US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR APR 27

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

            USM    USN     TYM    TYN     FVM    FVN     EDK     EDM

3:00       6.97%   6.94%  3.56%   3.62%  2.18%  2.44%   10.66%  10.34%

1:00       7.06%   7.00%  3.49%   3.61%  2.18%  2.46%   9.89%   11.13%

FRI OPEN   7.19%   7.37%  3.66%   3.74%  2.26%  2.52%   10.93%  12.58% 

THU 3:00   10.80%  8.44%  4.03%   3.93%  2.38%  2.22%   10.24%  11.12%

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

JUN18 10Y NOTE  121.50 C  119,631   +3,787   119.00 P  142,195     +67

JUL18 10Y NOTE  126.50 C   22,710   +3,449   118.00 P   32,356  +4,479 

JUN18 5Y NOTE   114.00 C   37,396     +135   105.50 P  156,003    UNCH

JUL18 5Y NOTE   113.00 C    6,965     +100   113.00 P   10,129    +461

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    6,012      +6

MAY18 EURODLR    97.87 C  140,464     UNCH    97.62 P  171,217  +4,550

JUN18 EURODLR    98.00 C  392,822     -974    97.50 P  551,516    -300

JUN19 1Y-MIDC    98.12 C  219,693     UNCH    97.12 P  613,172  +2,525

JUN20 2Y-MIDC    97.37 C  141,194     UNCH    96.75 P  222,565    UNCH

JUN21 3Y-MIDC    97.25 C  195,788   +2,074    96.62 P  149,551    +509

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

JUN18 10Y NOTE  119.00 C   18,147   +1,808   119.00 P  142,195     +67

JUN18 10Y NOTE  119.50 C   33,349   +4,282   119.50 P   92,479    +116

JUL18 10Y NOTE  119.00 C    7,889   +4,318   119.00 P   12,012  +2,914

JUL18 10Y NOTE  119.50 C    5,987      -93   119.50 P    3,346    +345

JUN18 5Y NOTE   113.00 C      215       +7   113.00 P   41,007  +1,232

JUN18 5Y NOTE   113.50 C   28,752   +4,515   113.50 P   48,212     +40

JUL18 5Y NOTE   113.00 C    6,965     +100   113.00 P   10,129    +461

JUL18 5Y NOTE   113.50 C    6,757      -50   113.50 P    4,922    UNCH

JUN18 2Y NOTE   106.00 C      923       +8   106.00 P    7,353  +1,000

JUN18 2Y NOTE   106.12 C    8,288     +907   106.12 P   30,237    UNCH

JUL18 2Y NOTE   106.00 C      253     UNCH   106.00 P       60    UNCH

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

MAY18 EURODLR    97.75 C   63,485   +2,000    97.75 P   82,561    UNCH

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

JUN18 EURODLR    97.75 C  331,124  +15,244    97.75 P  404,129  -1,600

JUN18 EURODLR    97.87 C  391,630   +1,014    97.87 P  371,887     -20 

JUN19 1Y-MIDC    97.37 C  141,086   +4,629    97.37 P  335,469  -4,125

JUN19 1Y-MIDC    97.50 C  187,945  -27,988    97.50 P  123,935  +1,350

JUN20 2Y-MIDC    97.00 C   24,820      -53    97.00 P  106,134    UNCH

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

JUN21 3Y-MIDC    96.87 C   13,284   +3,612    96.87 P   48,170  -1,178

JUN21 3Y-MIDC    97.00 C  109,696     +950    97.00 P   75,439    -160

PUT/CALL RATIO FOR VOLUME CLEARED:

JUN18 10Y NOTE PUT/CALL RATIO   -- 1.02 (149,997 PUTS VS. 147,430 CALLS)

JUL18 10Y NOTE PUT/CALL RATIO   -- 1.20 (41,861 PUTS VS. 34,952 CALLS)

JUN18 5Y NOTE PUT/CALL RATIO    -- 1.11 (59,150 PUTS VS. 53,080 CALLS)

JUL18 5Y NOTE PUT/CALL RATIO    -- 0.29 (1,816 PUTS VS. 6,333 CALLS)

JUN18 2Y NOTE PUT/CALL RATIO    -- 1.26 (5,929 PUTS VS. 4,710 CALLS)

JUL18 2Y NOTE PUT/CALL RATIO    -- 0.00 (1,113 PUTS VS. 0 CALLS)

MAY18 EURODLRS PUT/CALL RATIO   -- 2.15 (6,450 PUTS VS. 3,000 CALLS)

JUN18 EURODLRS PUT/CALL RATIO   -- 0.78   (67,870 PUTS VS. 87,147 CALLS)

JUN19 1Y-MIDCRVE PUT/CALL RATIO -- 1.03 (41,650 PUTS VS. 40,450 CALLS)

JUN20 2Y-MIDCRVE PUT/CALL RATIO -- 0.29 (1,000 PUTS VS. 3,500 CALLS)

JUN21 3Y-MIDCRVE PUT/CALL RATIO -- 2.44 (22,350 PUTS VS. 9,150 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         44.14    58.37    56.11    60.76    69.19    73.46

1:00         44.14    58.36    56.11    60.75    69.20    73.42

FRI OPEN     44.55    60.43    57.60    61.84    69.74    73.89

THU 3:00     45.08%   60.36    58.20    62.10    69.88    73.87

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

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

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