US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR APR 25

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

            USM    USN     TYM    TYN     FVM    FVN     EDK     EDM

11:30      7.79%   7.43%  4.04%   3.97%  2.44%  2.13%   11.18%  11.07%

WED OPEN   7.67%   7.57%  4.01%   3.96%  2.50%  2.04%   10.17%  10.48%

TUE 3:00   7.36%   7.18%  3.83%   3.82%  2.37%  2.62%   10.37%  10.23%

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

JUN18 10Y NOTE  121.50 C  115,491   +1,852   119.00 P  152,378 +11,371

JUL18 10Y NOTE  121.50 C   16,945     +440   118.00 P   20,736  +4,234

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

JUL18 5Y NOTE   113.50 C    7,138     UNCH   113.00 P    7,327  +3,935

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    6,006  +4,500

MAY18 EURODLR    97.87 C  140,464     UNCH    97.62 P  172,765  -4,974

JUN18 EURODLR    98.00 C  394,296   -5,405    97.50 P  543,884  +2,479

JUN19 1Y-MIDC    97.50 C  222,533   -6,500    97.12 P  605,662    +700

JUN20 2Y-MIDC    97.37 C  146,219   -1,175    96.75 P  215,593    +425

JUN21 3Y-MIDC    97.25 C  193,589  +80,445    96.62 P  149,042 +70,239

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

JUN18 10Y NOTE  119.00 C    4,919     +697   119.00 P  152,378 +11,371

JUN18 10Y NOTE  119.50 C   24,313   +4,645   119.50 P   94,912    -494

JUL18 10Y NOTE  119.00 C    2,137   +1,562   119.00 P   12,660  +2,259

JUL18 10Y NOTE  119.50 C    3,815   +1,540   119.50 P    3,005     -63

JUN18 5Y NOTE   113.00 C      153      +76   113.00 P   41,145  +1,065

JUN18 5Y NOTE   113.50 C   18,417   +7,864   113.50 P   48,058     -25

JUL18 5Y NOTE   113.00 C    4,965   +4,553   113.00 P    7,327  +3,935

JUL18 5Y NOTE   113.50 C    7,138     UNCH   113.50 P    4,922     -65

JUN18 2Y NOTE   106.00 C      909       +3   106.00 P    6,103    UNCH

JUN18 2Y NOTE   106.12 C    7,159   +1,481   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   61,485   -1,450    97.75 P   84,561     -20

MAY18 EURODLR    97.87 C  140,464     UNCH    97.87 P   13,107  -2,472

JUN18 EURODLR    97.75 C  316,905   -2,625    97.75 P  407,454    +500

JUN18 EURODLR    97.87 C  390,649   +1,635    97.87 P  372,286    UNCH 

JUN19 1Y-MIDC    97.37 C  125,399     +550    97.37 P  340,094    UNCH

JUN19 1Y-MIDC    97.50 C  222,533   -6,500    97.50 P  122,585    UNCH

JUN20 2Y-MIDC    97.00 C   24,863     +975    97.00 P  106,149  +1,645

JUN20 2Y-MIDC    97.12 C   56,171   +1,550    97.12 P  106,798  +4,550

JUN21 3Y-MIDC    96.87 C    8,066   +7,047    96.87 P   45,781  +3,446

JUN21 3Y-MIDC    97.00 C  108,746  +73,236    97.00 P   75,599    UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

JUN18 10Y NOTE PUT/CALL RATIO   -- 1.30 (241,978 PUTS VS. 186,129 CALLS)

JUL18 10Y NOTE PUT/CALL RATIO   -- 1.46 (55,531 PUTS VS. 38,025 CALLS)

JUN18 5Y NOTE PUT/CALL RATIO    -- 1.39 (57,771 PUTS VS. 41,655 CALLS)

JUL18 5Y NOTE PUT/CALL RATIO    -- 1.94 (13,376 PUTS VS. 6,907 CALLS)

JUN18 2Y NOTE PUT/CALL RATIO    -- 0.55 (2,086 PUTS VS. 3,763 CALLS)

JUL18 2Y NOTE PUT/CALL RATIO    -- 22.2 (4,710 PUTS VS. 212 CALLS)

MAY18 EURODLRS PUT/CALL RATIO   -- 1.83 (5,544 PUTS VS. 3,024 CALLS)

JUN18 EURODLRS PUT/CALL RATIO   -- 0.27 (29,450 PUTS VS. 107,128 CALLS)

JUN19 1Y-MIDCRVE PUT/CALL RATIO -- 7.74 (143,100 PUTS VS. 18,500 CALLS)

JUN20 2Y-MIDCRVE PUT/CALL RATIO -- 0.79 (68,350 PUTS VS. 86,850 CALLS)

JUN21 3Y-MIDCRVE PUT/CALL RATIO -- 0.47 (77,000 PUTS VS. 162,500 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

11:30        46.78    62.79    59.13    62.65    70.21    74.05

WED OPEN     46.50    61.60    58.58    62.02    69.86    73.93

TUE 3:00     46.57    60.42    58.26    60.90    69.82    73.73

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$]