US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR APR 19

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

            USK    USM     TYK    TYM     FVK    FVM     EDK     EDM

3:00       8.62%  7.19%   3.58%  3.52%   2.44%  2.27%   12.34%  12.39%

1:15       9.09%  7.22%   3.66%  3.51%   2.42%  2.27%   12.32%  12.06%

9:45       9.80%  7.18%   3.95%  3.56%   2.41%  2.27%   13.25%  12.97%

THU OPEN   9.07%  6.92%   3.75%  3.48%   2.20%  2.21%   12.29%  12.39%

WED 3:00   7.61%  6.66%   3.40%  3.38%   2.31%  2.26%   13.12%  12.61%

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

MAY18 10Y NOTE  121.50 C  106,387     -226   120.00 P   82,529  -2,354

JUN18 10Y NOTE  122.00 C  122,889     +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   47,339     +552   105.50 P  156,003    UNCH

MAY18 2Y NOTE   106.75 C   86,723     UNCH   106.00 P   14,535     -50

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

MAY18 EURODLR    97.87 C  140,464   +2,000    97.62 P  190,756  +3,150

JUN18 EURODLR    98.12 C  395,376     UNCH    97.50 P  585,357 -54,942

JUN19 1Y-MIDC    97.50 C  234,342   +2,000    97.12 P  609,383  +1,378

JUN20 2Y-MIDC    97.37 C  154,028   +2,700    96.75 P  215,603  +1,046

JUN21 3Y-MIDC    98.00 C  138,400   +1,747    97.25 P  145,831    UNCH

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

MAY18 10Y NOTE  120.50 C   56,713   -1,491   120.50 P   76,817  -2,245

MAY18 10Y NOTE  121.00 C   65,222     -301   121.00 P   29,302    -129

JUN18 10Y NOTE  120.50 C   35,313   +4,963   120.50 P   44,731    +867

JUN18 10Y NOTE  121.00 C   47,892   +2,487   121.00 P   32,264    +223

MAY18 5Y NOTE   114.25 C   19,686     +622   114.25 P   20,692    -134

MAY18 5Y NOTE   114.50 C  102,788     UNCH   114.50 P   14,284     +20

JUN18 5Y NOTE   114.25 C   16,881   +1,976   114.25 P   15,202  -3,028

JUN18 5Y NOTE   114.50 C   17,433      +78   114.50 P   21,381    UNCH

MAY18 2Y NOTE   106.38 C    2,915       -3   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   35,726  +24,350   106.50 P    1,300    UNCH

MAY18 EURODLR    97.75 C   55,624   +5,215    97.75 P   84,581  +3,000

MAY18 EURODLR    97.87 C  140,464   +2,000    97.87 P   15,578    UNCH

JUN18 EURODLR    97.75 C  318,503   +7,681    97.75 P  404,854 -27,671

JUN18 EURODLR    97.87 C  385,428   -1,294    97.87 P  372,286     -10 

JUN19 1Y-MIDC    97.37 C  120,871   +2,000    97.37 P  339,316    UNCH

JUN19 1Y-MIDC    97.50 C  234,342   +2,000    97.50 P  122,585    UNCH

JUN20 2Y-MIDC    97.00 C   22,993     UNCH    97.00 P  109,675  -2,648

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   33,940     +600    97.00 P   71,515  +2,506

PUT/CALL RATIO FOR VOLUME CLEARED:

MAY18 10Y NOTE PUT/CALL RATIO   -- 1.80 (62,599 PUTS VS. 34,706 CALLS)

JUN18 10Y NOTE PUT/CALL RATIO   -- 0.80 (135,355 PUTS VS. 170,016 CALLS)

MAY18 5Y NOTE PUT/CALL RATIO    -- 4.88 (47,965 PUTS VS. 9,829 CALLS)

JUN18 5Y NOTE PUT/CALL RATIO    -- 5.19 (87,351 PUTS VS. 16,845 CALLS)

MAY18 2Y NOTE PUT/CALL RATIO    -- 0.82 (1,600 PUTS VS. 1,962 CALLS)

JUN18 2Y NOTE PUT/CALL RATIO    -- 0.04 (2,251 PUTS VS. 51,339 CALLS)

MAY18 EURODLRS PUT/CALL RATIO   -- 0.56 (13,775 PUTS VS. 24,738 CALLS)

JUN18 EURODLRS PUT/CALL RATIO   -- 2.71 (126,821 PUTS VS. 46,797 CALLS)

JUN19 1Y-MIDCRVE PUT/CALL RATIO -- 1.33 (28,900 PUTS VS. 21,650 CALLS)

JUN20 2Y-MIDCRVE PUT/CALL RATIO -- 35.1 (17,550 PUTS VS. 500 CALLS)

JUN21 3Y-MIDCRVE PUT/CALL RATIO -- 19.4 (96,750 PUTS VS. 5,000 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         47.26    55.44    55.86    57.91    68.31    72.68

1:15         47.94    56.61    56.97    58.44    68.39    72.81

9:45         47.09    55.59    55.65    57.73    67.97    72.56

Thu Open     46.63    54.92    55.37    56.94    67.84    72.51

Wed 3:00     46.64    54.62    54.56    56.38    67.69    72.37

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

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

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