US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR APR 13

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

            USK    USM     TYK    TYM     FVK    FVM     EDJ     EDM

3:00       6.82%  6.72%   3.28%  3.46%   2.03%  2.18%    N/A    14.31%

10:45      6.89%  6.81%   3.34%  3.45%   2.06%  2.23%    N/A    15.54%

9:15       6.96%  6.75%   3.31%  3.49%   2.03%  2.15%    N/A    16.13%

FRI OPEN   6.61%  6.82%   3.33%  3.49%   1.93%  2.20%    N/A    15.53%

THU 3:00   7.03%  6.84%   3.49%  3.50%   2.26%  2.19%   20.16%  14.86%

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

MAY18 10Y NOTE  121.50 C  102,794   +1,331   120.00 P   89,660  +7,583

JUN18 10Y NOTE  122.00 C  110,609   -2,848   108.50 P  111,464    UNCH

MAY18 5Y NOTE   114.50 C  102,853  +20,099   110.00 P   45,740    UNCH

JUN18 5Y NOTE   114.75 C   46,278   +1,764   105.50 P  156,003    UNCH

MAY18 2Y NOTE   106.75 C   86,723   +1,000   106.00 P   14,435    -100

JUN18 2Y NOTE   106.75 C   62,161  +25,034   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  396,461   +8,588    97.50 P  605,539 -17,563

JUN19 1Y-MIDC    97.50 C  222,800  -21,182    97.12 P  562,610  +7,676

JUN20 2Y-MIDC    97.37 C  147,638     UNCH    96.75 P  190,307  +6,341

JUN21 3Y-MIDC    98.00 C  117,986   +1,000    97.25 P  147,951    UNCH

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

MAY18 10Y NOTE  120.50 C   47,994   -1,912   120.50 P   83,917  -1,436

MAY18 10Y NOTE  121.00 C   68,052   -6,326   121.00 P   30,092  -1,250

JUN18 10Y NOTE  120.50 C   27,246     -873   120.50 P   42,180  -2,135

JUN18 10Y NOTE  121.00 C   42,061   +1,725   121.00 P   32,649    -654

MAY18 5Y NOTE   114.25 C   19,703     -194   114.25 P   21,262  -2,442

MAY18 5Y NOTE   114.50 C  102,853  +20,099   114.50 P   14,257  -2,509

JUN18 5Y NOTE   114.25 C   12,864      -98   114.25 P   18,133     -67

JUN18 5Y NOTE   114.50 C   15,199     +734   114.50 P   21,381    UNCH

MAY18 2Y NOTE   106.38 C    2,918       -1   106.38 P      681    UNCH

MAY18 2Y NOTE   106.50 C   10,391     +340   106.50 P       31    UNCH

JUN18 2Y NOTE   106.38 C    8,202      +41   106.38 P   30,000    UNCH

JUN18 2Y NOTE   106.50 C   11,375   +9,594   106.50 P    1,300    UNCH

APR18 EURODLR    97.75 C  113,359     UNCH    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  267,760   -1,568    97.75 P  443,625  -3,082

JUN18 EURODLR    97.87 C  383,497   +5,972    97.87 P  372,296  -1,004

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

JUN19 1Y-MIDC    97.50 C  222,800  -21,182    97.50 P  119,585    UNCH

JUN20 2Y-MIDC    97.00 C   22,993   -1,000    97.00 P  109,840     -50

JUN20 2Y-MIDC    97.12 C   52,293     -214    97.12 P  104,845    UNCH

JUN21 3Y-MIDC    96.87 C      949     +499    96.87 P   39,787    -544

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   -- 0.66 (74,336 PUTS VS. 112,604 CALLS)

JUN18 10Y NOTE PUT/CALL RATIO   -- 2.17 (105,862 PUTS VS. 48,724 CALLS)

MAY18 5Y NOTE PUT/CALL RATIO    -- 0.72 (29,420 PUTS VS. 40,882 CALLS)

JUN18 5Y NOTE PUT/CALL RATIO    -- 0.89 (25,484 PUTS VS. 28,502 CALLS)

MAY18 2Y NOTE PUT/CALL RATIO    -- 0.07 (500 PUTS VS. 6,852 CALLS)

JUN18 2Y NOTE PUT/CALL RATIO    -- 0.02 (1,225 PUTS VS. 73,721 CALLS)

APR18 EURODLRS PUT/CALL RATIO   -- 8.93 (42,435 PUTS VS. 4,750 CALLS)

JUN18 EURODLRS PUT/CALL RATIO   -- 0.60 (109,125 PUTS VS. 182,761 CALLS)

JUN19 1Y-MIDCRVE PUT/CALL RATIO -- 1.99 (62,150 PUTS VS. 31,219 CALLS)

JUN20 2Y-MIDCRVE PUT/CALL RATIO -- 59.21(30,250 PUTS VS. 510 CALLS)

JUN21 3Y-MIDCRVE PUT/CALL RATIO -- 0.60 (1,500 PUTS VS. 2,500 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

3:00         49.21    56.20    57.82    58.76    69.45    73.78

10:45        49.32    56.92    58.02    58.87    69.49    73.89

9:15         49.31    57.25    58.02    58.88    69.58    73.95

FRI Open     49.31    57.65    58.02    58.90    69.58    73.97

THU 3:00     49.35    56.92    57.91    58.74    69.52    73.79

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

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

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