US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR APR 18

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

            USK    USM     TYK    TYM     FVK    FVM     EDK     EDM

1:00       7.64%  6.64%   3.52%  3.42%   2.33%  2.20%   13.10%  12.60%

11:15      7.72%  6.60%   3.61%  3.33%   2.58%  2.19%   11.55%  11.98%

WED OPEN   7.70%  6.62%   3.97%  3.41%   2.18%  2.19%   13.07%  12.61%

TUE 3:00   7.43%  6.63%   3.24%  3.38%   1.92%  2.14%   13.85%  12.85%

TUE Open   8.08%  6.71%   3.56%  3.41%   2.34%  2.20%   12.98%  12.73%

Mon 3:00   7.64%  6.96%   3.65%  3.50%   2.08%  2.24%   14.65%  13.40%

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

MAY18 10Y NOTE  121.50 C  106,733      -61   120.00 P   84,883  -3,701

JUN18 10Y NOTE  122.00 C  110,368     +498   108.50 P  111,464    UNCH

MAY18 5Y NOTE   114.50 C  102,788     UNCH   110.00 P   45,740    UNCH

JUN18 5Y NOTE   114.75 C   46,787     +572   105.50 P  156,003    UNCH

MAY18 2Y NOTE   106.75 C   86,723     UNCH   106.00 P   14,585     +50

JUN18 2Y NOTE   106.80 C   58,101     UNCH   106.12 P   30,237      +9

MAY18 EURODLR    97.87 C  138,464     UNCH    97.62 P  187,606  +1,050

JUN18 EURODLR    98.12 C  395,376     UNCH    97.50 P  641,299  +2,000

JUN19 1Y-MIDC    97.50 C  232,342     +750    97.12 P  608,005  +1,885

JUN20 2Y-MIDC    97.37 C  151,328   +1,790    96.75 P  214,557    UNCH

JUN21 3Y-MIDC    98.00 C  136,653   +4,717    97.25 P  145,831    UNCH

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

MAY18 10Y NOTE  120.50 C   58,204   +2,283   120.50 P   79,062  -2,598

MAY18 10Y NOTE  121.00 C   65,642     -259   121.00 P   29,431    -518

JUN18 10Y NOTE  120.50 C   30,350   +2,310   120.50 P   43,864    -299

JUN18 10Y NOTE  121.00 C   45,405     +752   121.00 P   32,041     -62

MAY18 5Y NOTE   114.25 C   19,064     +539   114.25 P   20,826  -1,428

MAY18 5Y NOTE   114.50 C  102,788     UNCH   114.50 P   14,264    UNCH

JUN18 5Y NOTE   114.25 C   14,905     UNCH   114.25 P   18,230    UNCH

JUN18 5Y NOTE   114.50 C   17,355     +469   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    7,710     +350   106.38 P   30,000    UNCH

JUN18 2Y NOTE   106.50 C   11,376       +1   106.50 P    1,300    UNCH

MAY18 EURODLR    97.75 C   50,409     -170    97.75 P   81,581    UNCH

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

JUN18 EURODLR    97.75 C  310,822   +8,657    97.75 P  432,525 -10,004

JUN18 EURODLR    97.87 C  386,722   +2,106    97.87 P  372,296    UNCH

JUN19 1Y-MIDC    97.37 C  118,871   +7,951    97.37 P  339,316    UNCH

JUN19 1Y-MIDC    97.50 C  232,342     +750    97.50 P  122,585    UNCH

JUN20 2Y-MIDC    97.00 C   22,993     UNCH    97.00 P  112,323    UNCH

JUN20 2Y-MIDC    97.12 C   52,932     +378    97.12 P  102,779    UNCH

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

JUN21 3Y-MIDC    97.00 C   33,340   +6,426    97.00 P   69,009    +104

PUT/CALL RATIO FOR VOLUME CLEARED:

MAY18 10Y NOTE PUT/CALL RATIO   -- 1.09 (43,629 PUTS VS. 39,868 CALLS)

JUN18 10Y NOTE PUT/CALL RATIO   -- 0.72 (36,969 PUTS VS. 51,677 CALLS)

MAY18 5Y NOTE PUT/CALL RATIO    -- 1.08 (8,067 PUTS VS. 7,495 CALLS)

JUN18 5Y NOTE PUT/CALL RATIO    -- 1.85 (30,574 PUTS VS. 16,513 CALLS)

MAY18 2Y NOTE PUT/CALL RATIO    -- 0.00 (105 PUTS VS. 0 CALLS)

JUN18 2Y NOTE PUT/CALL RATIO    -- 0.01 (1,071 PUTS VS. 82,634 CALLS)

MAY18 EURODLRS PUT/CALL RATIO   -- 0.99 (9,250 PUTS VS. 9,320 CALLS)

JUN18 EURODLRS PUT/CALL RATIO   -- 1.82 (64,685 PUTS VS. 35,500 CALLS)

JUN19 1Y-MIDCRVE PUT/CALL RATIO -- 3.32 (60,630 PUTS VS. 18,250 CALLS)

JUN20 2Y-MIDCRVE PUT/CALL RATIO -- 0.00 (0 PUTS VS. 1,000 CALLS)

JUN21 3Y-MIDCRVE PUT/CALL RATIO -- 1.12 (11,500 PUTS VS. 10,250 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

1:00         46.59    54.67    54.39    56.24    67.63    72.34

11:15        46.10    54.00    54.31    56.14    67.57    72.31

Wed Open     46.21    54.00    54.29    56.13    67.67    72.48

Tue 3:00     46.80    54.49    55.14    56.64    68.14    72.69

Tue Open     48.67    55.01    56.56    57.48    68.88    73.25

Mon 3:00     48.75    55.52    56.88    57.82    69.04    73.33

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

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

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