US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JAN 8

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

            USG    USH     TYG    TYH     FVG    TUH     EDF     EDH

MON OPEN   6.98%  7.07%   3.26%  3.30%   1.91%  1.99%    N/A    12.50%

FRI 3:00   6.77%  7.01%   3.05%  3.30%   1.83%  2.01%    N/A    10.10%

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

FEB18 10Y NOTE  125.00 C  109,071   +6,859   123.00 P  118,127 +13,686

MAR18 10Y NOTE  126.00 C   64,082   +7,347   123.00 P  135,335  +6,346

FEB18 5Y NOTE   117.25 C   75,131      -50   115.50 P   70,360    +883

MAR18 5Y NOTE   117.25 C   14,348     -111   108.50 P  140,106    UNCH

FEB18 2Y NOTE   107.25 C   11,046     +500   106.87 P   30,051    UNCH

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

JAN18 EURODLR    98.62 C  275,189     UNCH    98.25 P  279,852  -5,978

MAR18 EURODLR    98.50 C  474,162     UNCH    98.25 P  815,019     -81

MAR19 1Y-MIDC    98.25 C  216,951   -1,839    97.62 P  475,264  -4,900

MAR20 2Y-MIDC    98.50 C  145,426     UNCH    97.50 P  143,375  +2,750

MAR21 3Y-MIDC    98.12 C   63,218      -41    97.37 P   60,227    UNCH

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

FEB18 10Y NOTE  123.50 C   26,552   +2,408   123.50 P   71,260    +620

FEB18 10Y NOTE  124.00 C   42,362   +1,235   124.00 P   66,710    -629

MAR18 10Y NOTE  123.50 C   20,238   +5,356   123.50 P   34,573  +4,360

MAR18 10Y NOTE  124.00 C   22,191     +647   124.00 P   42,734    +365

FEB18 5Y NOTE   115.75 C    7,146     +726   115.75 P   42,399    -208

FEB18 5Y NOTE   116.00 C   20,086   +2,189   116.00 P   19,218      -3

MAR18 5Y NOTE   115.75 C    2,585   +1,364   115.75 P   16,533    +124

MAR18 5Y NOTE   116.00 C    8,540   +2,085   116.00 P    8,286     -42

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

FEB18 2Y NOTE   107.12 C    2,115       -8   107.12 P    3,572    UNCH

MAR18 2Y NOTE   107.00 C    3,433     UNCH   107.00 P   52,532    UNCH

MAR18 2Y NOTE   107.12 C    3,697   +1,331   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     UNCH    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  191,903     UNCH    98.12 P   70,031    UNCH

MAR19 1Y-MIDC    98.25 C  216,951   -1,839    98.25 P   36,397    UNCH

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

MAR20 2Y-MIDC    98.00 C  112,768     UNCH    98.00 P   72,933    +400

MAR21 3Y-MIDC    97.75 C   37,068     UNCH    97.75 P   25,729    +117

MAR21 3Y-MIDC    97.87 C   48,830     -100    97.87 P   33,372    UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

FEB18 10Y NOTE PUT/CALL RATIO   -- 1.32 (93,749 PUTS VS. 70,655 CALLS)

MAR18 10Y NOTE PUT/CALL RATIO   -- 0.93 (57,281 PUTS VS. 61,414 CALLS)

FEB18 5Y NOTE PUT/CALL RATIO    -- 1.48 (29,535 PUTS VS. 19,931 CALLS)

MAR18 5Y NOTE PUT/CALL RATIO    -- 0.35 (5,203 PUTS VS. 14,701 CALLS)

FEB18 2Y NOTE PUT/CALL RATIO    -- 0.01 (7 PUTS VS. 866 CALLS)

MAR18 2Y NOTE PUT/CALL RATIO    -- 0.68 (1,587 PUTS VS. 2,271 CALLS)

JAN18 EURODLRS PUT/CALL RATIO   -- 0.00 (11,301 PUTS VS. 0 CALLS)

MAR18 EURODLRS PUT/CALL RATIO   -- 1.07 (9,980 PUTS VS. 9,200 CALLS)

MAR19 1Y-MIDCRVE PUT/CALL RATIO -- 0.55 (35,600 PUTS VS. 63,650 CALLS)

MAR20 2Y-MIDCRVE PUT/CALL RATIO -- 7.13 (10,730 PUTS VS. 1,564 CALLS)

MAR21 3Y-MIDCRVE PUT/CALL RATIO -- 1.47 (9,361 PUTS VS. 6,350 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

Mon Open     39.78    50.20    49.27    53.18    63.71    68.07

Fri 3:00     39.90    49.31    49.33    53.22    63.68    68.05

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

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

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