US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR APR 16

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

            USK    USM     TYK    TYM     FVK    FVM     EDK     EDM

2:30       8.11%  6.94%   3.93%  3.58%   2.24%  2.27%   14.64%  13.39%

12:30      8.36%  6.93%   3.89%  3.58%   2.05%  2.23%   14.62%  13.38%

10:30      8.18%  7.03%   3.60%  3.55%   2.48%  2.27%   14.10%  13.38%

MON OPEN   8.30%  6.91%   3.93%  3.59%   2.43%  2.28%   14.53%  13.98%

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

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%    N/A    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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

MAY18 10Y NOTE  121.50 C  108,795   +6,001   120.50 P   92,282  +2,622

JUN18 10Y NOTE  122.00 C  112,147   +1,538   108.50 P  111,464    UNCH

MAY18 5Y NOTE   114.50 C  102,053     -800   110.00 P   45,740    UNCH

JUN18 5Y NOTE   114.75 C   46,165     -113   105.50 P  156,003    UNCH

MAY18 2Y NOTE   106.75 C   86,723     UNCH   106.00 P   14,485     +50

JUN18 2Y NOTE   106.75 C   62,161     UNCH   106.12 P   30,223      +5

MAY18 EURODLR    97.87 C  138,464      +50    97.62 P  185,213  +3,145

JUN18 EURODLR    98.12 C  396,626     +165    97.50 P  639,549 +34,010

JUN19 1Y-MIDC    97.50 C  229,734   +6,934    97.12 P  578,697 +16,087

JUN20 2Y-MIDC    97.37 C  149,538   +1,900    96.75 P  197,307    UNCH

JUN21 3Y-MIDC    98.00 C  124,986   +7,000    97.25 P  145,831    UNCH

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

MAY18 10Y NOTE  120.50 C   56,490   +8,496   120.50 P   92,282  +2,622

MAY18 10Y NOTE  121.00 C   66,872   -1,180   121.00 P   82,562  -1,355

JUN18 10Y NOTE  120.50 C   26,883     -363   120.50 P   42,786    +606

JUN18 10Y NOTE  121.00 C   41,594     -467   121.00 P   32,548    -101

MAY18 5Y NOTE   114.25 C   19,713      +10   114.25 P   22,255    +993

MAY18 5Y NOTE   114.50 C  102,053     -800   114.50 P   14,264      +7

JUN18 5Y NOTE   114.25 C   14,526   +1,662   114.25 P   18,170     +37

JUN18 5Y NOTE   114.50 C   16,087     +888   114.50 P   21,381    UNCH

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

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

JUN18 2Y NOTE   106.38 C    7,360     -842   106.38 P   30,000    UNCH

JUN18 2Y NOTE   106.50 C   11,375     UNCH   106.50 P    1,300    -500

MAY18 EURODLR    97.75 C   51,375     -104    97.75 P   81,579    UNCH

MAY18 EURODLR    97.87 C  138,464      +50    97.87 P   15,578    UNCH

JUN18 EURODLR    97.75 C  280,998  +13,238    97.75 P  442,531  -1,094

JUN18 EURODLR    97.89 C  381,162   -2,335    97.87 P  372,296    UNCH

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

JUN19 1Y-MIDC    97.50 C  229,734   +6,934    97.50 P  119,585    UNCH

JUN20 2Y-MIDC    97.00 C   22,993     UNCH    97.00 P  107,773  -2,067

JUN20 2Y-MIDC    97.12 C   52,554     +261    97.12 P  103,529  -1,316

JUN21 3Y-MIDC    96.87 C      949     UNCH    96.87 P   39,787    UNCH

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   -- 0.52 (73,404 PUTS VS. 141,153 CALLS)

JUN18 10Y NOTE PUT/CALL RATIO   -- 1.29 (41,116 PUTS VS. 31,878 CALLS)

MAY18 5Y NOTE PUT/CALL RATIO    -- 1.48 (27,571 PUTS VS. 18,575 CALLS)

JUN18 5Y NOTE PUT/CALL RATIO    -- 1.31 (22,625 PUTS VS. 17,180 CALLS)

APR18 2Y NOTE PUT/CALL RATIO    -- 0.00 (51 PUTS VS. 0 CALLS)

JUN18 2Y NOTE PUT/CALL RATIO    -- 0.26 (663 PUTS VS. 2,460 CALLS)

MAY18 EURODLRS PUT/CALL RATIO   -- 0.95 (13,845 PUTS VS. 14,400 CALLS)

JUN18 EURODLRS PUT/CALL RATIO   -- 2.01 (94,715 PUTS VS. 47,160 CALLS)

JUN19 1Y-MIDCRVE PUT/CALL RATIO -- 2.44 (75,230 PUTS VS. 30,850 CALLS)

JUN20 2Y-MIDCRVE PUT/CALL RATIO -- 1.22 (10,400 PUTS VS. 8,500 CALLS)

JUN21 3Y-MIDCRVE PUT/CALL RATIO -- 0.80 (11,702 PUTS VS. 14,652 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

2:30         48.76    55.49    56.88    57.82    69.03    73.33

12:30        48.81    55.58    56.96    57.91    69.11    73.44

10:30        49.08    56.08    57.66    58.42    69.19    73.46

Mon Open     49.17    55.96    57.81    58.49    69.35    73.66

Fri 3:00     49.21    56.20    57.82    58.76    69.45    73.78

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

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

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