US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR APR 26

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

            USM    USN     TYM    TYN     FVM    FVN     EDK     EDM

11:00      7.63%   7.29%  3.78%   3.72%  2.32%  2.30%   9.52%   10.38%

THU OPEN   7.75%   7.42%  3.83%   3.88%  2.36%  2.38%   12.25%  11.44%

WED 3:00   7.88%   7.94%  4.05%   4.18%  2.44%  2.18%   10.26%  10.85%

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

JUN18 10Y NOTE  121.50 C  115,844     +354   119.00 P  142,128 -10,050

JUL18 10Y NOTE  126.50 C   19,261   +2,326   118.00 P   27,877  +7,141

JUN18 5Y NOTE   114.00 C   37,261   +2,552   105.50 P  156,003    UNCH

JUL18 5Y NOTE   113.00 C    6,865   +1,900   113.00 P    9,668  +2,341

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    UNCH

MAY18 EURODLR    97.87 C  140,464     UNCH    97.62 P  166,667  -6,098

JUN18 EURODLR    98.00 C  393,796     -500    97.50 P  551,816  +9,432

JUN19 1Y-MIDC    98.12 C  219,693     UNCH    97.12 P  610,647  +4,985

JUN20 2Y-MIDC    97.37 C  141,194   -5,025    96.75 P  222,565  +6,972

JUN21 3Y-MIDC    97.25 C  193,714     +125    96.62 P  149,042    UNCH

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

JUN18 10Y NOTE  119.00 C   16,339  +11,420   119.00 P  142,128 -10,050

JUN18 10Y NOTE  119.50 C   29,067   +4,504   119.50 P   92,363  -2,549

JUL18 10Y NOTE  119.00 C    3,571   +1,434   119.00 P    9,098  -3,562

JUL18 10Y NOTE  119.50 C    6,080   +2,265   119.50 P    3,001      -4

JUN18 5Y NOTE   113.00 C      208      +55   113.00 P   39,775  -1,370

JUN18 5Y NOTE   113.50 C   24,237   +5,820   113.50 P   48,172    +114

JUL18 5Y NOTE   113.00 C    6,865   +1,900   113.00 P    7,327  +3,935

JUL18 5Y NOTE   113.50 C    6,807     -331   113.50 P    4,922     -65

JUN18 2Y NOTE   106.00 C      915       +6   106.00 P    6,353    +250

JUN18 2Y NOTE   106.12 C    7,381     +222   106.12 P   30,237    UNCH

JUL18 2Y NOTE   106.00 C      253     +200   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     UNCH    97.75 P   82,561  -2,000

MAY18 EURODLR    97.87 C  140,464     UNCH    97.87 P   13,107    UNCH

JUN18 EURODLR    97.75 C  315,880   -1,025    97.75 P  405,729  -1,725

JUN18 EURODLR    97.87 C  390,616      -33    97.87 P  371,907    -379 

JUN19 1Y-MIDC    97.37 C  136,457  +11,058    97.37 P  339,594    -500

JUN19 1Y-MIDC    97.50 C  215,933   -6,600    97.50 P  122,585    UNCH

JUN20 2Y-MIDC    97.00 C   24,873      +10    97.00 P  106,134     -15

JUN20 2Y-MIDC    97.12 C   56,193      +22    97.12 P  106,798    UNCH

JUN21 3Y-MIDC    96.87 C    9,672   +1,606    96.87 P   49,348  +3,567

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

PUT/CALL RATIO FOR VOLUME CLEARED:

JUN18 10Y NOTE PUT/CALL RATIO   -- 1.60 (363,598 PUTS VS. 227,612 CALLS)

JUL18 10Y NOTE PUT/CALL RATIO   -- 1.13 (45,210 PUTS VS. 40,103 CALLS)

JUN18 5Y NOTE PUT/CALL RATIO    -- 1.99 (89,444 PUTS VS. 44,738 CALLS)

JUL18 5Y NOTE PUT/CALL RATIO    -- 1.70 (9,773 PUTS VS. 5,756 CALLS)

JUN18 2Y NOTE PUT/CALL RATIO    -- 1.01 (1,424 PUTS VS. 1,413 CALLS)

JUL18 2Y NOTE PUT/CALL RATIO    -- 0.00 (0 PUTS VS. 220 CALLS)

MAY18 EURODLRS PUT/CALL RATIO   -- 4.28 (24,800 PUTS VS. 5,800 CALLS)

JUN18 EURODLRS PUT/CALL RATIO   -- 15.1 (131,290 PUTS VS. 8,698 CALLS)

JUN19 1Y-MIDCRVE PUT/CALL RATIO -- 1.61 (140,250 PUTS VS. 87,000 CALLS)

JUN20 2Y-MIDCRVE PUT/CALL RATIO -- 3.46 (10,550 PUTS VS. 3,050 CALLS)

JUN21 3Y-MIDCRVE PUT/CALL RATIO -- 0.00 (0 PUTS VS. 0 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

11:00        45.46    60.01    57.95    61.72    69.87    73.88

THU OPEN     46.70    62.42    59.48    63.38    70.34    74.22

WED 3:00     46.99    63.54    59.36    63.00    70.27    74.23

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

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

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