US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JAN 31

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

            USH    USJ     TYH    TYJ     FVH    TUJ     EDG     EDH

WED OPEN   8.79%  8.74%   4.21%  4.25%   2.35%  2.53%   16.50%  14.58%

TUE 3:00   8.87%  8.82%   4.26%  4.26%   2.44%  2.56%   14.30%  13.67%

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

MAR18 10Y NOTE  126.00 C  126,731     UNCH   122.00 P  152,211  +6,478

APR18 10Y NOTE  125.00 C   43,232       -3   120.00 P   35,409  +2,091

MAR18 5Y NOTE   115.75 C   50,164   +1,582   108.50 P  140,106    UNCH

APR18 5Y NOTE   116.00 C   16,493   -2,835   114.50 P   17,199    -551

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

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

FEB18 EURODLR    98.50 C  245,800     UNCH    98.12 P  179,936  -7,266

MAR18 EURODLR    98.50 C  493,040     UNCH    98.12 P  766,944 -32,322

MAR19 1Y-MIDC    98.25 C  217,995     UNCH    97.50 P  479,317    +189

MAR20 2Y-MIDC    98.50 C  145,426     UNCH    97.25 P  217,454  +4,396

MAR21 3Y-MIDC    98.12 C   63,218     UNCH    97.37 P   91,830    -539

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

MAR18 10Y NOTE  122.00 C   27,982   +8,213   122.00 P  152,211  +6,478

MAR18 10Y NOTE  122.50 C   47,072   +2,430   122.50 P  105,418  -1,820

APR18 10Y NOTE  121.50 C    9,885   +1,118   121.50 P   30,316    -349

APR18 10Y NOTE  122.00 C   15,092     -569   122.00 P   17,062     +19

MAR18 5Y NOTE   114.75 C    8,753   +3,345   114.75 P   17,141  +1,325

MAR18 5Y NOTE   115.00 C    8,492   +1,769   115.00 P   53,938    -104

APR18 5Y NOTE   114.50 C    1,173     +698   114.50 P   17,199    -551

APR18 5Y NOTE   114.75 C    4,678   +1,282   114.75 P    4,530      +3

MAR18 2Y NOTE   106.50 C        0     UNCH   106.50 P    1,505      -2

MAR18 2Y NOTE   106.62 C       61     UNCH   106.62 P   18,823    +664

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

APR18 2Y NOTE   106.50 C    1,700     UNCH   106.50 P    1,906    UNCH

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

FEB18 EURODLR    98.12 C   11,004      +76    98.12 P  179,936  -7,266

MAR18 EURODLR    98.00 C   21,207     UNCH    98.00 P  269,957  -4,440

MAR18 EURODLR    98.12 C   39,821   +5,115    98.12 P  766,944 -32,322

MAR19 1Y-MIDC    97.50 C   12,481     +250    97.50 P  479,317    +189

MAR19 1Y-MIDC    97.62 C   44,448   -2,708    97.62 P  236,860    -250

MAR20 2Y-MIDC    97.37 C   46,361   +1,062    97.37 P  200,204 -17,173

MAR20 2Y-MIDC    97.50 C   32,116     UNCH    97.50 P  115,531     -10

MAR21 3Y-MIDC    97.25 C   46,436     +561    97.25 P   79,360  +1,631

MAR21 3Y-MIDC    97.37 C   28,748     UNCH    97.37 P   91,830    -539

PUT/CALL RATIO FOR VOLUME CLEARED:

MAR18 10Y NOTE PUT/CALL RATIO   -- 2.43 (324,230 PUTS VS. 133,107 CALLS)

APR18 10Y NOTE PUT/CALL RATIO   -- 0.77 (25,342 PUTS VS. 32,688 CALLS)

AMR18 5Y NOTE PUT/CALL RATIO    -- 2.27 (97,548 PUTS VS. 42,789 CALLS)

APR18 5Y NOTE PUT/CALL RATIO    -- 0.24 (4,890 PUTS VS. 20,353 CALLS)

MAR18 2Y NOTE PUT/CALL RATIO    -- 0.26 (1,354 PUTS VS. 5,063 CALLS)

APR18 2Y NOTE PUT/CALL RATIO    -- 0.00 (0 PUTS VS. 3 CALLS)

FEB18 EURODLRS PUT/CALL RATIO   -- 29.3 (29,375 PUTS VS. 1,000 CALLS)

MAR18 EURODLRS PUT/CALL RATIO   -- 1.54 (97,849 PUTS VS. 63,252 CALLS)

MAR19 1Y-MIDCRVE PUT/CALL RATIO -- 3.35 (19,150 PUTS VS. 5,750 CALLS)

MAR20 2Y-MIDCRVE PUT/CALL RATIO -- 13.0 (140,090 PUTS VS. 10,718 CALLS)

MAR21 3Y-MIDCRVE PUT/CALL RATIO -- 14.1 (38,091 PUTS VS. 2,685 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

Tue 3:00     41.96    64.24    57.74    64.51    70.52    71.61

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

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

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