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    FVH     EDF     EDH

WED 3:00    7.49%  7.52%   3.90%  3.93%  2.62%  2.66%   16.31%  12.48%

1:45        7.57%  7.55%   3.88%  3.96%  2.64%  2.65%   14.57%  12.47%

11:30       7.56%  7.52%   4.06%  4.04%  2.73%  2.72%   15.48%  12.90%

WED OPEN    7.68%  7.66%   4.19%  4.13%  2.85%  2.84%   14.33%  12.88%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

FEB19 10Y NOTE  121.50 C  225,767   -3,397   118.50 P   92,339      +2

MAR19 10Y NOTE  122.00 C   50,890     -138   106.00 P   97,647    UNCH

FEB19 5Y NOTE   114.25 C   55,871       -1   113.25 P   94,078    UNCH

MAR19 5Y NOTE   114.25 C   21,404      -10   103.75 P  284,111    UNCH

FEB19 2Y NOTE   106.00 C    7,773       +1   105.37 P    9,451    UNCH

MAR19 2Y NOTE   105.87 C    8,243     UNCH   105.87 P   10,327    UNCH

JAN19 EURODLR    97.37 C  137,803     UNCH    97.12 P  143,299    UNCH

MAR19 EURODLR    97.37 C  711,108   +4,000    97.00 P1,079,666  -2,000

MAR19 1Y-MIDC    96.87 C  142,741     UNCH    96.62 P  931,765    -500

MAR20 2Y-MIDC    97.50 C  140,710     -200    96.62 P  218,761    UNCH

MAR21 3Y-MIDC    97.00 C   60,658     UNCH    97.00 P   63,617    +500

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

FEB19 10Y NOTE  122.00 C   94,579     -606   122.00 P    4,424  +1,872

FEB19 10Y NOTE  122.50 C   61,154      -45   122.50 P    1,593    +156

MAR19 10Y NOTE  122.00 C   50,890     -138   122.00 P    1,576    +451

MAR19 10Y NOTE  122.50 C   21,987   +2,592   122.50 P      627     +58

FEB19 5Y NOTE   113.75 C   18,399       -8   113.75 P   13,292    +436

FEB19 5Y NOTE   114.00 C   28,053      -20   114.00 P   29,449    +151

MAR19 5Y NOTE   113.75 C   15,267     UNCH   113.75 P    5,565      +3

MAR19 5Y NOTE   114.00 C    9,723      -11   114.00 P    7,387  +2,024

FEB19 2Y NOTE   105.87 C    3,655     UNCH   105.87 P    1,026    UNCH

FEB19 2Y NOTE   106.00 C    7,773       +1   106.00 P    2,923  +1,995

MAR19 2Y NOTE   105.87 C    8,243     UNCH   105.87 P   10,327    UNCH

MAR19 2Y NOTE   106.00 C    2,341      -20   106.00 P    5,084    UNCH

JAN19 EURODLR    97.25 C  131,339     UNCH    97.25 P   77,555    +875

JAN19 EURODLR    97.37 C  137,803     UNCH    97.37 P    2,273    UNCH

MAR19 EURODLR    97.25 C  380,769     -622    97.25 P  185,215  +3,489

MAR19 EURODLR    97.37 C  711,108   +4,000    97.37 P  119,161    UNCH  

MAR20 1Y-MIDC    97.37 C  139,960   +3,506    97.37 P   24,250 +15,281

MAR20 1Y-MIDC    97.50 C   31,934     +404    97.50 P    1,350    +100

MAR21 2Y-MIDC    97.50 C  140,710     -200    97.50 P   91,270    UNCH

MAR21 2Y-MIDC    97.62 C   66,693   +9,480    97.62 P  218,761    UNCH  

MAR22 3Y-MIDC    97.50 C   23,336   +2,658    97.50 P        0    UNCH

MAR22 3Y-MIDC    97.62 C   34,384     UNCH    97.62 P        0    UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

FEB19 10Y NOTE PUT/CALL RATIO  -- 1.45 (93,655 PUTS VS. 64,227 CALLS)

MAR19 10Y NOTE PUT/CALL RATIO  -- 0.29 (17,249 PUTS VS. 57,658 CALLS)

FEB19 5Y NOTE PUT/CALL RATIO   -- 0.98 (10,814 PUTS VS. 11,047 CALLS)

MAR19 5Y NOTE PUT/CALL RATIO   -- 0.65 (11,379 PUTS VS. 17,317 CALLS)

FEB19 2Y NOTE PUT/CALL RATIO   -- 4.56 (4,576 PUTS VS. 11 CALLS)

MAR19 2Y NOTE PUT/CALL RATIO   -- 0.10 (37 PUTS VS. 344 CALLS)

JAN19 EURODLRS PUT/CALL RATIO  -- 11.3 (2,857 PUTS VS. 252 CALLS)

MAR19 EURODLRS PUT/CALL RATIO  -- 1.23 (75,606 PUTS VS. 61,443 CALLS)

MAR20 1Y-MIDCRVE PUT/CALL RATIO-- 4.77 (50,600 PUTS VS. 10,600 CALLS)

MAR21 2Y-MIDCRVE PUT/CALL RATIO-- 22.6 (9,784 PUTS VS. 51,210 CALLS)

MAR22 3Y-MIDCRVE PUT/CALL RATIO-- 0.91 (10,500 PUTS VS. 11,500 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

Wed 3:00    64.60    63.59    67.42    63.80    71.32     78.05

1:45        65.33    64.38    68.04    64.41    71.44     78.16

11:30       66.59    64.84    68.67    64.69    71.50     78.24

Wed Open    67.70    66.40    69.74    66.02    71.69     78.25

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

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