US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JAN 29

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

            USH    USJ     TYH    TYJ     FVH    TUJ     EDG     EDH

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

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

THU 3:00   7.72%   N/A    3.68%   N/A    2.13%   N/A    11.00%  13.71%

THU OPEN   8.22%   N/A    3.85%   N/A    2.24%   N/A    11.05%  13.45%

WED 3:00   8.22%   N/A    3.85%   N/A    2.24%   N/A    11.70%  13.16%

WED OPEN   8.12%   N/A    3.88%   N/A    2.28%   N/A    13.84%  13.92%

TUE 3:00   7.93%   N/A    3.79%   N/A    2.19%   N/A    12.25%  13.39%

TUE OPEN   7.76%   N/A    3.66%   N/A    2.15%   N/A    12.70%  13.63%

MON 3:00   8.17%   N/A    3.89%   N/A    2.24%   N/A    11.50%  13.27%

MON OPEN   8.33%   N/A    3.85%   N/A    2.19%   N/A    12.70%  12.89%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

MAR18 10Y NOTE  126.00 C  126,589   -5,105   122.00 P  152,752  -4,501

APR18 10Y NOTE  125.00 C   43,244      +45   120.00 P   32,364    +789

MAR18 5Y NOTE   115.75 C   48,331     +112   108.50 P  140,106    UNCH

APR18 5Y NOTE   116.00 C   19,304     UNCH   114.50 P   17,582    +404

MAR18 2Y NOTE   107.38 C   20,745     UNCH   107.00 P   48,297    -100

APR18 2Y NOTE   106.62 C    1,348     UNCH   106.50 P    1,906      +6

FEB18 EURODLR    98.50 C  245,800     UNCH    98.12 P  196,296 -14,320

MAR18 EURODLR    98.50 C  493,040     UNCH    98.12 P  806,699    +150

MAR19 1Y-MIDC    98.25 C  217,995   +1,910    97.50 P  512,834 -29,041

MAR20 2Y-MIDC    98.50 C  145,426     UNCH    97.37 P  218,807 -11,564

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

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

MAR18 10Y NOTE  122.00 C   22,463   +4,259   122.00 P  152,752  -4,501

MAR18 10Y NOTE  122.50 C   41,297   +3,425   122.50 P  113,848  +2,615

APR18 10Y NOTE  121.50 C    7,691   +3,357   121.50 P   31,121  +2,779

APR18 10Y NOTE  122.00 C   15,603   +1,459   122.00 P   17,213    -380

MAR18 5Y NOTE   114.75 C    6,216   +6,214   114.75 P   15,966  +5,043

MAR18 5Y NOTE   115.00 C    3,374   +1,201   115.00 P   53,449  +2,725

APR18 5Y NOTE   114.50 C        0     UNCH   114.50 P   17,582    +404

APR18 5Y NOTE   114.75 C    2,967     +995   114.75 P    4,427  +1,714

MAR18 2Y NOTE   106.50 C        0     UNCH   106.50 P    2,507    +298

MAR18 2Y NOTE   106.62 C       24       +1   106.62 P   17,920     +39

APR18 2Y NOTE   106.38 C       40      +22   106.38 P        2    UNCH

APR18 2Y NOTE   106.50 C      406      +10   106.50 P    1,906      +6

FEB18 EURODLR    98.00 C        5     UNCH    98.00 P    1,872    UNCH

FEB18 EURODLR    98.12 C    8,528     +250    98.12 P  196,296 -14,320

MAR18 EURODLR    98.00 C   21,207     UNCH    98.00 P  283,552  +6,500

MAR18 EURODLR    98.12 C   33,262     +400    98.12 P  806,699    +150

MAR19 1Y-MIDC    97.50 C    6,435     +100    97.50 P  512,834 -29,041

MAR19 1Y-MIDC    97.62 C   40,273     -350    97.62 P  236,710  -5,775

MAR20 2Y-MIDC    97.37 C   39,561     -524    97.37 P  218,807 -11,564

MAR20 2Y-MIDC    97.50 C   32,116   +3,752    97.50 P  115,551    UNCH

MAR21 3Y-MIDC    97.25 C   46,529   +1,374    97.25 P   68,448  +2,129

MAR21 3Y-MIDC    97.37 C   26,346   +1,487    97.37 P   92,369    UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

MAR18 10Y NOTE PUT/CALL RATIO   -- 1.85 (263,769 PUTS VS. 142,046 CALLS)

APR18 10Y NOTE PUT/CALL RATIO   -- 3.25 (46,187 PUTS VS. 14,236 CALLS)

AMR18 5Y NOTE PUT/CALL RATIO    -- 0.57 (30,958 PUTS VS. 53,885 CALLS)

APR18 5Y NOTE PUT/CALL RATIO    -- 4.96 (28,825 PUTS VS. 5,779 CALLS)

MAR18 2Y NOTE PUT/CALL RATIO    -- 0.23 (3,910 PUTS VS. 16,961 CALLS)

APR18 2Y NOTE PUT/CALL RATIO    -- 0.16 (7 PUTS VS. 43 CALLS)

FEB18 EURODLRS PUT/CALL RATIO   -- 176.6 (88,337 PUTS VS. 500 CALLS)

MAR18 EURODLRS PUT/CALL RATIO   -- 8.77 (38,613 PUTS VS. 4,388 CALLS)

MAR19 1Y-MIDCRVE PUT/CALL RATIO -- 4.08 (107,547 PUTS VS. 26,330 CALLS)

MAR20 2Y-MIDCRVE PUT/CALL RATIO -- 7.36 (101,655 PUTS VS. 13,780 CALLS)

MAR21 3Y-MIDCRVE PUT/CALL RATIO -- 10.2 (24,588 PUTS VS. 2,450 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

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

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

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