US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JAN 19

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

            USG    USH     TYG    TYH     FVG    TUH     EDG     EDH

FRI 3:00   8.56%  8.08%   3.71%  3.63%   2.12%  2.13%   12.10%  13.78%

1:45       8.92%  8.16%   3.86%  3.74%   2.25%  2.13%   12.70%  13.78%

12:30      8.89%  8.24%   3.69%  3.70%   2.26%  2.11%   13.55%  13.77%

11:15      8.93%  8.33%   4.08%  3.73%   2.33%  2.14%   13.67%  13.51%

9:30       9.32%  8.31%   4.05%  3.73%   2.31%  2.15%   13.99%  12.98%

FRI OPEN   8.87%  8.01%   3.89%  3.69%   2.27%  2.12%   13.87%  12.99%

THU 3:00   8.16%  7.75%   3.44%  3.62%   2.04%  2.11%   14.44%  12.89%

WED 3:00   7.45%  7.15%   3.33%  3.41%   2.05%  2.00%   11.60%  13.58%

TUE 3:00   7.47%  7.27%   3.38%  3.41%   2.05%  2.00%   12.55%  13.47%

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

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

FEB18 10Y NOTE  125.00 C  112,494      -26   123.00 P   76,978  -7,458

MAR18 10Y NOTE  126.00 C  126,017      -52   122.50 P  139,683  +4,186

FEB18 5Y NOTE   117.25 C   75,131     UNCH   115.50 P   43,237  -4,409

MAR18 5Y NOTE   115.50 C   41,049  +14,191   108.50 P  140,106    UNCH

FEB18 2Y NOTE   107.25 C   13,248     UNCH   106.87 P   30,370    -100

MAR18 2Y NOTE   107.38 C   20,745     UNCH   107.00 P   48,406    UNCH

FEB18 EURODLR    98.50 C  245,800     UNCH    98.12 P  268,435  -2,500

MAR18 EURODLR    98.50 C  493,040   +2,377    98.12 P  794,297  +4,232

MAR19 1Y-MIDC    98.25 C  216,085     UNCH    97.50 P  537,960 +38,167

MAR20 2Y-MIDC    98.50 C  145,426     UNCH    97.37 P  272,584 +38,668

MAR21 3Y-MIDC    98.12 C   63,218     UNCH    97.37 P   96,478      +5

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

FEB18 10Y NOTE  123.50 C   46,563   -2,586   123.50 P   65,286    -230

FEB18 10Y NOTE  124.00 C   61,622     +409   124.00 P   40,524     -88

MAR18 10Y NOTE  123.50 C   51,453  +10,071   123.50 P   39,683  -1,413

MAR18 10Y NOTE  124.00 C   92,888   +1,168   124.00 P   42,217     +36

FEB18 5Y NOTE   115.75 C   22,313   -1,433   115.75 P   33,154  -1,770

FEB18 5Y NOTE   116.00 C   16,477      +43   116.00 P   19,392    +251

MAR18 5Y NOTE   115.75 C   29,332  +15,155   115.75 P   19,305      -1

MAR18 5Y NOTE   116.00 C   21,037   +5,782   116.00 P    8,844    +275

FEB18 2Y NOTE   107.00 C    2,888     UNCH   107.00 P   20,070      +1

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

MAR18 2Y NOTE   107.00 C    3,825     UNCH   107.00 P   48,406    UNCH

MAR18 2Y NOTE   107.12 C    5,661     UNCH   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  493,040   +2,377    98.50 P  123,605    UNCH

MAR18 EURODLR    98.62 C  285,674  +32,198    98.62 P   28,813    UNCH

MAR19 1Y-MIDC    98.12 C  181,841     +500    98.12 P   62,124    UNCH

MAR19 1Y-MIDC    98.25 C  216,085     UNCH    98.25 P   33,396    UNCH

MAR20 2Y-MIDC    97.87 C   73,391     +147    97.87 P   51,374    UNCH

MAR20 2Y-MIDC    98.00 C  111,748     UNCH    98.00 P   73,233    UNCH

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

MAR21 3Y-MIDC    97.87 C   49,947     UNCH    97.87 P   33,372    UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

FEB18 10Y NOTE PUT/CALL RATIO   -- 2.48 (208,627 PUTS VS. 83,805 CALLS)

MAR18 10Y NOTE PUT/CALL RATIO   -- 1.52 (258,445 PUTS VS. 169,829 CALLS)

FEB18 5Y NOTE PUT/CALL RATIO    -- 6.51 (41,912 PUTS VS. 9,508 CALLS)

MAR18 5Y NOTE PUT/CALL RATIO    -- 0.44 (30,383 PUTS VS. 68,557 CALLS)

FEB18 2Y NOTE PUT/CALL RATIO    -- 0.46 (252 PUTS VS. 542 CALLS)

MAR18 2Y NOTE PUT/CALL RATIO    -- 2.14 (1,769 PUTS VS. 825 CALLS)

FEB18 EURODLRS PUT/CALL RATIO   -- 2.08 (9,101 PUTS VS. 42,878 CALLS)

MAR18 EURODLRS PUT/CALL RATIO   -- 1.00 (176,699 PUTS VS. 176,675 CALLS)

MAR19 1Y-MIDCRVE PUT/CALL RATIO -- 30.5 (219,621 PUTS VS. 7,250 CALLS)

MAR20 2Y-MIDCRVE PUT/CALL RATIO -- 26.9 (177,795 PUTS VS. 6,650 CALLS)

MAR21 3Y-MIDCRVE PUT/CALL RATIO -- 7.09 (15,640 PUTS VS. 2,250 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

Fri 3:00     39.53    55.99    50.61    57.04    64.27    67.74

1:45         39.52    56.05    50.61    56.98    64.21    67.74

12:30        39.51    55.99    50.61    56.93    64.18    67.71

11:15        39.23    55.47    50.35    56.61    64.01    67.63

9:30         39.07    55.10    50.18    56.29    63.97    67.59

Fri Open     38.81    54.24    49.81    55.91    63.87    67.61

Thu 3:00     38.49    53.02    49.45    55.37    63.52    67.64

Wed 3:00     38.28    50.76    48.89    54.19    63.68    67.54

Wed Open     38.80    51.12    49.31    54.50    63.83    67.73

Tue 3:00     38.81    51.72    49.27    54.40    64.01    67.88

Tue Open     40.03    53.47    50.24    54.99    63.78    68.04

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

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