US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JAN 28

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

             USH    USJ     TYH    TYJ     FVH    FVJ     EDG     EDH

MON 3:00    6.31%  5.76%   3.45%  3.47%   2.36%  2.41%   8.35%   8.16%

1:15        6.22%  6.49%   3.49%  3.66%   2.32%  2.47%   8.87%   8.56%

10:30       6.15%  6.06%   3.53%  3.57%   2.35%  2.32%   9.75%   8.55%

MON OPEN    6.22%  6.12%   3.56%  3.50%   2.35%  2.37%   9.72%   8.94%

FRI 3:00    5.04%  5.30%   3.14%  3.30%   2.23%   N/A    9.12%   8.32%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

MAR19 10Y NOTE  127.00 C   90,507     +498   121.00 P  102,435 +19,461

APR19 10Y NOTE  122.00 C   11,365      -46   120.50 P   16,550  +2,120

MAR19 5Y NOTE   115.50 C   35,136     +205   103.75 P  284,111    UNCH

APR19 5Y NOTE   116.50 C   11,760     UNCH   113.25 P    3,842  +3,741

MAR19 2Y NOTE   106.12 C    7,112     -100   105.62 P    8,724    UNCH

APR19 2Y NOTE   106.12 C      700     UNCH   103.75 P    3,022    UNCH

FEB19 EURODLR    97.37 C   40,521   +9,520    97.00 P   84,387    UNCH

MAR19 EURODLR    97.37 C  379,741   -3,892    97.00 P  885,881    -150

MAR19 1Y-MIDC    97.37 C  159,106  +17,646    96.62 P  803,696    UNCH

MAR20 2Y-MIDC    97.50 C  108,764   -5,268    96.62 P  220,789    UNCH

MAR21 3Y-MIDC    97.00 C   60,658     UNCH    97.00 P   63,850    UNCH

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

MAR19 10Y NOTE  121.50 C   40,465   +3,373   121.50 P   56,227  +1,289

MAR19 10Y NOTE  122.00 C   68,681   +1,953   122.00 P   38,925  -1,098

APR19 10Y NOTE  121.50 C    6,642     -357   121.50 P   14,804  +3,481

APR19 10Y NOTE  122.00 C   11,365      -46   122.00 P    9,948      +2

MAR19 5Y NOTE   114.00 C   17,292     UNCH   114.00 P   35,799     -55

MAR19 5Y NOTE   114.25 C   26,796     +548   114.25 P   53,915    +940

APR19 5Y NOTE   114.00 C    1,530     +117   114.00 P    3,640  +2,789

APR19 5Y NOTE   114.25 C    2,146     UNCH   114.25 P    1,426    +283

MAR19 2Y NOTE   105.87 C    2,769      +82   105.87 P    5,999      -5

MAR19 2Y NOTE   106.00 C    3,636     +849   106.00 P    2,314    UNCH

APR19 2Y NOTE   105.87 C        0     UNCH   105.87 P        7    UNCH

APR19 2Y NOTE   106.00 C      101     UNCH   106.00 P      269     +50

FEB19 EURODLR    97.25 C   35,477     UNCH    97.25 P   67,189  +7,446

FEB19 EURODLR    97.37 C   40,521   +9,520    97.37 P    5,470  +2,750

MAR19 EURODLR    97.25 C  334,378   -3,060    97.25 P  231,318  +8,900

MAR19 EURODLR    97.37 C  379,741   -3,892    97.37 P  120,256    UNCH  

MAR20 1Y-MIDC    97.37 C  159,106  +17,646    97.37 P   99,532    -800

MAR20 1Y-MIDC    97.50 C  146,369  +15,520    97.50 P   32,248    UNCH

MAR21 2Y-MIDC    97.50 C  108,764   -5,268    97.50 P   57,990     -89

MAR21 2Y-MIDC    97.62 C   91,455      -15    97.62 P   17,338    UNCH  

MAR22 3Y-MIDC    97.50 C   37,321     UNCH    97.50 P   21,844    +144

MAR22 3Y-MIDC    97.62 C   30,433     UNCH    97.62 P      600    UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

MAR19 10Y NOTE PUT/CALL RATIO  -- 0.71 (140,254 PUTS VS. 197,719 CALLS)

APR19 10Y NOTE PUT/CALL RATIO  -- 1.69 (12,386 PUTS VS. 7,287 CALLS)

MAR19 5Y NOTE PUT/CALL RATIO   -- 1.72 (27,635 PUTS VS. 16,028 CALLS)

APR19 5Y NOTE PUT/CALL RATIO   -- 1.53 (9,694 PUTS VS. 6,364 CALLS)

MAR19 2Y NOTE PUT/CALL RATIO   -- 0.01 (57 PUTS VS. 6,394 CALLS)

APR19 2Y NOTE PUT/CALL RATIO   -- 1.00 (50 PUTS VS. 50 CALLS)

FEB19 EURODLRS PUT/CALL RATIO  -- 1.00 (12,500 PUTS VS. 12,500 CALLS)

MAR19 EURODLRS PUT/CALL RATIO  -- 0.76 (10,451 PUTS VS. 13,604 CALLS)

MAR20 1Y-MIDCRVE PUT/CALL RATIO-- 0.34 (13,988 PUTS VS. 40,500 CALLS)

MAR21 2Y-MIDCRVE PUT/CALL RATIO-- 1.07 (40,471 PUTS VS. 37,500 CALLS)

MAR22 3Y-MIDCRVE PUT/CALL RATIO-- 7.67 (4,603 PUTS VS. 600 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

Mon 3:00    53.50    53.02    58.97    56.46    67.36     75.32

1:15        53.50    52.85    58.93    56.42    67.29     75.25

10:30       53.56    53.25    58.98    56.48    67.39     75.33

Mon Open    54.42    54.64    59.81    57.21    67.66     75.62

FRI 3:00    54.25    54.00    59.85    57.14    67.57     75.69

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

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