US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JAN 2

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

            USG    USH     TYG    TYH     FVG    TUH     EDF     EDH

TUE 3:00   7.62%  7.70%   3.45%  3.53%   2.01%  2.11%   11.20%  14.95%

1:30       7.61%  7.69%   3.47%  3.57%   1.97%  2.12%   10.85%  14.80%

12:00      7.55%  7.72%   3.39%  3.51%   2.01%  2.13%   10.10%  14.30%

10:00      7.66%  7.72%   3.39%  3.55%   2.04%  2.10%   10.80%  14.53%

TUE OPEN   7.58%  7.68%   3.36%  3.51%   2.04%  2.12%   11.20%  15.35%

FRI CLSE   7.29%  7.53%   3.19%  3.47%   1.95%  2.12%   11.70%  14.87%

FRI OPEN   7.40%  7.55%   3.27%  3.50%   1.95%  2.08%   12.82%  14.77%

THU 3:00   7.37%  7.59%   3.26%  3.47%   1.91%  2.01%   12.25%  14.32%

THU OPEN   7.26%  7.59%   3.18%  3.42%   1.90%  2.07%   11.46%  14.95%

TUE 3:00   7.78%  7.87%   3.41%  3.55%   2.04%  2.15%   13.12%  14.88%

TUE OPEN   7.90%  7.88%   3.47%  3.63%   2.06%  2.18%   12.95%  15.02%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

FEB18 10Y NOTE  124.50 C   74,159   +3,445   123.00 P  101,159    +280

MAR18 10Y NOTE  126.00 C   45,730     -631   114.00 P  119,347    UNCH

FEB18 5Y NOTE   117.25 C   74,993       +1   115.50 P   67,609    +179

MAR18 5Y NOTE   117.25 C   14,245      -63   108.50 P  140,106    UNCH

FEB18 2Y NOTE   107.25 C    8,628     UNCH   106.75 P   20,750    -121

MAR18 2Y NOTE   107.38 C   20,746      -75   107.00 P   62,445    UNCH

JAN18 EURODLR    98.62 C  275,189     UNCH    98.25 P  286,834    UNCH

MAR18 EURODLR    98.50 C  474,885     UNCH    98.25 P  832,404     +12

MAR19 1Y-MIDC    98.25 C  219,654     UNCH    97.62 P  428,123    UNCH

MAR20 2Y-MIDC    98.50 C  145,426     UNCH    97.75 P  141,693    UNCH

MAR21 3Y-MIDC    98.12 C   63,259     UNCH    97.37 P   62,351    UNCH

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

FEB18 10Y NOTE  123.50 C   24,591   -1,490   123.50 P   66,057  +1,688

FEB18 10Y NOTE  124.00 C   33,378     -884   124.00 P   67,837    +236

MAR18 10Y NOTE  123.50 C   12,459     +180   123.50 P   28,052    +612

MAR18 10Y NOTE  124.00 C   18,888   +3,986   124.00 P   42,377  +4,154

FEB18 5Y NOTE   115.75 C      315     UNCH   115.75 P   37,365    +292

FEB18 5Y NOTE   116.00 C   12,227       -8   116.00 P   17,081     -82

MAR18 5Y NOTE   115.75 C      835     -382   115.75 P   16,417      +3

MAR18 5Y NOTE   116.00 C    4,834      -18   116.00 P    7,729    UNCH

FEB18 2Y NOTE   107.00 C    1,228       +1   107.00 P   20,067    UNCH

FEB18 2Y NOTE   107.12 C    2,158     UNCH   107.12 P    3,572    UNCH

MAR18 2Y NOTE   107.00 C    3,160     UNCH   107.00 P   62,445    UNCH

MAR18 2Y NOTE   107.12 C    2,366     UNCH   107.12 P   19,443    UNCH

JAN18 EURODLR    98.50 C  163,430     UNCH    98.50 P   18,103    UNCH

JAN18 EURODLR    98.62 C  275,189     UNCH    98.62 P        0    UNCH

MAR18 EURODLR    98.50 C  474,885     UNCH    98.50 P  124,436    UNCH

MAR18 EURODLR    98.62 C  253,051     UNCH    98.62 P   28,813    UNCH

MAR19 1Y-MIDC    98.12 C  150,813     UNCH    98.12 P   70,031    UNCH

MAR19 1Y-MIDC    98.25 C  219,654     UNCH    98.25 P   36,397    UNCH

MAR20 2Y-MIDC    97.87 C   72,355     UNCH    97.87 P   50,975    UNCH

MAR20 2Y-MIDC    98.00 C  108,008     UNCH    98.00 P   72,318    UNCH

MAR21 3Y-MIDC    97.75 C   36,818     UNCH    97.75 P   25,612    UNCH

MAR21 3Y-MIDC    97.87 C   48,930     UNCH    97.87 P   33,372    UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

FEB18 10Y NOTE PUT/CALL RATIO   -- 1.06 (55,995 PUTS VS. 52,479 CALLS)

MAR18 10Y NOTE PUT/CALL RATIO   -- 0.65 (18,316 PUTS VS. 27,857 CALLS)

FEB18 5Y NOTE PUT/CALL RATIO    -- 0.43 (6,237 PUTS VS. 14,153 CALLS)

MAR18 5Y NOTE PUT/CALL RATIO    -- 0.59 (1,942 PUTS VS. 3,252 CALLS)

FEB18 2Y NOTE PUT/CALL RATIO    -- 1.82 (275 PUTS VS. 151 CALLS)

MAR18 2Y NOTE PUT/CALL RATIO    -- 0.26 (179 PUTS VS. 677 CALLS)

JAN18 EURODLRS PUT/CALL RATIO   -- 0.00 (0 PUTS VS. 500 CALLS)

MAR18 EURODLRS PUT/CALL RATIO   -- 1.91 (23,015 PUTS VS. 12,000 CALLS)

MAR19 1Y-MIDCRVE PUT/CALL RATIO -- 0.36 (3,900 PUTS VS. 10,600 CALLS)

MAR20 2Y-MIDCRVE PUT/CALL RATIO -- 0.00 (0 PUTS VS. 1,500 CALLS)

MAR21 3Y-MIDCRVE PUT/CALL RATIO -- 1.00 (835 PUTS VS. 835 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

Tue 3:00     40.71    53.82    50.60    55.19    63.63    68.30

1:30         40.55    53.82    50.56    55.14    63.64    68.13

12:00        39.82    53.75    50.18    55.12    63.58    68.11

10:00        40.28    53.70    49.76    54.79    63.03    67.79

Tue Open     40.18    51.59    49.79    54.52    63.54    68.22

Fri Clse     40.05    49.17    49.67    54.39    63.50    68.09

Fri Open     40.05    49.17    49.78    54.59    63.68    68.22

Thu 3:00     40.30    49.07    49.76    54.58    63.65    68.22

Thu Open     40.21    50.79    51.13    55.67    63.83    68.50

Tue 3:00     40.62    52.35    51.78    56.37    64.45    68.87

Tue Open     40.93    52.33    52.16    56.72    64.39    68.96

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

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