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

THU 1:00    5.10%  5.72%   3.00%  3.33%   1.90%  2.20%   7.44%   6.80%

11:30       5.16%  5.76%   2.97%  3.32%   1.97%  2.20%   6.30%   6.00%

9:00        5.20%  5.75%   3.12%  3.34%   2.03%  2.21%   6.45%   6.18%

THU OPEN    5.45%  5.80%   3.16%  3.35%   2.05%  2.25%   6.65%   6.30%

WED 3:00    5.60%  5.85%   3.17%  3.34%   1.95%  2.17%   6.90%   6.30%

WED OPEN    5.81%  5.88%   3.22%  3.36%   2.11%  2.22%   7.05%   6.20%

TUE 3:00    5.82%  5.87%   3.22%  3.34%   2.19%  2.21%   6.80%   5.92%

TUE OPEN    5.61%  5.67%   3.11%  3.25%   2.06%  2.14%   7.22%   5.95%

MON 3:00    5.53%  5.62%   3.15%  3.25%   2.05%  2.14%   7.42%   6.20%

MON OPEN    5.74%  5.66%   3.35%  3.30%   2.13%  2.19%   7.75%   6.20%

FRI 3:00    5.31%  5.61%   3.09%  3.24%   2.00%  2.15%    N/A    5.50%

FRI OPEN    5.40%  5.64%   3.10%  3.22%   1.96%  2.12%    N/A    5.88%

THU 3:00    5.18%  5.60%   2.90%  3.14%   1.90%  2.07%    N/A    8.44%

THU OPEN    5.49%  5.70%   3.02%  3.15%   1.99%  2.14%    N/A    7.85%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

