US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JAN 5

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

            USG    USH     TYG    TYH     FVG    TUH     EDF     EDH

11:15      6.94%  7.17%   3.17%  3.38%   1.89%  2.03%    N/A    11.50%

9:30       6.94%  7.09%   3.16%  3.40%   1.81%  1.99%    N/A    11.05%

FRI OPEN   7.06%  7.17%   3.28%  3.37%   1.95%  2.02%    N/A    13.32%

THU 3:00   6.98%  7.30%   3.31%  3.46%   1.88%  2.04%    N/A    11.96%

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

FEB18 10Y NOTE  125.00 C  102,212   +2,674   123.00 P  104,451  +2,376

MAR18 10Y NOTE  126.00 C   47,352   +6,740   114.00 P  119,347    UNCH

FEB18 5Y NOTE   117.25 C   75,181     UNCH   115.50 P   69,477    +317

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

FEB18 2Y NOTE   107.25 C   10,546     UNCH   106.87 P   30,051     +25

MAR18 2Y NOTE   107.38 C   20,745     UNCH   107.00 P   52,532 -14,274

JAN18 EURODLR    98.62 C  275,189     UNCH    98.25 P  285,830  -1,001

MAR18 EURODLR    98.50 C  474,162     -875    98.25 P  815,100 -21,586

MAR19 1Y-MIDC    98.25 C  218,790     +636    97.62 P  480,164 +46,446

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   60,227  -2,124

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

FEB18 10Y NOTE  123.50 C   24,144      -19   123.50 P   70,640    -640

FEB18 10Y NOTE  124.00 C   41,127   +4,485   124.00 P   67,339    -698

MAR18 10Y NOTE  123.50 C   14,882   +1,451   123.50 P   30,213      +5

MAR18 10Y NOTE  124.00 C   21,544     +538   124.00 P   42,369    -149

FEB18 5Y NOTE   115.75 C    6,420   +6,106   115.75 P   42,607  +4,425

FEB18 5Y NOTE   116.00 C   17,897   +5,327   116.00 P   19,221  +2,202

MAR18 5Y NOTE   115.75 C    1,221       -4   115.75 P   16,409    -495

MAR18 5Y NOTE   116.00 C    6,455     +372   116.00 P    8,328    -124

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

FEB18 2Y NOTE   107.12 C    2,123      -25   107.12 P    3,572    UNCH

MAR18 2Y NOTE   107.00 C    3,433     +523   107.00 P   52,532 -14,274

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

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

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

MAR18 EURODLR    98.50 C  474,162     -875    98.50 P  124,436    UNCH

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

MAR19 1Y-MIDC    98.12 C  191,403  +20,940    98.12 P   70,031    UNCH

MAR19 1Y-MIDC    98.25 C  218,790     +636    98.25 P   36,397    UNCH

MAR20 2Y-MIDC    97.87 C   72,355     UNCH    97.87 P   51,055     +80

MAR20 2Y-MIDC    98.00 C  112,768     UNCH    98.00 P   72,533    +215

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   -- 0.77 (52,970 PUTS VS. 68,031 CALLS)

MAR18 10Y NOTE PUT/CALL RATIO   -- 1.44 (113,782 PUTS VS. 79,025 CALLS)

FEB18 5Y NOTE PUT/CALL RATIO    -- 1.53 (54,463 PUTS VS. 35,421 CALLS)

MAR18 5Y NOTE PUT/CALL RATIO    -- 1.58 (20,833 PUTS VS. 13,133 CALLS)

FEB18 2Y NOTE PUT/CALL RATIO    -- 0.43 (327 PUTS VS. 747 CALLS)

MAR18 2Y NOTE PUT/CALL RATIO    -- 44.8 (67,304 PUTS VS. 1,550 CALLS)

JAN18 EURODLRS PUT/CALL RATIO   -- 1.28 (3,261 PUTS VS. 2,520 CALLS)

MAR18 EURODLRS PUT/CALL RATIO   -- 2.66 (142,399 PUTS VS. 53,529 CALLS)

MAR19 1Y-MIDCRVE PUT/CALL RATIO -- 4.16 (204,926 PUTS VS. 49,250 CALLS)

MAR20 2Y-MIDCRVE PUT/CALL RATIO -- 7.02 (85,038 PUTS VS. 12,100 CALLS)

MAR21 3Y-MIDCRVE PUT/CALL RATIO -- 1.29 (13,387 PUTS VS. 10,300 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

11:15        40.55    49.59    49.66    53.55    63.47    68.05

9:30         40.73    49.90    49.96    53.70    63.45    68.04

Fri Open     40.82    50.60    50.09    53.97    63.78    68.12

Thu 3:00     40.68    51.23    50.25    54.15    63.94    68.09

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

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

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