US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JAN 7

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

             USG    USH     TYG    TYH    FVG    FVH     EDF     EDH

MON 3:00    7.93%  7.65%   4.19%  4.04%  2.86%  2.70%   15.85%   8.17%

MON OPEN    8.08%  7.77%   4.33%  4.14%  3.01%  2.81%   16.45%  10.87% 

FRI 3:00    7.77%  7.70%   4.14%  4.14%  2.79%  2.79%   19.78%  11.82%

FRI OPEN    7.91%  7.81%   4.17%  4.15%  2.78%  2.79%   19.14%  14.35%

THU 3:00    8.26%  7.99%   4.39%  4.29%  2.89%  2.81%   15.71%  13.30%   

THU 12:00   7.68%  7.73%   4.10%  4.09%  2.62%  2.70%   13.45%  13.59%    

WED 3:00    7.49%  7.52%   3.90%  3.93%  2.62%  2.66%   16.31%  12.48%

WED OPEN    7.68%  7.66%   4.19%  4.13%  2.85%  2.84%   14.33%  12.88%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

FEB19 10Y NOTE  121.50 C  199,442   -5,766   120.00 P  121,538  -1,714

MAR19 10Y NOTE  127.00 C   44,951   +7,992   106.00 P   97,647    UNCH

FEB19 5Y NOTE   114.25 C   55,871     UNCH   113.25 P   94,290    +100

MAR19 5Y NOTE   114.25 C   21,263     -144   103.75 P  284,111    UNCH

FEB19 2Y NOTE   106.00 C    7,257     +311   105.37 P    9,908    UNCH

MAR19 2Y NOTE   106.25 C    4,836     +300   105.62 P   11,354      -1

JAN19 EURODLR    97.37 C  134,066   -1,475    97.12 P  143,299    UNCH

MAR19 EURODLR    97.37 C  706,689   -7,650    97.00 P  978,466 -87,900

MAR19 1Y-MIDC    96.87 C  140,116     UNCH    96.62 P  931,765    UNCH

MAR20 2Y-MIDC    97.50 C  118,171     +254    96.62 P  228,406 +10,020

MAR21 3Y-MIDC    97.00 C   60,658     UNCH    97.00 P   64,367    UNCH

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

FEB19 10Y NOTE  122.00 C  119,336  +26,081   122.00 P   38,146 +12,708

FEB19 10Y NOTE  122.50 C   46,320   -3,940   122.50 P    9,643  +4,769

MAR19 10Y NOTE  122.00 C   44,858     +107   122.00 P   27,899  +9,057

MAR19 10Y NOTE  122.50 C   28,949   +3,943   122.50 P   11,944  +4,916

FEB19 5Y NOTE   113.75 C   17,738     UNCH   113.75 P   14,872  +1,013

FEB19 5Y NOTE   114.00 C   23,774      +19   114.00 P   17,918    +158

MAR19 5Y NOTE   113.75 C    9,721     UNCH   113.75 P   13,448  +1,341

MAR19 5Y NOTE   114.00 C   19,714      +94   114.00 P   28,829  +4,064

FEB19 2Y NOTE   105.87 C    3,655     UNCH   105.87 P    3,166  +2,140

FEB19 2Y NOTE   106.00 C    7,257     +311   106.00 P    3,031    -112

MAR19 2Y NOTE   105.87 C    2,778     UNCH   105.87 P    6,523    +122

MAR19 2Y NOTE   106.00 C    1,739       -1   106.00 P    5,050    UNCH

JAN19 EURODLR    97.25 C  129,739     -600    97.25 P   77,911     +10

JAN19 EURODLR    97.37 C  134,066   -1,475    97.37 P    2,273    UNCH

MAR19 EURODLR    97.25 C  367,165   -8,597    97.25 P  180,806    +802

MAR19 EURODLR    97.37 C  706,689   -7,650    97.37 P  119,140  -1,250  

MAR20 1Y-MIDC    97.37 C  138,538  +16,531    97.37 P   86,082 +30,309

MAR20 1Y-MIDC    97.50 C  110,849   +9,487    97.50 P   35,607 +24,482

MAR21 2Y-MIDC    97.50 C  118,171     +254    97.50 P   14,221    +554

MAR21 2Y-MIDC    97.62 C   67,545   +1,474    97.62 P   17,257  +8,050  

MAR22 3Y-MIDC    97.50 C   25,138   +2,730    97.50 P    4,050  +3,700

MAR22 3Y-MIDC    97.62 C   35,867     UNCH    97.62 P      600    UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

FEB19 10Y NOTE PUT/CALL RATIO  -- 0.52 (224,402 PUTS VS. 428,066 CALLS)

MAR19 10Y NOTE PUT/CALL RATIO  -- 0.61 (114,276 PUTS VS. 186,287 CALLS)

FEB19 5Y NOTE PUT/CALL RATIO   -- 0.62 (36,567 PUTS VS. 59,220 CALLS)

MAR19 5Y NOTE PUT/CALL RATIO   -- 2.64 (71,972 PUTS VS. 27,290 CALLS)

FEB19 2Y NOTE PUT/CALL RATIO   -- 0.25 (3,045 PUTS VS. 12,391 CALLS)

MAR19 2Y NOTE PUT/CALL RATIO   -- 0.16 (666 PUTS VS. 4,065 CALLS)

JAN19 EURODLRS PUT/CALL RATIO  -- 0.00 (10 PUTS VS. 2,876 CALLS)

MAR19 EURODLRS PUT/CALL RATIO  -- 2.51 (319,539 PUTS VS. 127,127 CALLS)

MAR20 1Y-MIDCRVE PUT/CALL RATIO-- 0.45 (89,725 PUTS VS. 198,700 CALLS)

MAR21 2Y-MIDCRVE PUT/CALL RATIO-- 6.09 (55,696 PUTS VS. 9,150 CALLS)

MAR22 3Y-MIDCRVE PUT/CALL RATIO-- 0.36 (2,250 PUTS VS. 6,250 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

MON 3:00    61.51    63.44    66.48    62.72    70.73     77.61

MON OPEN    65.55    65.80    68.80    64.47    71.34     77.82

FRI 3:00    66.83    65.72    69.08    65.41    71.89     78.35

FRI OPEN    66.47    65.67    68.66    65.18    71.82     78.21

THU 3:00    64.85    64.12    67.37    63.73    71.19     77.80

THU 12:00   64.23    63.33    66.84    63.42    71.15     77.89    

Wed 3:00    64.60    63.59    67.42    63.80    71.32     78.05

Wed Open    67.70    66.40    69.74    66.02    71.69     78.25

--MNI Chicago Bureau; +1 630-698-0154; email: ryan.martin@marketnews.com

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