C  215,751     UNCH    98.25 P   36,397    UNCH

MAR20 2Y-MIDC    97.87 C   71,244     UNCH    97.87 P   51,486  +1,511

MAR20 2Y-MIDC    98.00 C  110,792     UNCH    98.00 P   72,933    UNCH

MAR21 3Y-MIDC    97.75 C   45,882   +6,692    97.75 P   25,729    +117

MAR21 3Y-MIDC    97.87 C   50,497     UNCH    97.87 P   33,372    UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

FEB18 10Y NOTE PUT/CALL RATIO   -- 2.92 (239,871 PUTS VS. 81,956 CALLS)

MAR18 10Y NOTE PUT/CALL RATIO   -- 1.01 (249,317 PUTS VS. 248,905 CALLS)

FEB18 5Y NOTE PUT/CALL RATIO    -- 1.62 (66,872 PUTS VS. 47,198 CALLS)

MAR18 5Y NOTE PUT/CALL RATIO    -- 3.76 (73,436 PUTS VS. 19,530 CALLS)

FEB18 2Y NOTE PUT/CALL RATIO    -- 0.07 (100 PUTS VS. 1,377 CALLS)

MAR18 2Y NOTE PUT/CALL RATIO    -- 1.83 (9,743 PUTS VS. 5,352 CALLS)

JAN18 EURODLRS PUT/CALL RATIO   -- 0.00 (0 PUTS VS. 0 CALLS)

MAR18 EURODLRS PUT/CALL RATIO   -- 0.75 (72,843 PUTS VS. 97,136 CALLS)

MAR19 1Y-MIDCRVE PUT/CALL RATIO -- 2.79 (135,848 PUTS VS. 48,600 CALLS)

MAR20 2Y-MIDCRVE PUT/CALL RATIO -- 16.5 (31,548 PUTS VS. 1,950 CALLS)

MAR21 3Y-MIDCRVE PUT/CALL RATIO -- 62.6 (194,322 PUTS VS. 3,100 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

1:45         40.78    53.09    50.85    54.97    63.96    68.29

12:30        40.79    53.09    50.86    54.97    63.96    68.29

11:15        40.77    53.09    50.84    54.95    63.96    68.29

9:30         41.00    53.74    51.28    55.34    64.18    67.77

Thu Open     40.98    53.69    51.23    55.29    64.22    68.41

Wed 3:00     41.22    54.99    51.93    56.10    64.51    68.48

Wed Open     41.59    54.82    51.77    55.75    64.60    68.35

Tue 3:00     40.25    52.27    49.78    53.83    63.74    68.22

Tue Open     39.76    50.32    49.02    53.03    63.53    68.11

Mon 3:00     39.83    50.41    49.01    52.99    63.54    68.11

Mon Open     39.78    50.20    49.27    53.18    63.71    68.07

Fri 3:00     39.90    49.31    49.33    53.22    63.68    68.05

Fri Open     40.82    50.60    50.09    53.97    63.78    68.12

Thu 3:00     40.68    51.23    50.25    54.15    63.94    68.09

Thu Open     40.53    51.93    50.24    54.81    63.20    67.66

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

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