US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JAN 22

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

            USG    USH     TYG    TYH     FVG    TUH     EDG     EDH

MON 3:00   9.80%  8.17%   4.54%  3.89%   2.75%  2.24%   11.50%  13.27%

1:45       9.79%  8.15%   4.62%  3.90%   2.75%  2.24%   10.88%  13.26%

12:00      9.69%  8.08%   4.39%  3.79%   2.64%  2.17%   11.18%  13.52%

10:00     10.25%  8.33%   4.64%  3.85%   2.76%  2.19%   12.00%  13.51%

MON OPEN   9.88%  8.33%   4.46%  3.85%   2.44%  2.19%   12.70%  12.89%

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

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  112,089     -405   123.00 P   77,046     +68

MAR18 10Y NOTE  126.00 C  126,017     UNCH   122.50 P  137,039  -2,644

FEB18 5Y NOTE   117.25 C   75,131     UNCH   115.50 P   42,670    -567

MAR18 5Y NOTE   115.50 C   41,699     +650   108.50 P  140,106    UNCH

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

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  268,499     +64

MAR18 EURODLR    98.50 C  493,040     UNCH    98.12 P  810,530 +16,233

MAR19 1Y-MIDC    98.25 C  216,085     UNCH    97.50 P  539,500  +1,540

MAR20 2Y-MIDC    98.50 C  145,426     UNCH    97.37 P  283,583 +10,999

MAR21 3Y-MIDC    98.12 C   63,218     UNCH    97.37 P   94,730  -1,748

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

FEB18 10Y NOTE  123.50 C   50,023   +3,460   123.50 P   64,455    -831

FEB18 10Y NOTE  124.00 C   65,129   +3,507   124.00 P   40,818    +294

MAR18 10Y NOTE  123.50 C   55,913   +4,460   123.50 P   40,087    +404

MAR18 10Y NOTE  124.00 C  110,783  +17,898   124.00 P   40,949  -1,268

FEB18 5Y NOTE   115.75 C   21,828     -485   115.75 P   33,154    UNCH

FEB18 5Y NOTE   116.00 C   16,677     +200   116.00 P   19,392    UNCH

MAR18 5Y NOTE   115.75 C   29,486     +154   115.75 P   19,305    UNCH

MAR18 5Y NOTE   116.00 C   21,124      +87   116.00 P    7,945    -899

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

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

MAR18 2Y NOTE   107.00 C    3,475     -350   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     UNCH    98.50 P  123,605    UNCH

MAR18 EURODLR    98.62 C  285,674     UNCH    98.62 P   27,014  -1,299

MAR19 1Y-MIDC    98.12 C  181,841     UNCH    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   74,976   +1,585    97.87 P   51,374    UNCH

MAR20 2Y-MIDC    98.00 C  113,748   +2,000    98.00 P   73,233    UNCH

MAR21 3Y-MIDC    97.75 C   46,325     +143    97.75 P   25,729    UNCH

MAR21 3Y-MIDC    97.87 C   51,398   +1,451    97.87 P   33,372    UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

FEB18 10Y NOTE PUT/CALL RATIO   -- 2.39 (171,165 PUTS VS. 71,569 CALLS)

MAR18 10Y NOTE PUT/CALL RATIO   -- 1.57 (187,216 PUTS VS. 118,728 CALLS)

FEB18 5Y NOTE PUT/CALL RATIO    -- 2.69 (28,298 PUTS VS. 10,516 CALLS)

MAR18 5Y NOTE PUT/CALL RATIO    -- 3.20 (36,795 PUTS VS. 11,480 CALLS)

FEB18 2Y NOTE PUT/CALL RATIO    -- 0.00 (1 PUTS VS. 0 CALLS)

MAR18 2Y NOTE PUT/CALL RATIO    -- 1.17 (2,730 PUTS VS. 2,300 CALLS)

FEB18 EURODLRS PUT/CALL RATIO   -- 0.52 (7,348 PUTS VS. 13,792 CALLS)

MAR18 EURODLRS PUT/CALL RATIO   -- 0.55 (65,354 PUTS VS. 118,100 CALLS)

MAR19 1Y-MIDCRVE PUT/CALL RATIO -- 1.50 (40,037 PUTS VS. 26,600 CALLS)

MAR20 2Y-MIDCRVE PUT/CALL RATIO -- 2.63 (165,347 PUTS VS. 62,775 CALLS)

MAR21 3Y-MIDCRVE PUT/CALL RATIO -- 1.78 (95,206 PUTS VS. 53,382 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

Mon 3:00     40.11    60.28    51.90    58.82    65.32    68.05

1:45         40.06    60.10    51.83    58.71    65.24    67.99

12:00        40.09    60.09    51.71    58.54    65.26    67.97

10:00        40.58    60.86    52.06    58.92    65.41    68.03

Mon Open     40.42    61.50    52.37    59.12    65.40    68.18

Fri 3:00     39.53    55.99    50.61    57.04    64.27    67.74

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$]