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    FVJ     EDG     EDH

12:30       6.10%  6.12%   3.53%  3.61%   2.31%  2.27%   7.95%   7.11%

10:45       6.10%  6.26%   3.44%  3.65%   2.30%  2.36%   8.24%   7.08%

WED OPEN    6.15%  6.44%   3.44%  3.61%   2.26%  2.38%   9.11%   7.45%

TUE 3:00    6.17%  6.34%   3.50%  3.79%   2.30%  2.34%   8.81%   7.00%

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

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   91,072     +565   121.00 P  101,735  +2,884

APR19 10Y NOTE  124.00 C   21,676   +9,437   120.50 P   17,766    +171

MAR19 5Y NOTE   115.50 C   38,255     +322   103.75 P  284,111    UNCH

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

MAR19 2Y NOTE   106.12 C    7,114     UNCH   105.62 P    8,781    UNCH

APR19 2Y NOTE   106.12 C      701       +1   103.75 P    3,022    UNCH

FEB19 EURODLR    97.37 C   41,513     +992    97.00 P   84,387    UNCH

MAR19 EURODLR    97.37 C  351,610  -19,765    97.00 P  885,881    UNCH

MAR19 1Y-MIDC    97.37 C  179,306   -4,950    96.62 P  790,986    UNCH

MAR20 2Y-MIDC    97.50 C  107,984     +927    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   42,699   +1,178   121.50 P   55,208  -2,537

MAR19 10Y NOTE  122.00 C   73,186     +234   122.00 P   39,256    +333

APR19 10Y NOTE  121.50 C    6,944       +4   121.50 P   16,794    +912

APR19 10Y NOTE  122.00 C   13,128   +1,238   122.00 P   11,359  +1,200

MAR19 5Y NOTE   114.00 C   17,393     UNCH   114.00 P   35,862    -313

MAR19 5Y NOTE   114.25 C   27,763     +813   114.25 P   55,256    +562

APR19 5Y NOTE   114.00 C    1,620     UNCH   114.00 P    3,922    +191

APR19 5Y NOTE   114.25 C    2,149       +1   114.25 P    2,039    +611

MAR19 2Y NOTE   105.87 C    2,769     UNCH   105.87 P    4,795  -1,204

MAR19 2Y NOTE   106.00 C    5,532      -44   106.00 P    2,354     +40

APR19 2Y NOTE   105.87 C        4     UNCH   105.87 P        7    UNCH

APR19 2Y NOTE   106.00 C      506     +400   106.00 P      672    +400

FEB19 EURODLR    97.25 C   35,477     UNCH    97.25 P   67,189    UNCH

FEB19 EURODLR    97.37 C   41,513     +992    97.37 P    5,470    UNCH

MAR19 EURODLR    97.25 C  334,378     UNCH    97.25 P  250,818    UNCH

MAR19 EURODLR    97.37 C  351,610  -19,765    97.37 P  120,453      -3

MAR20 1Y-MIDC    97.37 C  179,306   -4,950    97.37 P  101,733    +250

MAR20 1Y-MIDC    97.50 C  166,709     +625    97.50 P   32,649    UNCH

MAR21 2Y-MIDC    97.50 C  107,984     +927    97.50 P   57,990    UNCH

MAR21 2Y-MIDC    97.62 C   79,650  -11,805    97.62 P   17,257     -81

MAR22 3Y-MIDC    97.50 C   38,771   +1,735    97.50 P   14,520  -7,000

MAR22 3Y-MIDC    97.62 C   40,183   +9,750    97.62 P      600    UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

MAR19 10Y NOTE PUT/CALL RATIO  -- 0.65 (50,965 PUTS VS. 77,244 CALLS)

APR19 10Y NOTE PUT/CALL RATIO  -- 0.21 (10,774 PUTS VS. 48,879 CALLS)

MAR19 5Y NOTE PUT/CALL RATIO   -- 0.60 (10,633 PUTS VS. 17,576 CALLS)

APR19 5Y NOTE PUT/CALL RATIO   -- 1.57 (3,304 PUTS VS. 2,179 CALLS)

MAR19 2Y NOTE PUT/CALL RATIO   -- 79.8 (4,153 PUTS VS. 52 CALLS)

APR19 2Y NOTE PUT/CALL RATIO   -- 1.22 (550 PUTS VS. 451 CALLS)

FEB19 EURODLRS PUT/CALL RATIO  -- 0.00 (0 PUTS VS. 4,314 CALLS)

MAR19 EURODLRS PUT/CALL RATIO  -- 0.00 (157 PUTS VS. 57,882 CALLS)

MAR20 1Y-MIDCRVE PUT/CALL RATIO-- 0.78 (23,863 PUTS VS. 30,500 CALLS)

MAR21 2Y-MIDCRVE PUT/CALL RATIO-- 3.28 (76,324 PUTS VS. 23,200 CALLS)

MAR22 3Y-MIDCRVE PUT/CALL RATIO-- 0.16 (4,000 PUTS VS. 23,680 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

12:30       52.40    52.12    58.03    55.63    66.66     74.89

10:45       52.53    52.41    58.18    55.77    66.78     74.96

Wed Open    52.92    52.59    58.48    56.07    66.87     74.96

Tue 3:00    53.00    52.92    58.70    56.16    66.93     75.05

Mon 3:00    53.50    53.02    58.97    56.46    67.36     75.32

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$]