US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR APR 30

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

            USM    USN     TYM    TYN     FVM    FVN     EDK     EDM

3:00       7.20%   6.72%  3.55%   3.77%  2.25%  2.38%   11.37%  11.20%

11:45      7.19%   6.95%  3.63%   3.62%  2.23%  2.21%   11.30%  10.82%

MON OPEN   7.29%   7.15%  3.74%   3.80%  2.31%  2.34%   12.78%  11.89%

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

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

JUN18 10Y NOTE  121.50 C  116,647   -2,984   119.00 P  146,424  +4,229

JUL18 10Y NOTE  120.00 C   24,764   +3,001   118.00 P   36,148  +3,792 

JUN18 5Y NOTE   114.00 C   39,913   +2,517   105.50 P  156,003    UNCH

JUL18 5Y NOTE   114.25 C   10,465   +4,522   113.00 P   12,802  +2,673

JUN18 2Y NOTE   106.80 C   58,101     UNCH   106.12 P   30,235      -2

JUL18 2Y NOTE   106.60 C   42,050     UNCH   105.50 P    6,012    UNCH

MAY18 EURODLR    97.87 C  140,344     -120    97.62 P  174,217  +3,000

JUN18 EURODLR    97.87 C  394,655   +3,025    97.50 P  557,250  +5,734

JUN19 1Y-MIDC    98.12 C  219,693     UNCH    97.12 P  634,164 +20,992

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

JUN21 3Y-MIDC    97.25 C  195,788     UNCH    96.62 P  149,551    UNCH

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

JUN18 10Y NOTE  119.00 C   17,725     -422   119.00 P  146,424  +4,229

JUN18 10Y NOTE  119.50 C   33,104     -245   119.50 P   93,635  +1,156

JUL18 10Y NOTE  119.00 C    9,327   +1,438   119.00 P   13,193  +1,181

JUL18 10Y NOTE  119.50 C    5,958     +227   119.50 P    3,452    +106

JUN18 5Y NOTE   113.00 C      216       +1   113.00 P   46,387  +5,380

JUN18 5Y NOTE   113.50 C   32,821   +4,069   113.50 P   41,468  -6,744

JUL18 5Y NOTE   113.00 C    7,749     +784   113.00 P   12,802  +2,673

JUL18 5Y NOTE   113.50 C    6,917     +160   113.50 P    4,927      +5

JUN18 2Y NOTE   106.00 C      919       -4   106.00 P    7,353    UNCH

JUN18 2Y NOTE   106.12 C    8,288     UNCH   106.12 P   30,235      -2

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   64,219     +734    97.75 P   82,561    UNCH

MAY18 EURODLR    97.87 C  140,344     -120    97.87 P   13,107    UNCH

JUN18 EURODLR    97.75 C  345,443  +14,318    97.75 P  403,349    -780

JUN18 EURODLR    97.87 C  394,655   +3,025    97.87 P  371,867     -20 

JUN19 1Y-MIDC    97.37 C  143,336   +2,250    97.37 P  335,469  -4,125

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

JUN20 2Y-MIDC    97.00 C   25,458     +638    97.00 P  106,134    UNCH

JUN20 2Y-MIDC    97.12 C   58,102   +1,909    97.12 P  106,798    UNCH

JUN21 3Y-MIDC    96.87 C   13,284     UNCH    96.87 P   49,098    +928

JUN21 3Y-MIDC    97.00 C  109,946     +250    97.00 P   75,439    UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

JUN18 10Y NOTE PUT/CALL RATIO   -- 1.11 (128,728 PUTS VS. 115,800 CALLS)

JUL18 10Y NOTE PUT/CALL RATIO   -- 0.86 (16,112 PUTS VS. 18,635 CALLS)

JUN18 5Y NOTE PUT/CALL RATIO    -- 3.69 (78,084 PUTS VS. 21,155 CALLS)

JUL18 5Y NOTE PUT/CALL RATIO    -- 0.37 (7,422 PUTS VS. 19,908 CALLS)

JUN18 2Y NOTE PUT/CALL RATIO    -- 0.44 (382 PUTS VS. 864 CALLS)

JUL18 2Y NOTE PUT/CALL RATIO    -- 0.00 (0 PUTS VS. 1,004 CALLS)

MAY18 EURODLRS PUT/CALL RATIO   -- 1.60 (5,750 PUTS VS. 3,600 CALLS)

JUN18 EURODLRS PUT/CALL RATIO   -- 0.92 (37,848 PUTS VS. 41,160 CALLS)

JUN19 1Y-MIDCRVE PUT/CALL RATIO -- 3.04 (37,250 PUTS VS. 12,250 CALLS)

JUN20 2Y-MIDCRVE PUT/CALL RATIO -- 0.00 (0 PUTS VS. 59,500 CALLS)

JUN21 3Y-MIDCRVE PUT/CALL RATIO -- 0.00 (0 PUTS VS. 3,750 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         42.49    57.32    54.24    59.12    68.61    72.99

11:45        42.75    57.55    54.75    59.54    68.75    73.13

MON OPEN     43.29    57.12    55.10    59.88    68.96    73.34

FRI 3:00     44.14    58.37    56.11    60.76    69.19    73.46

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

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

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