US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JAN 17

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

             USG    USH     TYG    TYH    FVG    FVH     EDG      EDH

THU OPEN    6.09%  6.70%   3.28%  3.60%  2.01%  2.39%  11.35%   12.09%

WED 3:00    6.06%  6.45%   3.15%  3.57%  2.06%  2.36%   9.25%    9.11%

WED OPEN    6.06%  6.43%   3.38%  3.57%  2.17%  2.35%   9.46%    9.45%

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

FEB19 10Y NOTE  121.50 C  171,468     -154   121.00 P   91,779    +559

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

FEB19 5Y NOTE   115.25 C   58,624   +3,982   113.25 P   95,440    UNCH

MAR19 5Y NOTE   114.25 C   23,967     +143   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    6,830     -200   105.62 P    9,238  -1,000

FEB19 EURODLR    97.50 C   39,619   +6,500    97.00 P   84,387    UNCH

MAR19 EURODLR    97.37 C  399,412   +3,400    97.00 P  886,631    UNCH

MAR19 1Y-MIDC    97.37 C  145,432     -350    96.62 P  807,296    UNCH

MAR20 2Y-MIDC    97.50 C  129,112     +350    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  117,965   +1,340   122.00 P   17,934  -3,902

FEB19 10Y NOTE  122.50 C   71,580   -1,249   122.50 P   10,372      -8

MAR19 10Y NOTE  122.00 C   51,812     +147   122.00 P   40,256  +3,659

MAR19 10Y NOTE  122.50 C   53,126   +1,344   122.50 P   11,134    -109

FEB19 5Y NOTE   113.75 C   17,684     UNCH   113.75 P   18,335    -229

FEB19 5Y NOTE   114.00 C   36,529  -33,448   114.00 P   46,767 +22,237

MAR19 5Y NOTE   113.75 C    9,715     UNCH   113.75 P   19,869    -156

MAR19 5Y NOTE   114.00 C   18,738     UNCH   114.00 P   25,387    +468

FEB19 2Y NOTE   105.87 C    2,227     UNCH   105.87 P    6,574    +371

FEB19 2Y NOTE   106.00 C    4,495     UNCH   106.00 P    5,790  +1,834

MAR19 2Y NOTE   105.87 C    2,780     UNCH   105.87 P    6,086      +2

MAR19 2Y NOTE   106.00 C    1,818     -212   106.00 P    2,474    +212

FEB19 EURODLR    97.25 C   35,727     UNCH    97.25 P   37,464  +1,684

FEB19 EURODLR    97.37 C   33,439   +6,500    97.37 P    2,720    UNCH

MAR19 EURODLR    97.25 C  341,730     +250    97.25 P  200,161    -936

MAR19 EURODLR    97.37 C  399,412   +3,400    97.37 P  118,756    -580  

MAR20 1Y-MIDC    97.37 C  145,432     -350    97.37 P  139,890 +12,573

MAR20 1Y-MIDC    97.50 C  143,562     UNCH    97.50 P   33,598    +800

MAR21 2Y-MIDC    97.50 C  129,112     +350    97.50 P   52,348    -174

MAR21 2Y-MIDC    97.62 C   74,068      +10    97.62 P   17,338    UNCH  

MAR22 3Y-MIDC    97.50 C   36,027     UNCH    97.50 P   19,200    UNCH

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  -- 1.68 (140,931 PUTS VS. 83,856 CALLS)

MAR19 10Y NOTE PUT/CALL RATIO  -- 1.04 (67,338 PUTS VS. 65,026 CALLS)

FEB19 5Y NOTE PUT/CALL RATIO   -- 0.17 (53,458 PUTS VS. 307,666 CALLS)

MAR19 5Y NOTE PUT/CALL RATIO   -- 1.37 (22,983 PUTS VS. 16,824 CALLS)

FEB19 2Y NOTE PUT/CALL RATIO   -- 14.4 (4,195 PUTS VS. 292 CALLS)

MAR19 2Y NOTE PUT/CALL RATIO   -- 1.81 (2,220 PUTS VS. 1,226 CALLS)

FEB19 EURODLRS PUT/CALL RATIO  -- 0.15 (2,775 PUTS VS. 18,000 CALLS)

MAR19 EURODLRS PUT/CALL RATIO  -- 0.58 (18,625 PUTS VS. 32,335 CALLS)

MAR20 1Y-MIDCRVE PUT/CALL RATIO-- 2.42 (96,485 PUTS VS. 39,815 CALLS)

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

MAR22 3Y-MIDCRVE PUT/CALL RATIO-- 0.00 (0 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 OPEN    55.43    52.86    60.20    57.41    67.61     75.61

WED 3:00    55.86    52.99    60.47    57.49    67.80     75.83

WED OPEN    55.90    54.62    60.75    57.96    67.97     75.87

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

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

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