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US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR APR 2

EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
            USK    USM     TYK    TYM     FVK    TUM     EDJ     EDM
MON OPEN   7.78%  7.81%   4.06%  4.04%   2.67%  2.55%   24.94%  17.84%
LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE
MAY18 10Y NOTE  121.50 C  100,440   +2,009   120.00 P   75,327  +3,274
JUN18 10Y NOTE  122.00 C   91,234   -2,130   108.50 P  113,574    UNCH
MAY18 5Y NOTE   114.50 C   80,145   +1,627   111.00 P   45,740    UNCH
JUN18 5Y NOTE   114.75 C   21,581     -714   105.50 P  156,003    UNCH
MAY18 2Y NOTE   106.75 C   83,993     +450   106.00 P   12,947    +300
JUN18 2Y NOTE   106.75 C   10,946     UNCH   106.12 P   30,005    UNCH
APR18 EURODLR    98.00 C  236,789     UNCH    98.00 P  268,886    UNCH
JUN18 EURODLR    98.00 C  354,833   +1,722    97.50 P  481,520 +20,031
JUN19 1Y-MIDC    97.50 C  226,746     -367    97.12 P  520,821 +13,962
JUN20 2Y-MIDC    97.87 C  128,303     UNCH    96.75 P  200,543    UNCH
JUN21 3Y-MIDC    98.00 C  116,986     UNCH    97.25 P  149,483    UNCH
NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE
MAY18 10Y NOTE  120.00 C   36,760      -18   120.00 P   75,327  +3,274
MAY18 10Y NOTE  120.50 C   51,465     +307   120.50 P   51,989  +1,363
JUN18 10Y NOTE  120.00 C   38,298     +314   120.00 P   55,806    +488
JUN18 10Y NOTE  120.50 C   24,889     -180   120.50 P   33,512  +4,388
MAY18 5Y NOTE   114.25 C   19,012      -72   114.25 P   12,587  +1,896
MAY18 5Y NOTE   114.50 C   80,145   +1,627   114.50 P   26,283  -5,774
JUN18 5Y NOTE   114.25 C   11,869     -120   114.25 P   12,932    -316
JUN18 5Y NOTE   114.50 C    8,411      +46   114.50 P   20,380  +1,967
MAY18 2Y NOTE   106.38 C      929      +11   106.38 P      674    UNCH
MAY18 2Y NOTE   106.50 C    9,892     UNCH   106.50 P       31    UNCH
JUN18 2Y NOTE   106.38 C    1,364     UNCH   106.38 P   30,000    UNCH
JUN18 2Y NOTE   106.50 C      673     UNCH   106.50 P    1,300    -500
APR18 EURODLR    97.75 C  123,862   +5,377    97.75 P  128,809    -125
APR18 EURODLR    97.87 C  213,696   -1,000    97.87 P  245,292     +14
JUN18 EURODLR    97.75 C  216,320     +500    97.75 P  454,651  +3,600
JUN18 EURODLR    97.89 C  345,899     +224    97.87 P  393,984    +100
JUN19 1Y-MIDC    97.37 C  101,058     -644    97.37 P  333,944  +6,206
JUN19 1Y-MIDC    97.50 C  226,746     -367    97.50 P  121,085    UNCH
JUN20 2Y-MIDC    97.00 C   23,993     UNCH    97.00 P  132,105    UNCH
JUN20 2Y-MIDC    97.12 C   52,697     UNCH    97.12 P  144,631    +200
JUN21 3Y-MIDC    96.87 C      450     UNCH    96.87 P   43,375  +4,000
JUN21 3Y-MIDC    97.00 C   26,914     UNCH    97.00 P   69,055    UNCH
PUT/CALL RATIO FOR VOLUME CLEARED:
MAY18 10Y NOTE PUT/CALL RATIO   -- 0.36 (56,943 PUTS VS. 153,954 CALLS)
JUN18 10Y NOTE PUT/CALL RATIO   -- 1.37 (57,137 PUTS VS. 41,419 CALLS)
MAY18 5Y NOTE PUT/CALL RATIO    -- 1.12 (35,124 PUTS VS. 31,365 CALLS)
JUN18 5Y NOTE PUT/CALL RATIO    -- 1.88 (30,977 PUTS VS. 16,405 CALLS)
APR18 2Y NOTE PUT/CALL RATIO    -- 0.12 (420 PUTS VS. 3,282 CALLS)
JUN18 2Y NOTE PUT/CALL RATIO    -- 0.01 (38 PUTS VS. 3,332 CALLS)
APR18 EURODLRS PUT/CALL RATIO   -- 2.67 (31,040 PUTS VS. 11,600 CALLS)
JUN18 EURODLRS PUT/CALL RATIO   -- 3.19 (95,246 PUTS VS. 29,810 CALLS)
JUN19 1Y-MIDCRVE PUT/CALL RATIO -- 9.32 (46,674 PUTS VS. 5,000 CALLS)
JUN20 2Y-MIDCRVE PUT/CALL RATIO -- 0.28 (1,500 PUTS VS. 5,300 CALLS)
JUN21 3Y-MIDCRVE PUT/CALL RATIO -- 4.03 (10,500 PUTS VS. 2,650 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
Mon Open     52.38    61.80    63.25    64.86    71.39    74.76
--MNI Chicago Bureau; tel: +1 312-431-0089; email: bill.sokolis@marketnews.com
[TOPICS: MTABLE,M$U$$$,M$$FI$,MN$FI$]

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