US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JAN 15

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

             USG    USH     TYG    TYH    FVG    FVH     EDG      EDH

TUE 3:00    6.34%  6.72%   3.43%  3.63%  2.11%  2.34%  10.05%    7.80%

TUE OPEN    6.97%  6.80%   3.92%  3.72%  2.57%  2.45%   8.12%    8.90%

MON 3:00    6.77%  6.83%   3.96%  3.74%  2.58%  2.45%   2.78%    7.06%

MON OPEN    7.23%  6.96%   4.20%  3.84%  2.64%  2.52%   6.14%    8.09%

FRI 3:00    6.68%  6.70%   3.77%  3.70%  2.49%  2.40%    N/A     7.80%

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%    N/A     7.89%

THU OPEN    7.33%  7.18%   4.06%  3.92%  2.72%  2.57%    N/A     7.48%

WED 3:00    7.34%  7.17%   3.92%  3.73%  2.72%  2.57%    N/A     8.68%

WED OPEN    7.28%  7.27%   3.90%  3.85%  2.76%  2.62%    N/A     9.40%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

FEB19 10Y NOTE  121.50 C  196,744     -251   121.00 P   96,772  -1,574

MAR19 10Y NOTE  127.00 C   89,955       -1   106.00 P   97,647    UNCH

FEB19 5Y NOTE   114.50 C   69,335     +313   113.25 P   95,440    +978

MAR19 5Y NOTE   114.25 C   23,841     UNCH   103.75 P  284,211    UNCH

FEB19 2Y NOTE   106.37 C   15,637     UNCH   105.37 P    9,908    UNCH

MAR19 2Y NOTE   106.12 C    7,020     UNCH   105.75 P   11,155    UNCH

FEB19 EURODLR    97.25 C   40,565     UNCH    97.00 P   84,387    UNCH

MAR19 EURODLR    97.37 C  401,094      +69    97.00 P  892,232    UNCH

MAR19 1Y-MIDC    97.37 C  143,388     -342    96.62 P  809,796    UNCH

MAR20 2Y-MIDC    97.50 C  130,071     -900    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  119,087     +627   122.00 P   35,932  +1,593

FEB19 10Y NOTE  122.50 C   45,194   +1,094   122.50 P   10,477    +207

MAR19 10Y NOTE  122.00 C   50,621     -353   122.00 P   35,305  +2,845

MAR19 10Y NOTE  122.50 C   40,520   +2,274   122.50 P   10,735     +30

FEB19 5Y NOTE   113.75 C   17,681     UNCH   113.75 P   18,562    -389

FEB19 5Y NOTE   114.00 C   23,788       +4   114.00 P   22,347  +1,125

MAR19 5Y NOTE   113.75 C    9,718     UNCH   113.75 P   20,274    -651

MAR19 5Y NOTE   114.00 C   19,689     UNCH   114.00 P   25,670    +572

FEB19 2Y NOTE   105.87 C    2,227     UNCH   105.87 P    6,128    UNCH

FEB19 2Y NOTE   106.00 C    4,800     UNCH   106.00 P    3,955    UNCH

MAR19 2Y NOTE   105.87 C    2,780     UNCH   105.87 P    6,084    UNCH

MAR19 2Y NOTE   106.00 C    1,930       -4   106.00 P    5,968      +1

FEB19 EURODLR    97.25 C   40,565     UNCH    97.25 P   35,255    UNCH

FEB19 EURODLR    97.37 C   28,439     UNCH    97.37 P    2,720    UNCH

MAR19 EURODLR    97.25 C  342,519     UNCH    97.25 P  199,017    UNCH

MAR19 EURODLR    97.37 C  401,094      +69    97.37 P  119,336    UNCH  

MAR20 1Y-MIDC    97.37 C  143,388     -342    97.37 P  122,908    -100

MAR20 1Y-MIDC    97.50 C  142,371     -230    97.50 P   34,407    -250

MAR21 2Y-MIDC    97.50 C  130,071     -900    97.50 P   50,636    UNCH

MAR21 2Y-MIDC    97.62 C   74,058     UNCH    97.62 P   17,338    UNCH  

MAR22 3Y-MIDC    97.50 C   36,027   +2,450    97.50 P   19,200  +4,550

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  -- 2.04 (90,694 PUTS VS. 44,494 CALLS)

MAR19 10Y NOTE PUT/CALL RATIO  -- 0.52 (22,784 PUTS VS. 44,058 CALLS)

FEB19 5Y NOTE PUT/CALL RATIO   -- 0.94 (18,439 PUTS VS. 19,611 CALLS)

MAR19 5Y NOTE PUT/CALL RATIO   -- 0.88 (9,018 PUTS VS. 10,190 CALLS)

FEB19 2Y NOTE PUT/CALL RATIO   -- 0.00 (0 PUTS VS. 0 CALLS)

MAR19 2Y NOTE PUT/CALL RATIO   -- 0.98 (209 PUTS VS. 213 CALLS)

FEB19 EURODLRS PUT/CALL RATIO  -- 0.00 (0 PUTS VS. 0 CALLS)

MAR19 EURODLRS PUT/CALL RATIO  -- 1.54 (4,002 PUTS VS. 2,600 CALLS)

MAR20 1Y-MIDCRVE PUT/CALL RATIO-- 0.72 (32,457 PUTS VS. 45,300 CALLS)

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

MAR22 3Y-MIDCRVE PUT/CALL RATIO-- 1.00 (4,650 PUTS VS. 4,650 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

TUE 3:00    55.92    56.68    61.16    58.25    68.21     75.91

TUE OPEN    55.93    57.25    61.68    58.77    68.46     76.00

MON 3:00    56.08    57.34    61.65    58.74    68.61     76.08

MON OPEN    55.86    56.80    61.69    58.85    68.47     75.64

FRI 3:00    56.00    56.61    61.81    58.76    68.57     75.80

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

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

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