MAY19 10Y NOTE  124.00 C  136,523   +2,709   123.00 P  110,283  -3,160

JUN19 10Y NOTE  124.50 C  125,236     -990   122.50 P  151,777  -2,952

MAY19 5Y NOTE   116.25 C   57,951     UNCH   112.25 P   97,659    UNCH

JUN19 5Y NOTE   116.25 C   54,433   +6,991   108.25 P  151,203    UNCH

MAY19 2Y NOTE   106.75 C    8,391     UNCH   106.25 P   16,951     -35

JUN19 2Y NOTE   106.75 C   15,568     UNCH   106.25 P   56,687    -277

MAY19 EURODLR    97.37 C   45,661     -100    97.25 P   64,254    UNCH

JUN19 EURODLR    97.62 C  451,089     UNCH    96.75 P  728,209    UNCH

JUN19 1Y-MIDC    98.00 C  181,951     -300    97.62 P  173,803    +204

JUN20 2Y-MIDC    97.75 C   88,628     UNCH    97.50 P  108,534  -5,389

JUN21 3Y-MIDC    97.75 C   93,782     +250    97.62 P   85,057    -250

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

MAY19 10Y NOTE  122.50 C   45,288     +599   122.50 P   93,891    +220

MAY19 10Y NOTE  123.00 C  127,406   +2,328   123.00 P  110,283  -3,160

JUN19 10Y NOTE  122.50 C   26,731   +2,205   122.50 P  151,777  -2,952

JUN19 10Y NOTE  123.00 C   59,226   +1,783   123.00 P   93,597    +594

MAY19 5Y NOTE   115.00 C   29,226     +379   115.00 P   63,784 -18,527

MAY19 5Y NOTE   115.25 C   28,652     +328   115.25 P   36,379    -661

JUN19 5Y NOTE   115.00 C   12,714   +3,539   115.00 P   73,959  +9,930

JUN19 5Y NOTE   115.25 C   34,636     +145   115.25 P   42,138    +198

MAY19 2Y NOTE   106.50 C    7,321     UNCH   106.50 P    3,301    UNCH

MAY19 2Y NOTE   106.62 C    6,890     UNCH   106.62 P    6,199    UNCH

JUN19 2Y NOTE   106.50 C   15,226     -114   106.50 P   14,982    UNCH

JUN19 2Y NOTE   106.62 C    8,131       -9   106.62 P    2,765    -477

MAY19 EURODLR    97.25 C    6,227     UNCH    97.25 P   64,254    UNCH

MAY19 EURODLR    97.37 C   45,661     -100    97.37 P   47,123    -100

JUN19 EURODLR    97.25 C  259,720     UNCH    97.25 P  294,894    UNCH

JUN19 EURODLR    97.37 C  397,787     UNCH    97.37 P  244,731  -2,095

JUN20 1Y-MIDC    97.50 C   78,432     UNCH    97.50 P  148,382      -5

JUN20 1Y-MIDC    97.62 C   63,664   +3,018    97.62 P  173,803    +204

JUN21 2Y-MIDC    97.62 C   27,639     -113    97.62 P   33,206    UNCH

JUN21 2Y-MIDC    97.75 C   88,628     UNCH    97.75 P   70,431    UNCH

JUN22 3Y-MIDC    97.62 C   17,291   +1,600    97.62 P   85,057    -250

JUN22 3Y-MIDC    97.75 C   93,782     +250    97.75 P   48,317    +600

PUT/CALL RATIO FOR VOLUME CLEARED:

MAY19 10Y NOTE PUT/CALL RATIO   -- 1.76 (109,320 PUTS VS. 61,887 CALLS)

JUN19 10Y NOTE PUT/CALL RATIO   -- 0.82 (78,912 PUTS VS. 94,539 CALLS)

MAY19 5Y NOTE PUT/CALL RATIO    -- 4.79 (71,013 PUTS VS. 14,893 CALLS)

JUN19 5Y NOTE PUT/CALL RATIO    -- 1.56 (36,515 PUTS VS. 64,754 CALLS)

MAY19 2Y NOTE PUT/CALL RATIO    -- 7.22 (737 PUTS VS. 102 CALLS)

JUN19 2Y NOTE PUT/CALL RATIO    -- 12.7 (16,652 PUTS VS. 1,295 CALLS)

MAY19 EURODLRS PUT/CALL RATIO   -- 1.00 (100 PUTS VS. 100 CALLS)

JUN19 EURODLRS PUT/CALL RATIO   -- 0.33 (6,110 PUTS VS. 18,096 CALLS)

JUN20 1Y-MIDCRVE PUT/CALL RATIO -- 2.56 (25,941 PUTS VS. 10,101 CALLS)

JUN21 2Y-MIDCRVE PUT/CALL RATIO -- 1.29 (12,284 PUTS VS. 9,426 CALLS)

JUN22 3Y-MIDCRVE PUT/CALL RATIO -- 4.97 (18,921 PUTS VS. 3,800 CALLS)

(VOLUME, OPEN INTEREST, RATIOS 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

Thu 1:00    48.60    51.06    54.55    52.36    57.37     62.14

11:30       48.60    51.06    54.55    52.36    57.37     62.14

9:00        48.23    50.94    54.09    52.07    57.31     62.18

Thu Open    48.25    51.95    54.15    52.10    57.32     62.18

Wed 3:00    48.25    51.85    54.11    52.08    57.34     62.18

Wed Open    48.22    51.57    53.91    51.73    57.66     62.62

Tue 3:00    48.03    51.38    53.88    51.57    57.75     62.71

Tue Open    47.69    50.46    53.51    51.18    57.97     63.23

Mon 3:00    48.49    50.53    53.84    51.43    58.19     63.39

Mon Open    48.96    50.43    54.09    51.58    58.46     63.83

Fri 3:00    48.56    49.60    53.88    51.27    58.39     63.97

Fri Open    48.42    48.84    53.52    50.82    58.16     63.99

Thu 3:00    48.60    48.93    53.47    50.73    58.07     63.99

Thu Open    49.94    49.95    54.10    51.62    58.19     64.05

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

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