US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR APR 10

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

            USK    USM     TYK    TYM     FVK    TUM     EDJ     EDM

1:30       7.27%  6.97%   3.62%  3.56%   2.28%  2.27%    N/A    16.20%

9:30       7.33%  6.94%   3.61%  3.54%   2.23%  2.24%    N/A    15.75%

TUE OPEN   7.21%  6.95%   3.77%  3.61%   2.30%  2.27%    N/A    16.51%

MON 3:00   7.21%  6.98%   3.70%  3.56%   2.24%  2.25%    N/A    13.73%

MON OPEN   7.51%  7.17%   3.73%  3.59%   2.48%  2.31%   20.30%  14.62%

FRI 3:00   7.21%  7.25%   3.68%  3.62%   2.34%  2.28%   14.90%  14.05%

FRI OPEN   7.11%  7.23%   3.73%  3.75%   2.44%  2.41%   17.75%  15.00%

THU 3:00   6.94%  7.18%   3.60%  3.70%   2.33%  2.36%   20.85%  17.75%

THU OPEN   7.11%  7.44%   3.68%  3.76%   2.32%  2.48%   18.41%  17.46%

WED 3:00   7.11%  7.40%   3.63%  3.76%   2.41%  2.39%   17.23%  15.05%

WED OPEN   7.48%  7.65%   3.82%  3.85%   2.62%  2.49%   21.00%  16.23%

TUE 3:00   7.31%  7.56%   3.75%  3.87%   2.56%  2.46%   19.50%  16.25%

TUE OPEN   7.51%  7.68%   3.79%  3.90%   2.63%  2.49%   21.04%  16.67%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

MAY18 10Y NOTE  122.00 C   91,692   +5,697   120.50 P   80,143  +2,715

JUN18 10Y NOTE  122.00 C  107,050   +4,746   108.50 P  111,464    UNCH

MAY18 5Y NOTE   114.50 C   86,823     UNCH   111.00 P   45,740    UNCH

JUN18 5Y NOTE   114.75 C   35,508   +4,774   105.50 P  156,003    UNCH

MAY18 2Y NOTE   106.75 C   85,723     UNCH   106.00 P   14,285     +48

JUN18 2Y NOTE   106.75 C   10,433   +1,002   106.12 P   30,222    +200

APR18 EURODLR    98.00 C  236,789     UNCH    98.00 P  239,900    UNCH

JUN18 EURODLR    98.12 C  388,372       +1    97.50 P  574,363 +49,199

JUN19 1Y-MIDC    97.50 C  233,932   +1,450    97.12 P  557,798    UNCH

JUN20 2Y-MIDC    97.87 C  134,303     UNCH    96.75 P  191,538    +350

JUN21 3Y-MIDC    98.00 C  116,986     UNCH    97.25 P  149,483    UNCH

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

MAY18 10Y NOTE  120.50 C   49,821      +43   120.50 P   80,143  +2,715

MAY18 10Y NOTE  121.00 C   79,808     +338   121.00 P   26,623    +402

JUN18 10Y NOTE  120.50 C   27,119     +127   120.50 P   39,792  +1,155

JUN18 10Y NOTE  121.00 C   40,086     -607   121.00 P   30,404    +408

MAY18 5Y NOTE   114.25 C   19,293      +50   114.25 P   24,332  +1,982

MAY18 5Y NOTE   114.50 C   86,823     UNCH   114.50 P   16,836      +1

JUN18 5Y NOTE   114.25 C   12,634     +457   114.25 P   15,482  +1,213

JUN18 5Y NOTE   114.50 C   11,170   +1,725   114.50 P   21,380    UNCH

MAY18 2Y NOTE   106.38 C    2,960       -5   106.38 P      681    UNCH

MAY18 2Y NOTE   106.50 C   10,061     UNCH   106.50 P       31    UNCH

JUN18 2Y NOTE   106.38 C    8,160     +500   106.38 P   30,000    UNCH

JUN18 2Y NOTE   106.50 C      881     UNCH   106.50 P    1,300    -500

APR18 EURODLR    97.75 C  118,287      -72    97.75 P  129,715    UNCH

APR18 EURODLR    97.87 C  213,367     -481    97.87 P  237,920  -7,371

JUN18 EURODLR    97.75 C  251,384  +24,597    97.75 P  447,170  -7,901

JUN18 EURODLR    97.89 C  375,571   +6,883    97.87 P  374,590    UNCH

JUN19 1Y-MIDC    97.37 C  108,161     +550    97.37 P  339,316     -28

JUN19 1Y-MIDC    97.50 C  233,932   +1,450    97.50 P  119,585    UNCH

JUN20 2Y-MIDC    97.00 C   23,993     UNCH    97.00 P  109,304    +250

JUN20 2Y-MIDC    97.12 C   54,697     UNCH    97.12 P  106,227  +3,950

JUN21 3Y-MIDC    96.87 C      450     UNCH    96.87 P   44,125    UNCH

JUN21 3Y-MIDC    97.00 C   26,914     UNCH    97.00 P   68,805    UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

MAY18 10Y NOTE PUT/CALL RATIO   -- 0.80 (43,962 PUTS VS. 54,243 CALLS)

JUN18 10Y NOTE PUT/CALL RATIO   -- 0.76 (36,272 PUTS VS. 47,470 CALLS)

MAY18 5Y NOTE PUT/CALL RATIO    -- 1.58 (16,233 PUTS VS. 10,257 CALLS)

JUN18 5Y NOTE PUT/CALL RATIO    -- 0.38 (12,317 PUTS VS. 31,836 CALLS)

APR18 2Y NOTE PUT/CALL RATIO    -- 0.03 (255 PUTS VS. 6,859 CALLS)

JUN18 2Y NOTE PUT/CALL RATIO    -- 0.10 (403 PUTS VS. 3,834 CALLS)

APR18 EURODLRS PUT/CALL RATIO   -- 3.56 (10,700 PUTS VS. 3,000 CALLS)

JUN18 EURODLRS PUT/CALL RATIO   -- 0.96 (176,343 PUTS VS. 181,964 CALLS)

JUN19 1Y-MIDCRVE PUT/CALL RATIO -- 5.71 (25,700 PUTS VS. 4,550 CALLS)

JUN20 2Y-MIDCRVE PUT/CALL RATIO -- 1.46 (11,300 PUTS VS. 7,769 CALLS)

JUN21 3Y-MIDCRVE PUT/CALL RATIO -- 1.85 (6,550 PUTS VS. 3,500 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

1:30         50.14    58.25    59.15    61.48    69.94    74.16

9:30         50.43    58.75    59.52    61.08    70.16    74.26

Tue Open     51.55    59.07    60.02    61.65    70.31    74.32

Mon 3:00     52.59    60.29    61.59    62.91    70.74    74.59

Mon Open     52.75    60.70    61.78    63.02    70.83    74.66

Fri 3:00     51.93    59.06    60.45    61.82    70.30    74.16

Fri Open     51.77    59.38    60.35    61.72    70.53    74.44

Thu 3:00     51.74    59.09    60.37    61.75    70.62    74.47

Thu Open     52.16    60.69    61.23    62.77    70.84    74.57

Wed 3:00     52.29    61.60    61.52    63.15    71.05    74.74

Wed Open     52.45    63.15    62.55    64.28    71.20    74.80

Tue 3:00     52.46    62.97    63.02    64.78    71.34    74.98

Tue Open     52.84    63.81    63.58    65.34    71.50    75.03

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

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