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    FVH     EDF     EDH

FRI OPEN    7.15%  7.08%   4.04%  3.87%  2.73%  2.55%    N/A     6.83%

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% 

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

FEB19 10Y NOTE  121.50 C  196,813     -189   121.00 P  102,425  -3,162

MAR19 10Y NOTE  127.00 C   89,956  +44,406   106.00 P   97,647    UNCH

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

MAR19 5Y NOTE   114.25 C   23,848     -324   103.75 P  284,111    UNCH

FEB19 2Y NOTE   106.37 C   15,688     UNCH   105.37 P    9,908    UNCH

MAR19 2Y NOTE   106.12 C    7,020     UNCH   105.75 P   11,153    +300

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

MAR19 EURODLR    97.37 C  404,442  -11,827    97.00 P  891,594    UNCH

MAR19 1Y-MIDC    97.12 C  143,794     UNCH    96.62 P  816,800 -23,164

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

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

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

FEB19 10Y NOTE  122.00 C  119,401   -1,165   122.00 P   34,603    -907

FEB19 10Y NOTE  122.50 C   42,297   -1,578   122.50 P   10,097    -165

MAR19 10Y NOTE  122.00 C   45,007   +2,330   122.00 P   30,991     -15

MAR19 10Y NOTE  122.50 C   37,374   +2,016   122.50 P   10,349     -71

FEB19 5Y NOTE   113.75 C   17,705       -8   113.75 P   18,922    +315

FEB19 5Y NOTE   114.00 C   23,776       -1   114.00 P   21,277  +1,694

MAR19 5Y NOTE   113.75 C    9,718       +6   113.75 P   20,649  +1,051

MAR19 5Y NOTE   114.00 C   19,689     UNCH   114.00 P   25,011  +1,944

FEB19 2Y NOTE   105.87 C    2,227     UNCH   105.87 P    8,967    +150

FEB19 2Y NOTE   106.00 C    4,800     UNCH   106.00 P    3,954    UNCH

MAR19 2Y NOTE   105.87 C    2,780     UNCH   105.87 P    6,079      -5

MAR19 2Y NOTE   106.00 C    1,944      -41   106.00 P    5,967    UNCH

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

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

MAR19 EURODLR    97.25 C  342,219   +1,585    97.25 P  200,689  +7,100

MAR19 EURODLR    97.37 C  404,442  -11,827    97.37 P  119,336    UNCH  

MAR20 1Y-MIDC    97.37 C  139,951  +10,857    97.37 P  117,516  +4,766

MAR20 1Y-MIDC    97.50 C  137,636   -4,228    97.50 P   34,657  -2,000

MAR21 2Y-MIDC    97.50 C  130,971     UNCH    97.50 P   50,231    UNCH

MAR21 2Y-MIDC    97.62 C   70,158     +750    97.62 P   17,257    UNCH  

MAR22 3Y-MIDC    97.50 C   29,502     +750    97.50 P    8,150  +4,100

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

PUT/CALL RATIO FOR VOLUME CLEARED:

FEB19 10Y NOTE PUT/CALL RATIO  -- 1.62 (103,785 PUTS VS. 64,222 CALLS)

MAR19 10Y NOTE PUT/CALL RATIO  -- 0.29 (45,392 PUTS VS. 154,999 CALLS)

FEB19 5Y NOTE PUT/CALL RATIO   -- 0.43 (12,551 PUTS VS. 29,452 CALLS)

MAR19 5Y NOTE PUT/CALL RATIO   -- 0.82 (23,145 PUTS VS. 28,325 CALLS)

FEB19 2Y NOTE PUT/CALL RATIO   -- 0.27 (150 PUTS VS. 551 CALLS)

MAR19 2Y NOTE PUT/CALL RATIO   -- 0.26 (572 PUTS VS. 2,177 CALLS)

JAN19 EURODLRS PUT/CALL RATIO  -- 0.00 (0 PUTS VS. 0 CALLS)

MAR19 EURODLRS PUT/CALL RATIO  -- 0.59 (28,735 PUTS VS. 49,110 CALLS)

MAR20 1Y-MIDCRVE PUT/CALL RATIO-- 1.31 (38,300 PUTS VS. 29,200 CALLS)

MAR21 2Y-MIDCRVE PUT/CALL RATIO-- 0.00 (0 PUTS VS. 2,750 CALLS)

MAR22 3Y-MIDCRVE PUT/CALL RATIO-- 1.00 (7,300 PUTS VS. 7,300 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

FRI OPEN    56.27    57.25    62.08    59.00    68.84     76.14

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

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

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