US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JAN 16

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

            USG    USH     TYG    TYH     FVG    TUH     EDG     EDH

9:00       7.14%  7.07%   3.18%  3.39%   1.91%  1.93%   12.00%  13.05%

TUE OPEN   7.23%  7.21%   3.22%  3.45%   1.94%  1.98%   11.10%  13.41%

THU 3:00   7.28%  7.40%   3.42%  3.48%   1.91%  2.02%    N/A    13.67%

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

FEB18 10Y NOTE  125.00 C  112,645     -531   123.00 P   97,499 -13,209

MAR18 10Y NOTE  126.00 C  106,482  +10,029   123.00 P  154,701  -6,354

FEB18 5Y NOTE   117.25 C   75,131     UNCH   115.50 P   44,890  -2,276

MAR18 5Y NOTE   116.25 C   21,204     +273   108.50 P  140,106    UNCH

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

MAR18 2Y NOTE   107.38 C   20,745     UNCH   107.00 P   48,407    UNCH

FEB18 EURODLR    98.50 C  245,800     UNCH    98.12 P  285,298  -5,588

MAR18 EURODLR    98.50 C  489,553   +1,100    98.12 P  800,752  +7,619

MAR19 1Y-MIDC    98.25 C  215,751     UNCH    97.62 P  428,845 -20,249

MAR20 2Y-MIDC    98.50 C  145,426     UNCH    97.37 P  218,303 +69,386

MAR21 3Y-MIDC    98.12 C   63,218     UNCH    97.37 P   95,371  +7,885

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

FEB18 10Y NOTE  123.50 C   41,877   +7,259   123.50 P   65,067    +152

FEB18 10Y NOTE  124.00 C   54,762   +8,182   124.00 P   51,267    -126

MAR18 10Y NOTE  123.50 C   38,693   +1,186   123.50 P   41,115     +24

MAR18 10Y NOTE  124.00 C   47,290     -220   124.00 P   41,897    +179

FEB18 5Y NOTE   115.75 C   22,108     -264   115.75 P   41,609  -1,394

FEB18 5Y NOTE   116.00 C   17,077     -457   116.00 P   20,233    +498

MAR18 5Y NOTE   115.75 C    7,317   +2,030   115.75 P   19,307    +122

MAR18 5Y NOTE   116.00 C   14,727   -1,024   116.00 P    8,569    +225

FEB18 2Y NOTE   107.00 C    2,884     -383   107.00 P   20,069    UNCH

FEB18 2Y NOTE   107.12 C    1,863     UNCH   107.12 P    3,849    UNCH

MAR18 2Y NOTE   107.00 C    4,533     +100   107.00 P   48,393    UNCH

MAR18 2Y NOTE   107.12 C    5,661   +1,133   107.12 P   19,443    UNCH

FEB18 EURODLR    98.50 C  245,800     UNCH    98.50 P    1,872    UNCH

FEB18 EURODLR    98.62 C   31,216     UNCH    98.62 P        0    UNCH

MAR18 EURODLR    98.50 C  489,553   +1,100    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  196,596     UNCH    98.12 P   62,124  -3,850

MAR19 1Y-MIDC    98.25 C  215,751     UNCH    98.25 P   35,781    -616

MAR20 2Y-MIDC    97.87 C   73,244   +2,000    97.87 P   51,374    -112

MAR20 2Y-MIDC    98.00 C  111,748     +956    98.00 P   73,233    +300

MAR21 3Y-MIDC    97.75 C   46,182     +300    97.75 P   25,729    UNCH

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   -- 1.19 (148,019 PUTS VS. 124,302 CALLS)

MAR18 10Y NOTE PUT/CALL RATIO   -- 3.02 (249,067 PUTS VS. 82,275 CALLS)

FEB18 5Y NOTE PUT/CALL RATIO    -- 1.39 (43,250 PUTS VS. 30,966 CALLS)

MAR18 5Y NOTE PUT/CALL RATIO    -- 1.24 (55,309 PUTS VS. 44,382 CALLS)

FEB18 2Y NOTE PUT/CALL RATIO    -- 0.08 (354 PUTS VS. 4,053 CALLS)

MAR18 2Y NOTE PUT/CALL RATIO    -- 3.00 (4,128 PUTS VS. 1,405 CALLS)

FEB18 EURODLRS PUT/CALL RATIO   -- 0.88 (10,250 PUTS VS. 11,500 CALLS)

MAR18 EURODLRS PUT/CALL RATIO   -- 0.32 (71,255 PUTS VS. 223,650 CALLS)

MAR19 1Y-MIDCRVE PUT/CALL RATIO -- 1.12 (135,848 PUTS VS. 12,000 CALLS)

MAR20 2Y-MIDCRVE PUT/CALL RATIO -- 15.2 (182,148 PUTS VS. 12,000 CALLS)

MAR21 3Y-MIDCRVE PUT/CALL RATIO -- 5.09 (15,870 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

9:00         39.84    53.30    50.14    54.89    63.69    68.04

Tue Open     40.03    53.47    50.24    54.99    63.78    68.04

Thu 3:00     40.78    53.09    50.85    54.97    63.96    68.29

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

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

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