US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JAN 4

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

            USG    USH     TYG    TYH     FVG    TUH     EDF     EDH

12:00      7.13%  7.32%   3.34%  3.43%   1.90%  2.05%    N/A    11.95%

10:45      7.22%  7.32%   3.29%  3.47%   1.88%  2.03%    N/A    12.70%

9:30       7.22%  7.31%   3.35%  3.47%   1.92%  2.06%    N/A    12.70%

THU OPEN   7.31%  7.45%   3.31%  3.46%   1.94%  2.04%    N/A    14.99%

WED 3:00   7.46%  7.47%   3.28%  3.41%   1.92%  2.08%   13.10%  15.66%

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  125.00 C   99,538  +40,646   123.00 P  102,065  -2,525

MAR18 10Y NOTE  126.00 C   47,176   +1,860   114.00 P  119,347    UNCH

FEB18 5Y NOTE   117.25 C   75,181     +189   115.50 P   69,160  +1,243

MAR18 5Y NOTE   117.25 C   14,459     -199   108.50 P  140,106    UNCH

FEB18 2Y NOTE   107.25 C   10,546   +1,800   106.87 P   30,026  +9,276

MAR18 2Y NOTE   107.38 C   20,745     UNCH   107.00 P   66,806  +4,720

JAN18 EURODLR    98.62 C  275,189     UNCH    98.25 P  286,831      -3

MAR18 EURODLR    98.50 C  477,037   +2,152    98.25 P  836,686  +1,381

MAR19 1Y-MIDC    98.25 C  218,154   -9,500    97.62 P  433,718    +750

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   24,163     -487   123.50 P   71,280  +5,534

FEB18 10Y NOTE  124.00 C   36,642   +3,315   124.00 P   68,037     +67

MAR18 10Y NOTE  123.50 C   13,431     -192   123.50 P   30,208  +2,278

MAR18 10Y NOTE  124.00 C   21,006   +1,606   124.00 P   42,518    +138

FEB18 5Y NOTE   115.75 C      314       -1   115.75 P   38,182    -441

FEB18 5Y NOTE   116.00 C   12,570     +112   116.00 P   17,019    -269

MAR18 5Y NOTE   115.75 C    1,225     +390   115.75 P   16,904    +257

MAR18 5Y NOTE   116.00 C    6,083     +941   116.00 P    8,452    +271

FEB18 2Y NOTE   107.00 C    2,613     +850   107.00 P   20,209    UNCH

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

MAR18 2Y NOTE   107.00 C    2,910     +250   107.00 P   66,806  +4,720

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

JAN18 EURODLR    98.50 C  163,410      -20    98.50 P   18,103    UNCH

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

MAR18 EURODLR    98.50 C  477,037   +2,152    98.50 P  124,436    UNCH

MAR18 EURODLR    98.62 C  253,276     +224    98.62 P   28,813    UNCH

MAR19 1Y-MIDC    98.12 C  170,963     +513    98.12 P   70,031    UNCH

MAR19 1Y-MIDC    98.25 C  218,154   -9,500    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     UNCH    98.00 P   72,318    UNCH

MAR21 3Y-MIDC    97.75 C   37,068     UNCH    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   -- 0.24 (47,844 PUTS VS. 193,954 CALLS)

MAR18 10Y NOTE PUT/CALL RATIO   -- 1.32 (63,758 PUTS VS. 47,916 CALLS)

FEB18 5Y NOTE PUT/CALL RATIO    -- 0.56 (17,543 PUTS VS. 31,168 CALLS)

MAR18 5Y NOTE PUT/CALL RATIO    -- 1.03 (13,934 PUTS VS. 13,421 CALLS)

FEB18 2Y NOTE PUT/CALL RATIO    -- 5.01 (10,091 PUTS VS. 4,565 CALLS)

MAR18 2Y NOTE PUT/CALL RATIO    -- 0.22 (5,805 PUTS VS. 464 CALLS)

JAN18 EURODLRS PUT/CALL RATIO   -- 0.16 (1,540 PUTS VS. 9,180 CALLS)

MAR18 EURODLRS PUT/CALL RATIO   -- 0.53 (127,377 PUTS VS. 237,550 CALLS)

MAR19 1Y-MIDCRVE PUT/CALL RATIO -- 0.96 (29,065 PUTS VS. 30,000 CALLS)

MAR20 2Y-MIDCRVE PUT/CALL RATIO -- 155.0 (38,750 PUTS VS. 250 CALLS)

MAR21 3Y-MIDCRVE PUT/CALL RATIO -- 1.15 (5,220 PUTS VS. 4,500 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

12:00        40.80    51.90    50.58    54.87    63.92    67.90

10:45        40.76    51.90    50.32    54.81    63.76    67.84

9:30         40.76    51.87    50.22    54.77    63.76    68.00

Thu Open     40.53    51.93    50.24    54.81    63.20    67.66

Wed 3:00     40.70    52.65    50.28    55.05    63.19    67.65

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$]