US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JAN 23

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

            USG    USH     TYG    TYH     FVG    TUH     EDG     EDH

9:30       9.19%  7.65%   4.57%  3.66%   2.52%  2.18%   12.00%  12.91%

TUE OPEN   9.15%  7.76%   4.51%  3.66%   2.66%  2.15%   12.70%  13.63%

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

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  111,868     -221   123.00 P   75,755  -1,291

MAR18 10Y NOTE  126.00 C  126,422     +405   122.50 P  134,582  -2,457

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

MAR18 5Y NOTE   115.50 C   45,376   +3,677   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   48,405      -1

FEB18 EURODLR    98.50 C  245,800     UNCH    98.12 P  267,212  -1,287

MAR18 EURODLR    98.50 C  493,040     UNCH    98.12 P  815,030  +4,500

MAR19 1Y-MIDC    98.25 C  216,085     UNCH    97.50 P  545,541  +6,041

MAR20 2Y-MIDC    98.50 C  145,426     UNCH    97.37 P  277,348  -6,235

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

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

FEB18 10Y NOTE  123.50 C   49,119     -904   123.50 P   64,404      -1

FEB18 10Y NOTE  124.00 C   66,378   +1,249   124.00 P   40,728      -8

MAR18 10Y NOTE  123.50 C   70,794  +17,061   123.50 P   39,714    -264

MAR18 10Y NOTE  124.00 C  115,090   +4,307   124.00 P   38,146  -2,803

FEB18 5Y NOTE   115.75 C   21,735      -93   115.75 P   33,154    UNCH

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

MAR18 5Y NOTE   115.75 C   38,858   +9,372   115.75 P   19,305    UNCH

MAR18 5Y NOTE   116.00 C   24,097   +2,973   116.00 P    7,945    UNCH

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    3,682     +207   107.00 P   48,405      -1

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  121,605  -2,000

MAR18 EURODLR    98.62 C  285,676       +2    98.62 P   21,066  -5,948

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   73,391     UNCH    97.87 P   51,374    UNCH

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

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

MAR21 3Y-MIDC    97.87 C   53,378   +1,980    97.87 P   33,372    UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

FEB18 10Y NOTE PUT/CALL RATIO   -- 2.21 (107,290 PUTS VS. 48,479 CALLS)

MAR18 10Y NOTE PUT/CALL RATIO   -- 0.90 (162,324 PUTS VS. 179,401 CALLS)

FEB18 5Y NOTE PUT/CALL RATIO    -- 1.07 (28,552 PUTS VS. 26,477 CALLS)

MAR18 5Y NOTE PUT/CALL RATIO    -- 0.24 (12,811 PUTS VS. 52,320 CALLS)

FEB18 2Y NOTE PUT/CALL RATIO    -- 9.00 (9 PUTS VS. 1 CALLS)

MAR18 2Y NOTE PUT/CALL RATIO    -- 37.6 (22,620 PUTS VS. 630 CALLS)

FEB18 EURODLRS PUT/CALL RATIO   -- 0.22 (2,084 PUTS VS. 9,000 CALLS)

MAR18 EURODLRS PUT/CALL RATIO   -- 2.56 (44,442 PUTS VS. 17,302 CALLS)

MAR19 1Y-MIDCRVE PUT/CALL RATIO -- 50.1 (180,550 PUTS VS. 3,650 CALLS)

MAR20 2Y-MIDCRVE PUT/CALL RATIO -- 4.37 (165,347 PUTS VS. 37,850 CALLS)

MAR21 3Y-MIDCRVE PUT/CALL RATIO -- 1.08 (14,453 PUTS VS. 13,350 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

9:30         39.70    59.64    51.44    58.23    64.90    67.67

Tue Open     39.92    60.11    51.72    58.63    65.12    67.83

Mon 3:00     40.11    60.28    51.90    58.82    65.32    68.05

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$]