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    FVH     EDF     EDH

THU 3:00    8.26%  7.99%   4.39%  4.29%  2.89%  2.81%   15.71%  13.30%   

THU 12:00   7.68%  7.73%   4.10%  4.09%  2.62%  2.70%   13.45%  13.59%    

WED 3:00    7.49%  7.52%   3.90%  3.93%  2.62%  2.66%   16.31%  12.48%

WED OPEN    7.68%  7.66%   4.19%  4.13%  2.85%  2.84%   14.33%  12.88%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

FEB19 10Y NOTE  121.50 C  211,681  -14,086   118.50 P   92,292     -47

MAR19 10Y NOTE  127.00 C   49,251     -248   106.00 P   97,647    UNCH

FEB19 5Y NOTE   114.25 C   55,871     UNCH   113.25 P   94,090     +12

MAR19 5Y NOTE   114.25 C   21,407       +3   103.75 P  284,111    UNCH

FEB19 2Y NOTE   106.00 C    7,773     UNCH   105.37 P    9,451    UNCH

MAR19 2Y NOTE   105.87 C    2,778   -5,465   105.87 P   10,327    UNCH

JAN19 EURODLR    97.37 C  136,893     -910    97.12 P  143,299    UNCH

MAR19 EURODLR    97.37 C  730,868  +19,760    97.00 P1,080,366    +700

MAR19 1Y-MIDC    96.87 C  142,741     UNCH    96.62 P  931,765    UNCH

MAR20 2Y-MIDC    97.50 C  140,419     -291    96.62 P  218,386    -375

MAR21 3Y-MIDC    97.00 C   60,658     UNCH    97.00 P   63,617    UNCH

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

FEB19 10Y NOTE  122.00 C   93,518   -1,061   122.00 P   12,709  +8,285

FEB19 10Y NOTE  122.50 C   50,835  -10,319   122.50 P    1,684     +91

MAR19 10Y NOTE  122.00 C   47,918   -2,972   122.00 P    8,251  +6,675

MAR19 10Y NOTE  122.50 C   24,912   +2,925   122.50 P    1,782  +1,155

FEB19 5Y NOTE   113.75 C   13,842     +550   113.75 P   13,292    +436

FEB19 5Y NOTE   114.00 C   17,329  -12,120   114.00 P   29,449    +151

MAR19 5Y NOTE   113.75 C    9,723     UNCH   113.75 P    7,315  +1,750

MAR19 5Y NOTE   114.00 C   19,619     UNCH   114.00 P    7,369     -18

FEB19 2Y NOTE   105.87 C    3,655     UNCH   105.87 P    1,026    UNCH

FEB19 2Y NOTE   106.00 C    7,773     UNCH   106.00 P    2,948     +25

MAR19 2Y NOTE   105.87 C    2,778   -5,465   105.87 P    5,342    +258

MAR19 2Y NOTE   106.00 C    2,341     UNCH   106.00 P    5,050    UNCH

JAN19 EURODLR    97.25 C  131,339     UNCH    97.25 P   78,055    +500

JAN19 EURODLR    97.37 C  136,893     -910    97.37 P    2,273    UNCH

MAR19 EURODLR    97.25 C  395,882  +15,113    97.25 P  185,053    -162

MAR19 EURODLR    97.37 C  730,868  +19,760    97.37 P  118,998    -163  

MAR20 1Y-MIDC    97.37 C  142,737   +2,777    97.37 P   26,500  +2,250

MAR20 1Y-MIDC    97.50 C   71,249  +11,944    97.50 P    2,175    +825

MAR21 2Y-MIDC    97.50 C  140,419     -291    97.50 P   13,475  +3,875

MAR21 2Y-MIDC    97.62 C   68,054   +1,761    97.62 P        0    UNCH  

MAR22 3Y-MIDC    97.50 C   22,408     -928    97.50 P        0    UNCH

MAR22 3Y-MIDC    97.62 C   37,384   +3,000    97.62 P        0    UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

FEB19 10Y NOTE PUT/CALL RATIO  -- 0.92 (128,617 PUTS VS. 139,479 CALLS)

MAR19 10Y NOTE PUT/CALL RATIO  -- 1.83 (138,646 PUTS VS. 75,919 CALLS)

FEB19 5Y NOTE PUT/CALL RATIO   -- 3.98 (68,772 PUTS VS. 17,288 CALLS)

MAR19 5Y NOTE PUT/CALL RATIO   -- 1.56 (36,610 PUTS VS. 23,504 CALLS)

FEB19 2Y NOTE PUT/CALL RATIO   -- 0.60 (907 PUTS VS. 1,517 CALLS)

MAR19 2Y NOTE PUT/CALL RATIO   -- 0.09 (888 PUTS VS. 9,410 CALLS)

JAN19 EURODLRS PUT/CALL RATIO  -- 0.74 (4,000 PUTS VS. 5,433 CALLS)

MAR19 EURODLRS PUT/CALL RATIO  -- 0.23 (53,796 PUTS VS. 238,755 CALLS)

MAR20 1Y-MIDCRVE PUT/CALL RATIO-- 0.03 (3,100 PUTS VS. 105,100 CALLS)

MAR21 2Y-MIDCRVE PUT/CALL RATIO-- 0.50 (2,550 PUTS VS. 5,050 CALLS)

MAR22 3Y-MIDCRVE PUT/CALL RATIO-- 0.00 (0 PUTS VS. 4,250 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

THU 3:00    64.85    64.12    67.37    63.73    71.19     77.80

THU 12:00   64.23    63.33    66.84    63.42    71.15     77.89    

Wed 3:00    64.60    63.59    67.42    63.80    71.32     78.05

Wed Open    67.70    66.40    69.74    66.02    71.69     78.25

--MNI Chicago Bureau; +1 630-698-0154; email: ryan.martin@marketnews.com

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