US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JAN 30

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

            USH    USJ     TYH    TYJ     FVH    TUJ     EDG     EDH

1:30       8.80%  8.13%   4.26%  4.07%   2.49%  2.58%   14.00%  13.66%

11:45      8.85%  8.56%   4.20%  4.16%   2.45%  2.45%   14.30%  13.65%

10:30      8.79%  8.55%   4.13%  4.00%   2.42%  2.41%   14.80%  15.72%

TUE OPEN   8.84%  8.30%   4.25%  4.04%   2.50%  2.48%   14.50%  13.63%

MON 3:00   8.51%  8.24%   4.06%  4.25%   2.42%  2.75%   16.10%  14.32%

MON OPEN   9.27%  9.20%   4.53%  4.60%   2.60%  2.83%   12.10%  14.28%

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

MAR18 10Y NOTE  126.00 C  126,731     +142   122.00 P  145,733  -7,019

APR18 10Y NOTE  125.00 C   43,235       -9   120.00 P   33,318    +954

MAR18 5Y NOTE   115.75 C   48,582     +251   108.50 P  140,106    UNCH

APR18 5Y NOTE   116.00 C   19,328      +24   114.50 P   17,031    -551

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

APR18 2Y NOTE   106.62 C    6,311   +4,963   106.50 P    1,906    UNCH

FEB18 EURODLR    98.50 C  245,800     UNCH    98.12 P  187,202  -9,094

MAR18 EURODLR    98.50 C  493,040     UNCH    98.12 P  799,266  -7,433

MAR19 1Y-MIDC    98.25 C  217,995     UNCH    97.50 P  479,128 -33,706

MAR20 2Y-MIDC    98.50 C  145,426     UNCH    97.37 P  217,377  -1,430

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   19,769   -2,694   122.00 P  145,733  -7,019

MAR18 10Y NOTE  122.50 C   44,642   +3,345   122.50 P  107,238  -6,610

APR18 10Y NOTE  121.50 C    8,767   +1,076   121.50 P   30,664    -457

APR18 10Y NOTE  122.00 C   15,661      +58   122.00 P   17,043    -170

MAR18 5Y NOTE   114.75 C    5,408     -808   114.75 P   15,816    -150

MAR18 5Y NOTE   115.00 C    6,723   +3,349   115.00 P   54,042    +593

APR18 5Y NOTE   114.50 C      475     +475   114.50 P   17,031    -551

APR18 5Y NOTE   114.75 C    3,396     +429   114.75 P    4,527    +100

MAR18 2Y NOTE   106.50 C        0     UNCH   106.50 P    1,507  -1,000

MAR18 2Y NOTE   106.62 C       61      +37   106.62 P   18,173    +256

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    UNCH

FEB18 EURODLR    98.00 C        5     UNCH    98.00 P   95,824    UNCH

FEB18 EURODLR    98.12 C   10,928   +2,400    98.12 P  187,202  -9,094

MAR18 EURODLR    98.00 C   21,207     UNCH    98.00 P  274,397  -9,155

MAR18 EURODLR    98.12 C   34,706   +1,444    98.12 P  799,266  -7,433

MAR19 1Y-MIDC    97.50 C   12,231   +5,796    97.50 P  479,128 -33,706

MAR19 1Y-MIDC    97.62 C   47,156   +6,883    97.62 P  237,110    +400

MAR20 2Y-MIDC    97.37 C   45,299   +5,738    97.37 P  217,377  -1,430

MAR20 2Y-MIDC    97.50 C   32,116     UNCH    97.50 P  115,541     -10

MAR21 3Y-MIDC    97.25 C   45,875     -654    97.25 P   77,730  +9,282

MAR21 3Y-MIDC    97.37 C   28,748   +2,402    97.37 P   92,369    UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

MAR18 10Y NOTE PUT/CALL RATIO   -- 2.24 (446,869 PUTS VS. 199,334 CALLS)

APR18 10Y NOTE PUT/CALL RATIO   -- 1.45 (50,478 PUTS VS. 34,684 CALLS)

AMR18 5Y NOTE PUT/CALL RATIO    -- 0.57 (97,475 PUTS VS. 29,357 CALLS)

APR18 5Y NOTE PUT/CALL RATIO    -- 3.32 (18,269 PUTS VS. 9,450 CALLS)

MAR18 2Y NOTE PUT/CALL RATIO    -- 10.0 (10,816 PUTS VS. 1,075 CALLS)

APR18 2Y NOTE PUT/CALL RATIO    -- 0.00 (2 PUTS VS. 7,786 CALLS)

FEB18 EURODLRS PUT/CALL RATIO   -- 8.38 (21,825 PUTS VS. 2,650 CALLS)

MAR18 EURODLRS PUT/CALL RATIO   -- 4.26 (96,501 PUTS VS. 22,678 CALLS)

MAR19 1Y-MIDCRVE PUT/CALL RATIO -- 4.33 (134,324 PUTS VS. 31,031 CALLS)

MAR20 2Y-MIDCRVE PUT/CALL RATIO -- 1.34 (58,189 PUTS VS. 43,185 CALLS)

MAR21 3Y-MIDCRVE PUT/CALL RATIO -- 0.58 (56,298 PUTS VS. 96,633 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

1:30         41.66    63.61    57.48    63.97    69.93    71.50

11:45        41.66    63.38    57.37    63.85    69.68    71.43

10:30        41.71    63.41    57.36    63.86    69.66    71.42

Tue Open     41.74    64.61    57.67    64.18    70.03    71.35

Mon 3:00     41.84    63.66    57.74    64.21    69.92    70.95

Mon Open     42.08    64.88    57.23    64.63    68.93    69.44

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

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

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