US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JAN 3

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

            USG    USH     TYG    TYH     FVG    TUH     EDF     EDH

2:15       7.43%  7.49%   3.32%  3.50%   1.97%  2.10%   12.50%  15.24%

12:00      7.47%  7.51%   3.32%  3.50%   1.97%  2.10%   12.10%  15.04%

10:30      7.58%  7.52%   3.33%  3.48%   1.98%  2.10%   12.20%  15.20%

9:15       7.63%  7.63%   3.44%  3.53%   2.00%  2.12%   12.42%  15.03%

WED OPEN   7.66%  7.64%   3.38%  3.48%   2.01%  2.12%   13.62%  15.03%

TUE 3:00   7.62%  7.70%   3.45%  3.53%   2.01%  2.11%   11.20%  14.95%

TUE OPEN   7.58%  7.68%   3.36%  3.51%   2.04%  2.12%   11.20%  15.35%

FRI CLSE   7.29%  7.53%   3.19%  3.47%   1.95%  2.12%   11.70%  14.87%

FRI OPEN   7.40%  7.55%   3.27%  3.50%   1.95%  2.08%   12.82%  14.77%

THU 3:00   7.37%  7.59%   3.26%  3.47%   1.91%  2.01%   12.25%  14.32%

THU OPEN   7.26%  7.59%   3.18%  3.42%   1.90%  2.07%   11.46%  14.95%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

FEB18 10Y NOTE  124.50 C   72,086   -2,073   123.00 P  104,590  +3,431

MAR18 10Y NOTE  126.00 C   45,316     -414   114.00 P  119,347    UNCH

FEB18 5Y NOTE   117.25 C   74,992       -1   115.50 P   67,917    +308

MAR18 5Y NOTE   117.25 C   14,658     +413   108.50 P  140,106    UNCH

FEB18 2Y NOTE   107.25 C    8,746     +118   106.75 P   20,750    UNCH

MAR18 2Y NOTE   107.38 C   20,745       -1   107.00 P   62,086    -359

JAN18 EURODLR    98.62 C  275,189     UNCH    98.25 P  286,834    UNCH

MAR18 EURODLR    98.50 C  474,885     UNCH    98.25 P  835,305  +2,901

MAR19 1Y-MIDC    98.25 C  227,654   +8,000    97.62 P  432,968  +4,845

MAR20 2Y-MIDC    98.50 C  145,426     UNCH    97.75 P  141,693    UNCH

MAR21 3Y-MIDC    98.12 C   63,259     UNCH    97.37 P   62,351    UNCH

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

FEB18 10Y NOTE  123.50 C   24,650      +59   123.50 P   65,746    -311

FEB18 10Y NOTE  124.00 C   33,327      -51   124.00 P   67,970    +133

MAR18 10Y NOTE  123.50 C   13,623   +1,074   123.50 P   27,930    -122

MAR18 10Y NOTE  124.00 C   19,400     +512   124.00 P   42,380      +3

FEB18 5Y NOTE   115.75 C      315     UNCH   115.75 P   38,623  +1,258

FEB18 5Y NOTE   116.00 C   12,458     +231   116.00 P   17,288    +207

MAR18 5Y NOTE   115.75 C      835     UNCH   115.75 P   16,647    +230

MAR18 5Y NOTE   116.00 C    5,142     +308   116.00 P    8,181    +452

FEB18 2Y NOTE   107.00 C    1,793     +535   107.00 P   20,209    +141

FEB18 2Y NOTE   107.12 C    2,158     UNCH   107.12 P    3,572    UNCH

MAR18 2Y NOTE   107.00 C    2,660     -500   107.00 P   62,086    -359

MAR18 2Y NOTE   107.12 C    2,366     UNCH   107.12 P   19,443    UNCH

JAN18 EURODLR    98.50 C  163,430     UNCH    98.50 P   18,103    UNCH

JAN18 EURODLR    98.62 C  275,189     UNCH    98.62 P        0    UNCH

MAR18 EURODLR    98.50 C  474,885     UNCH    98.50 P  124,436    UNCH

MAR18 EURODLR    98.62 C  253,052       +1    98.62 P   28,813    UNCH

MAR19 1Y-MIDC    98.12 C  170,450  +19,637    98.12 P   70,031    UNCH

MAR19 1Y-MIDC    98.25 C  227,654   +8,000    98.25 P   36,397    UNCH

MAR20 2Y-MIDC    97.87 C   72,355     UNCH    97.87 P   50,975    UNCH

MAR20 2Y-MIDC    98.00 C  112,768   +4,760    98.00 P   72,318    UNCH

MAR21 3Y-MIDC    97.75 C   37,068     +250    97.75 P   25,612    UNCH

MAR21 3Y-MIDC    97.87 C   48,930     UNCH    97.87 P   33,372    UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

FEB18 10Y NOTE PUT/CALL RATIO   -- 0.86 (49,608 PUTS VS. 57,471 CALLS)

MAR18 10Y NOTE PUT/CALL RATIO   -- 0.84 (45,828 PUTS VS. 54,167 CALLS)

FEB18 5Y NOTE PUT/CALL RATIO    -- 0.59 (7,602 PUTS VS. 12,684 CALLS)

MAR18 5Y NOTE PUT/CALL RATIO    -- 1.70 (10,246 PUTS VS. 6,073 CALLS)

FEB18 2Y NOTE PUT/CALL RATIO    -- 5.01 (5,520 PUTS VS. 1,105 CALLS)

MAR18 2Y NOTE PUT/CALL RATIO    -- 1.80 (1,064 PUTS VS. 588 CALLS)

JAN18 EURODLRS PUT/CALL RATIO   -- 0.00 (0 PUTS VS. 500 CALLS)

MAR18 EURODLRS PUT/CALL RATIO   -- 0.44 (19,517 PUTS VS. 43,768 CALLS)

MAR19 1Y-MIDCRVE PUT/CALL RATIO -- 0.80 (24,450 PUTS VS. 32,000 CALLS)

MAR20 2Y-MIDCRVE PUT/CALL RATIO -- 0.80 (13,700 PUTS VS. 17,100 CALLS)

MAR21 3Y-MIDCRVE PUT/CALL RATIO -- 0.02 (500 PUTS VS. 20,000 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

2:15         40.65    52.83    50.43    55.31    63.22    67.66

12:00        40.66    52.87    50.44    55.33    63.21    67.65

10:30        40.78    52.87    50.79    55.02    63.60    68.05

9:15         40.78    52.87    50.79    55.02    63.60    68.05

Wed Open     40.78    53.13    50.71    55.32    63.60    68.07

Tue 3:00     40.71    53.82    50.60    55.19    63.63    68.30

Tue Open     40.18    51.59    49.79    54.52    63.54    68.22

Fri Clse     40.05    49.17    49.67    54.39    63.50    68.09

Fri Open     40.05    49.17    49.78    54.59    63.68    68.22

Thu 3:00     40.30    49.07    49.76    54.58    63.65    68.22

Thu Open     40.21    50.79    51.13    55.67    63.83    68.50

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

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