US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR APR 12

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

            USK    USM     TYK    TYM     FVK    TUM     EDJ     EDM

1:15       7.10%  6.90%   3.63%  3.56%   2.26%  2.22%    N/A    14.85%

11:00      7.14%  6.77%   3.48%  3.54%   2.16%  2.20%    N/A    15.46%

9:00       6.98%  6.80%   3.34%  3.45%   2.02%  2.19%    N/A    14.83%

THU OPEN   6.69%  6.80%   3.44%  3.51%   2.21%  2.17%    N/A    14.82%

WED 3:00   6.74%  6.72%   3.47%  3.49%   2.10%  2.18%    N/A    14.35%

WED OPEN   7.61%  7.05%   3.75%  3.59%   2.48%  2.29%    N/A    15.00%

TUE 3:00   7.31%  6.98%   3.64%  3.57%   2.29%  2.25%    N/A    16.55%

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

MAY18 10Y NOTE  121.50 C  101,613  +10,324   120.50 P   85,503  +2,453

JUN18 10Y NOTE  122.00 C  113,457   +6,916   108.50 P  111,464    UNCH

MAY18 5Y NOTE   114.50 C   82,754     -503   111.00 P   45,740    UNCH

JUN18 5Y NOTE   114.75 C   44,514   +1,000   105.50 P  156,003    UNCH

MAY18 2Y NOTE   106.75 C   85,723     UNCH   106.00 P   14,535    +100

JUN18 2Y NOTE   106.75 C   37,627     +500   106.12 P   30,218      -7

APR18 EURODLR    98.37 C  235,781     UNCH    98.87 P  237,920    UNCH

JUN18 EURODLR    98.12 C  387,873     UNCH    97.50 P  623,102  +7,600

JUN19 1Y-MIDC    97.50 C  243,382   -2,000    97.12 P  554,934    -500

JUN20 2Y-MIDC    97.37 C  147,638     +150    96.75 P  190,966    UNCH

JUN21 3Y-MIDC    98.00 C  116,986     UNCH    97.25 P  147,951  -1,532

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

MAY18 10Y NOTE  120.50 C   49,906     -581   120.50 P   85,503  +2,453

MAY18 10Y NOTE  121.00 C   74,378   -7,566   121.00 P   31,342   +4544

JUN18 10Y NOTE  120.50 C   28,119     +371   120.50 P   44,465  +3,125

JUN18 10Y NOTE  121.00 C   40,086     -607   121.00 P   33,303   +2492

MAY18 5Y NOTE   114.25 C   19,897     -535   114.25 P   23,704    +269

MAY18 5Y NOTE   114.50 C   82,753     -503   114.50 P   16,766    -167

JUN18 5Y NOTE   114.25 C   12,962   -1,490   114.25 P   15,482  +1,213

JUN18 5Y NOTE   114.50 C   14,465   +2,050   114.50 P   21,380    UNCH

MAY18 2Y NOTE   106.38 C    2,919     UNCH   106.38 P      681    UNCH

MAY18 2Y NOTE   106.50 C   10,051     UNCH   106.50 P       31    UNCH

JUN18 2Y NOTE   106.38 C    8,161       -5   106.38 P   30,000    UNCH

JUN18 2Y NOTE   106.50 C    1,781     +600   106.50 P    1,300    UNCH

APR18 EURODLR    97.75 C  113,359     -678    97.75 P  129,715    UNCH

APR18 EURODLR    97.87 C  213,367     UNCH    97.87 P  237,920    UNCH

JUN18 EURODLR    97.75 C  269,328  +13,694    97.75 P  446,707  -1,463

JUN18 EURODLR    97.87 C  377,525     +100    97.87 P  373,300  -1,300

JUN19 1Y-MIDC    97.37 C  109,160     +249    97.37 P  339,316    UNCH

JUN19 1Y-MIDC    97.50 C  243,982   -2,000    97.50 P  119,585    UNCH

JUN20 2Y-MIDC    97.00 C   23,993     UNCH    97.00 P  109,890    +136

JUN20 2Y-MIDC    97.12 C   52,507     -600    97.12 P  104,845    -250

JUN21 3Y-MIDC    96.87 C      450     UNCH    96.87 P   40,331  -3,794

JUN21 3Y-MIDC    97.00 C   26,914     UNCH    97.00 P   68,905    UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

MAY18 10Y NOTE PUT/CALL RATIO   -- 0.24 (43,962 PUTS VS. 186,180 CALLS)

JUN18 10Y NOTE PUT/CALL RATIO   -- 0.40 (36,272 PUTS VS. 91,494 CALLS)

MAY18 5Y NOTE PUT/CALL RATIO    -- 2.18 (15,843 PUTS VS. 7,253 CALLS)

JUN18 5Y NOTE PUT/CALL RATIO    -- 0.72 (12,204 PUTS VS. 16,916 CALLS)

MAY18 2Y NOTE PUT/CALL RATIO    -- 0.00 (800 PUTS VS. 0 CALLS)

JUN18 2Y NOTE PUT/CALL RATIO    -- 0.59 (653 PUTS VS. 1,116 CALLS)

APR18 EURODLRS PUT/CALL RATIO   -- 1.12 (920 PUTS VS. 820 CALLS)

JUN18 EURODLRS PUT/CALL RATIO   -- 2.42 (115,056 PUTS VS. 47,600 CALLS)

JUN19 1Y-MIDCRVE PUT/CALL RATIO -- 0.14 (4,250 PUTS VS. 29,400 CALLS)

JUN20 2Y-MIDCRVE PUT/CALL RATIO -- 6.88 (5,850 PUTS VS. 850 CALLS)

JUN21 3Y-MIDCRVE PUT/CALL RATIO -- 274.50 (27,450 PUTS VS. 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

1:15         49.34    56.90    57.89    58.73    69.59    73.84

11:00        49.12    56.73    57.61    58.43    69.40    73.73

9:00         49.09    56.77    57.64    58.47    69.43    73.83

Thu Open     49.13    56.76    57.68    58.52    69.43    73.83

Wed 3:00     49.28    57.88    57.81    58.67    69.49    73.98

Wed Open     49.75    58.55    58.76    59.77    69.65    74.00

Tue 3:00     50.11    58.28    59.10    60.66    69.92    74.17

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

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

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