US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JAN 26

FEB TSY OPTIONS EXPIRE TODAY

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

            USG    USH     TYG    TYH     FVG    TUH     EDG     EDH

FRI 3:00    N/A   8.25%    N/A   3.94%    N/A   2.29%   13.00%  13.13%

2:00        N/A   8.08%    N/A   3.82%    N/A   2.21%   13.10%  13.52%

11:45       N/A   8.19%    N/A   3.91%    N/A   2.20%   12.60%  13.50%

10:15       N/A   8.01%    N/A   3.91%    N/A   2.21%   12.05%  14.16%

FRI OPEN    N/A   7.84%    N/A   3.93%    N/A   2.23%   10.10%  14.15%

THU 3:00   8.68%  7.72%   4.63%  3.68%   2.68%  2.13%   11.00%  13.71%

THU OPEN  10.40%  8.22%   4.92%  3.85%   2.77%  2.24%   11.05%  13.45%

WED 3:00  10.40%  8.22%   4.92%  3.85%   2.77%  2.24%   11.70%  13.16%

WED OPEN  10.34%  8.12%   5.11%  3.88%   3.00%  2.28%   13.84%  13.92%

TUE 3:00   9.13%  7.93%   4.67%  3.79%   2.55%  2.19%   12.25%  13.39%

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

FEB18 10Y NOTE  125.00 C  114,047     UNCH   123.00 P   70,093  -2,176

MAR18 10Y NOTE  126.00 C  131,694   +2,898   122.00 P  157,253  -1,592

FEB18 5Y NOTE   117.25 C   75,131     UNCH   115.50 P   40,606    -989

MAR18 5Y NOTE   115.75 C   48,219     +898   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   48,397    UNCH

FEB18 EURODLR    98.50 C  245,800     UNCH    98.12 P  210,616  -3,700

MAR18 EURODLR    98.50 C  493,040     UNCH    98.12 P  806,549    UNCH

MAR19 1Y-MIDC    98.25 C  216,085     UNCH    97.50 P  541,875 +34,285

MAR20 2Y-MIDC    98.50 C  145,426     UNCH    97.37 P  230,371  -5,993

MAR21 3Y-MIDC    98.12 C   63,218     UNCH    97.37 P   92,369    -864

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

FEB18 10Y NOTE  123.50 C   49,527      -90   123.50 P   64,174    -197

FEB18 10Y NOTE  124.00 C   66,529       -4   124.00 P   40,541     -19

MAR18 10Y NOTE  123.50 C   88,706  +10,325   123.50 P   37,686    +448

MAR18 10Y NOTE  124.00 C  111,977  -10,311   124.00 P   34,399    -487

FEB18 5Y NOTE   115.75 C   22,953       -4   115.75 P   33,154    UNCH

FEB18 5Y NOTE   116.00 C   16,663     UNCH   116.00 P   19,392    UNCH

MAR18 5Y NOTE   115.75 C   48,219     +898   115.75 P   19,330    -102

MAR18 5Y NOTE   116.00 C   28,406     +723   116.00 P    7,945    UNCH

FEB18 2Y NOTE   107.00 C    2,888     UNCH   107.00 P   20,071      +1

FEB18 2Y NOTE   107.12 C    1,863     UNCH   107.12 P    3,847    UNCH

MAR18 2Y NOTE   107.00 C    3,682     UNCH   107.00 P   48,397    UNCH

MAR18 2Y NOTE   107.12 C    5,705     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  120,405    UNCH

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

MAR19 1Y-MIDC    98.12 C  186,791     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   46,625     +300    97.75 P   25,729    UNCH

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

PUT/CALL RATIO FOR VOLUME CLEARED:

FEB18 10Y NOTE PUT/CALL RATIO   -- 2.04 (110,628 PUTS VS. 54,004 CALLS)

MAR18 10Y NOTE PUT/CALL RATIO   -- 0.65 (124,499 PUTS VS. 191,265 CALLS)

FEB18 5Y NOTE PUT/CALL RATIO    -- 0.70 (9,279 PUTS VS. 13,026 CALLS)

MAR18 5Y NOTE PUT/CALL RATIO    -- 1.01 (9,878 PUTS VS. 9,763 CALLS)

FEB18 2Y NOTE PUT/CALL RATIO    -- 4.98 (1,246 PUTS VS. 250 CALLS)

MAR18 2Y NOTE PUT/CALL RATIO    -- 2.16 (3,360 PUTS VS. 1,550 CALLS)

FEB18 EURODLRS PUT/CALL RATIO   -- 0.00 (6,000 PUTS VS. 0 CALLS)

MAR18 EURODLRS PUT/CALL RATIO   -- 0.35 (43,657 PUTS VS. 124,072 CALLS)

MAR19 1Y-MIDCRVE PUT/CALL RATIO -- 33.9 (95,003 PUTS VS. 2,850 CALLS)

MAR20 2Y-MIDCRVE PUT/CALL RATIO -- 30.6 (36,735 PUTS VS. 1,250 CALLS)

MAR21 3Y-MIDCRVE PUT/CALL RATIO -- 4.13 (141,785 PUTS VS. 34,300 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     40.45    59.86    54.27    62.16    67.32    68.99

2:00         40.48    59.92    54.22    62.11    67.19    68.93

11:45        40.34    59.58    54.07    61.95    67.04    68.87

10:15        40.04    58.88    53.01    61.02    66.51    68.55

Fri Open     39.93    58.57    52.77    60.85    66.27    68.37

Thu 3:00     39.91    57.86    52.61    60.71    66.21    68.34

Thu Open     40.18    60.44    53.12    61.39    66.11    68.25

Wed 3:00     40.22    60.39    53.13    61.43    66.09    68.20

Wed Open     39.85    59.64    52.40    60.54    65.64    68.01

Tue 3:00     39.89    60.12    51.85    59.70    65.16    67.75

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

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

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