US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR APR 24

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

            USM    USN     TYM    TYN     FVM    FVN     EDK     EDM

TUE OPEN   7.22%   7.17%  3.82%   3.73%  2.39%  2.42%   12.36%  13.57%

MON 3:00   7.26%   7.41%  3.82%   3.95%  2.32%  2.51%   11.27%  10.82%

MON OPEN   7.53%   7.22%  3.84%   3.82%  2.37%  2.70%   11.69%  11.45%

FRI 3:00   7.02%    N/A   3.44%    N/A   2.26%   N/A     N/A    11.20%      

FRI OPEN   7.16%    N/A   3.55%    N/A   2.29%   N/A     N/A    12.50%

THU 3:00   7.19%    N/A   3.52%    N/A   2.27%   N/A    12.34%  12.39%

THU OPEN   6.92%    N/A   3.48%    N/A   2.21%   N/A    12.29%  12.39%

WED 3:00   6.66%    N/A   3.38%    N/A   2.26%   N/A    13.12%  12.61%

WED OPEN   6.62%    N/A   3.41%    N/A   2.19%   N/A    13.07%  12.61%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

JUN18 10Y NOTE  121.50 C  113,639     -405   119.00 P  141,007  -7,790

JUL18 10Y NOTE  121.50 C   16,505   +3,457   118.00 P   16,502  +3,950

JUN18 5Y NOTE   114.75 C   41,793   -6,031   105.50 P  156,003    UNCH

JUL18 5Y NOTE   113.50 C    7,138   +3,447   113.50 P    4,987     -68

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

JUL18 2Y NOTE   106.60 C   42,050     UNCH   105.50 P    1,506  +1,500

MAY18 EURODLR    97.87 C  140,464     UNCH    97.62 P  177,739 -11,275

JUN18 EURODLR    98.00 C  399,701   +7,978    97.50 P  541,405 -44,865

JUN19 1Y-MIDC    97.50 C  229,033   -8,800    97.12 P  604,962  +8,193

JUN20 2Y-MIDC    97.37 C  147,394   -4,350    96.75 P  215,168  -2,566

JUN21 3Y-MIDC    98.00 C  138,150     UNCH    97.25 P  145,831    UNCH

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

JUN18 10Y NOTE  119.00 C    4,222   +1,763   119.00 P  141,007  -7,790

JUN18 10Y NOTE  119.50 C   19,668   +4,519   119.50 P   97,806  -5,815

JUL18 10Y NOTE  119.00 C      574     +521   119.00 P   10,190    +114

JUL18 10Y NOTE  119.50 C    2,275       +4   119.50 P    3,246  +1,292

JUN18 5Y NOTE   113.00 C       77       +2   113.00 P   40,080  -1,246

JUN18 5Y NOTE   113.50 C   10,553   +2,009   113.50 P   48,083    -408

JUL18 5Y NOTE   113.00 C      412     +412   113.00 P    3,392     +95

JUL18 5Y NOTE   113.50 C    7,138   +3,447   113.50 P    4,987     -68

JUN18 2Y NOTE   106.00 C      906     +128   106.00 P    6,103  -1,000

JUN18 2Y NOTE   106.12 C    5,678   +2,335   106.12 P   30,237    UNCH

JUL18 2Y NOTE   106.00 C       53     UNCH   106.00 P       60    UNCH

JUL18 2Y NOTE   106.12 C        0     UNCH   106.12 P        1    UNCH

MAY18 EURODLR    97.75 C   62,935     +116    97.75 P   84,581    UNCH

MAY18 EURODLR    97.87 C  140,464     UNCH    97.87 P   15,579    UNCH

JUN18 EURODLR    97.75 C  319,530     +889    97.75 P  406,954  +2,100

JUN18 EURODLR    97.87 C  389,014   +7,686    97.87 P  372,286    UNCH 

JUN19 1Y-MIDC    97.37 C  124,849     UNCH    97.37 P  340,094    UNCH

JUN19 1Y-MIDC    97.50 C  229,033   -8,800    97.50 P  122,585    UNCH

JUN20 2Y-MIDC    97.00 C   23,888     +245    97.00 P  104,504  -1,492

JUN20 2Y-MIDC    97.12 C   54,621   +1,549    97.12 P  102,248    UNCH

JUN21 3Y-MIDC    96.87 C    1,019     UNCH    96.87 P   42,335  +2,500

JUN21 3Y-MIDC    97.00 C   35,510      +30    97.00 P   75,599    UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

JUN18 10Y NOTE PUT/CALL RATIO   -- 1.81 (280,764 PUTS VS. 173,296 CALLS)

JUL18 10Y NOTE PUT/CALL RATIO   -- 1.45 (27,879 PUTS VS. 7,632 CALLS)

JUN18 5Y NOTE PUT/CALL RATIO    -- 1.46 (51,862 PUTS VS. 49,806 CALLS)

JUL18 5Y NOTE PUT/CALL RATIO    -- 1.45 (7,529 PUTS VS. 9,469 CALLS)

JUN18 2Y NOTE PUT/CALL RATIO    -- 0.25 (1,534 PUTS VS. 10,154 CALLS)

JUL18 2Y NOTE PUT/CALL RATIO    -- 1.06 (1,500 PUTS VS. 29 CALLS)

MAY18 EURODLRS PUT/CALL RATIO   -- 1.00 (20,202 PUTS VS. 3,850 CALLS)

JUN18 EURODLRS PUT/CALL RATIO   -- 3.55 (109,353 PUTS VS. 257,805 CALLS)

JUN19 1Y-MIDCRVE PUT/CALL RATIO -- 0.61 (82,350 PUTS VS. 2,850 CALLS)

JUN20 2Y-MIDCRVE PUT/CALL RATIO -- 1.67 (12,644 PUTS VS. 5,000 CALLS)

JUN21 3Y-MIDCRVE PUT/CALL RATIO -- 1.00 (2,750 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

TUE OPEN     47.17    59.60    58.39    60.62    69.52    73.16

MON 3:00     47.74    59.37    58.24    60.17    69.39    73:16

MON OPEN     47.30    58.80    57.81    59.70    69.30    73.10

FRI 3:00     47.18    57.82    57.37    59.23    68.99    73.11

FRI OPEN     46.83    56.18    56.22    58.41    68.43    72.70

THU 3:00     47.26    55.44    55.86    57.91    68.31    72.68

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

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

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