US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL

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

            USJ    USM     TYH    TYJ     FVH    TUJ     EDH     EDJ

11:30      8.23%  8:17%   4.57%  4.38%   2.93%  2.75%   13.89%  14.60%

9:30       8.19%  8:24%   4.56%  4.34%   2.92%  2.75%   14.72%  13.77%

THU OPEN   8.38%  8:31%   4.59%  4.39%   3.03%  2.81%   14.74%  14.58%

WED 3:00   8.31%  8:26%   4.57%  4.36%   2.97%  2.80%   15.43%  14.47%

WED OPEN   8.25%  8:09%   4.64%  4.28%   3.08%  2.79%   15.83%  13.45%

TUE 3:00   8.41%  8:21%   4.66%  4.35%   3.13%  2.79%   17.28%  16.25%

TUE OPEN   8.51%  8:16%   4.61%  4.32%   3.01%  2.75%   16.45%  16.10%

MON 3:00   8.54%  8:26%   4.62%  4.37%   3.02%  2.75%   16.70%  14.95%

MON OPEN   8.72%  8:26%   4.65%  4.33%   3.16%  2.79%   16.75%  15.60%

FRI 3:00   8.65%   N/A    4.54%   N/A    3.05%   N/A    16.10%  14.60%

FRI OPEN   8.50%   N/A    4.47%   N/A    2.97%   N/A    15.13%  14.65%

THU 3:00   8.63%   N/A    4.58%   N/A    2.99%   N/A    15.80%  13.90%

THU OPEN   8.50%   N/A    4.43%   N/A    2.86%   N/A    16.80%  15.70%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

APR18 10Y NOTE  122.50 C   99,893   -5,802   119.50 P  207,564  -2,812

JUN18 10Y NOTE  122.00 C   59,515   +8,688   108.50 P  107,516    +146

APR18 5Y NOTE   114.50 C   82,907   +3,278   113.50 P   31,480  +2,507

JUN18 5Y NOTE   116.00 C    8,882     UNCH   105.50 P  153,493  +1,390

APR18 2Y NOTE   106.62 C   19,066     UNCH   105.50 P    6,550    UNCH

JUN18 2Y NOTE   106.75 C   13,281     UNCH   106.12 P   30,000    UNCH

MAR18 EURODLR    98.50 C  480,031     UNCH    98.25 P  267,964  -9,572

APR18 EURODLR    98.37 C  235,881     UNCH    98.00 P  268,886    UNCH

MAR19 1Y-MIDC    98.25 C  217,995     UNCH    97.50 P  259,566    -187

MAR20 2Y-MIDC    97.37 C  153,414  +14,250    97.37 P  202,363     +69

MAR21 3Y-MIDC    97.50 C   97,313     -100    97.37 P   91,790    UNCH

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

APR18 10Y NOTE  120.00 C   38,428   +3,620   120.00 P   78,135  -3,074

APR18 10Y NOTE  120.50 C   94,409   +4,604   120.50 P   45,636    -394

JUN18 10Y NOTE  120.00 C   22,598   +5,134   120.00 P   38,961    +826

JUN18 10Y NOTE  120.50 C   13,932      -50   120.50 P   18,709    +200

APR18 5Y NOTE   114.25 C   23,263       -6   114.25 P   13,871    UNCH

APR18 5Y NOTE   114.50 C   82,907   +3,278   114.50 P   23,121    UNCH

JUN18 5Y NOTE   114.25 C    6,086     UNCH   114.25 P    5,910    UNCH

JUN18 5Y NOTE   114.50 C    6,002     UNCH   114.50 P   18,380    UNCH

APR18 2Y NOTE   106.38 C    1,737     UNCH   106.38 P      849    UNCH

APR18 2Y NOTE   106.50 C    8,507   +3,390   106.50 P    1,906    UNCH

JUN18 2Y NOTE   106.38 C    1,363     UNCH   106.38 P   30,000    UNCH

JUN18 2Y NOTE   106.50 C      142     UNCH   106.50 P    1,800    UNCH

MAR18 EURODLR    97.87 C   18,911   +1,375    97.87 P  215,561  -9,014

MAR18 EURODLR    98.00 C   83,337       +1    98.00 P  240,591    UNCH

APR18 EURODLR    97.75 C   30,354   +9,428    97.75 P  133,947  -2,029

APR18 EURODLR    97.87 C  117,350   +8,879    97.87 P  244,784    UNCH

MAR19 1Y-MIDC    97.37 C   23,876   +1,861    97.37 P  198,475    -100

MAR19 1Y-MIDC    97.50 C  137,932     +164    97.50 P  259,566    -187

MAR20 2Y-MIDC    97.00 C    6,821     UNCH    97.00 P  163,936 -20,264

MAR20 2Y-MIDC    97.12 C   41,003   +4,733    97.12 P  117,502  -7,165

MAR21 3Y-MIDC    96.87 C    1,750     UNCH    96.87 P   49,626    +360

MAR21 3Y-MIDC    97.00 C   18,975     UNCH    97.00 P   73,731    -166

PUT/CALL RATIO FOR VOLUME CLEARED:

APR18 10Y NOTE PUT/CALL RATIO   -- 0.79 (113,181 PUTS VS. 142,995 CALLS)

JUN18 10Y NOTE PUT/CALL RATIO   -- 0.42 (43,457 PUTS VS. 104,400 CALLS)

APR18 5Y NOTE PUT/CALL RATIO    -- 1.01 (31,863 PUTS VS. 31,662 CALLS)

JUN18 5Y NOTE PUT/CALL RATIO    -- 2.04 (13,359 PUTS VS. 6,494 CALLS)

APR18 2Y NOTE PUT/CALL RATIO    -- 0.25 (2,700 PUTS VS. 10,488 CALLS)

JUN18 2Y NOTE PUT/CALL RATIO    -- 0.00 (1,178 PUTS VS. 0 CALLS)

MAR18 EURODLRS PUT/CALL RATIO   -- 16.6 (49,838 PUTS VS. 3,008 CALLS)

APR18 EURODLRS PUT/CALL RATIO   -- 0.50 (66,885 PUTS VS. 133,572 CALLS)

MAR19 1Y-MIDCRVE PUT/CALL RATIO -- 2.72 (15,500 PUTS VS. 5,700 CALLS)

MAR20 2Y-MIDCRVE PUT/CALL RATIO -- 1.18 (42,270 PUTS VS. 35,600 CALLS)

MAR21 3Y-MIDCRVE PUT/CALL RATIO -- 4.72 (5,201 PUTS VS. 1,100 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

11:30        50.55    66.44    65.37    67.20    71.69    73.34

9:30         50.74    66.71    65.15    67.17    71.66    73.31

Thu Open     50.66    66.96    64.95    67.11    71.66    73.33

Wed 3:00     50.80    68.76    65.51    67.54    71.80    73.34

Wed Open     50.83    68.74    65.24    67.47    71.77    73.29

Tue 3:00     51.01    70.20    65.32    67.74    71.76    73.43

Tue Open     50.25    69.93    64.38    67.15    71.34    73.20

Mon 3:00     50.23    69.73    64.02    66.94    71.18    73.10

Mon Open     50.20    69.98    64.33    66.98    71.00    73.19

Fri 3:00     49.89    69.47    63.79    66.70    70.83    72.80

Fri Open     49.54    67.88    63.07    65.91    70.44    72.66

Thu 3:00     49.72    67.94    63.46    66.53    70.80    72.98

Thu Open     50.04    67.73    63.87    66.92    71.04    73.16

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

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