US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR APR 4

OPEN INTEREST NOT UPDATED, REFLECTS MONDAY LEVELS

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

            USK    USM     TYK    TYM     FVK    TUM     EDJ     EDK

WED 3:00   7.11%  7.40%   3.63%  3.76%   2.41%  2.39%   17.23%  15.05%

1:45       7.16%  7.41%   3.65%  3.78%   2.42%  2.38%   18.93%  15.67%

12:15      7.38%  7.52%   3.69%  3.77%   2.43%  2.42%   18.50%  15.22%

10:30      7.26%  7.55%   3.84%  3.82%   2.44%  2.43%   18.82%  15.27%

WED OPEN   7.48%  7.65%   3.82%  3.85%   2.62%  2.49%   21.00%  16.23%

TUE 3:00   7.31%  7.56%   3.75%  3.87%   2.56%  2.46%   19.50%  16.25%

TUE OPEN   7.51%  7.68%   3.79%  3.90%   2.63%  2.49%   21.04%  16.67%

MON 3:00   7.73%  7.92%   4.10%  4.04%   2.68%  2.54%   24.70%  19.13%

MON OPEN   7.78%  7.81%   4.06%  4.04%   2.67%  2.55%   24.94%  17.84%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

MAY18 10Y NOTE  121.50 C  100,440   +2,009   120.00 P   75,327  +3,274

JUN18 10Y NOTE  122.00 C   91,234   -2,130   108.50 P  113,574    UNCH

MAY18 5Y NOTE   114.50 C   80,145   +1,627   111.00 P   45,740    UNCH

JUN18 5Y NOTE   114.75 C   21,581     -714   105.50 P  156,003    UNCH

MAY18 2Y NOTE   106.75 C   83,993     +450   106.00 P   12,947    +300

JUN18 2Y NOTE   106.75 C   10,946     UNCH   106.12 P   30,005    UNCH

APR18 EURODLR    98.00 C  236,789     UNCH    98.00 P  268,886    UNCH

JUN18 EURODLR    98.00 C  354,833   +1,722    97.50 P  481,520 +20,031

JUN19 1Y-MIDC    97.50 C  226,746     -367    97.12 P  520,821 +13,962

JUN20 2Y-MIDC    97.87 C  128,303     UNCH    96.75 P  200,543    UNCH

JUN21 3Y-MIDC    98.00 C  116,986     UNCH    97.25 P  149,483    UNCH

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

MAY18 10Y NOTE  120.00 C   36,760      -18   120.00 P   75,327  +3,274

MAY18 10Y NOTE  120.50 C   51,465     +307   120.50 P   51,989  +1,363

JUN18 10Y NOTE  120.00 C   38,298     +314   120.00 P   55,806    +488

JUN18 10Y NOTE  120.50 C   24,889     -180   120.50 P   33,512  +4,388

MAY18 5Y NOTE   114.25 C   19,012      -72   114.25 P   12,587  +1,896

MAY18 5Y NOTE   114.50 C   80,145   +1,627   114.50 P   26,283  -5,774

JUN18 5Y NOTE   114.25 C   11,869     -120   114.25 P   12,932    -316

JUN18 5Y NOTE   114.50 C    8,411      +46   114.50 P   20,380  +1,967

MAY18 2Y NOTE   106.38 C      929      +11   106.38 P      674    UNCH

MAY18 2Y NOTE   106.50 C    9,892     UNCH   106.50 P       31    UNCH

JUN18 2Y NOTE   106.38 C    1,364     UNCH   106.38 P   30,000    UNCH

JUN18 2Y NOTE   106.50 C      673     UNCH   106.50 P    1,300    -500

APR18 EURODLR    97.75 C  123,862   +5,377    97.75 P  128,809    -125

APR18 EURODLR    97.87 C  213,696   -1,000    97.87 P  245,292     +14

JUN18 EURODLR    97.75 C  216,320     +500    97.75 P  454,651  +3,600

JUN18 EURODLR    97.89 C  345,899     +224    97.87 P  393,984    +100

JUN19 1Y-MIDC    97.37 C  101,058     -644    97.37 P  333,944  +6,206

JUN19 1Y-MIDC    97.50 C  226,746     -367    97.50 P  121,085    UNCH

JUN20 2Y-MIDC    97.00 C   23,993     UNCH    97.00 P  132,105    UNCH

JUN20 2Y-MIDC    97.12 C   52,697     UNCH    97.12 P  144,631    +200

JUN21 3Y-MIDC    96.87 C      450     UNCH    96.87 P   43,375  +4,000

JUN21 3Y-MIDC    97.00 C   26,914     UNCH    97.00 P   69,055    UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

MAY18 10Y NOTE PUT/CALL RATIO   -- 0.36 (56,943 PUTS VS. 153,954 CALLS)

JUN18 10Y NOTE PUT/CALL RATIO   -- 1.37 (57,137 PUTS VS. 41,419 CALLS)

MAY18 5Y NOTE PUT/CALL RATIO    -- 1.12 (35,124 PUTS VS. 31,365 CALLS)

JUN18 5Y NOTE PUT/CALL RATIO    -- 1.88 (30,977 PUTS VS. 16,405 CALLS)

APR18 2Y NOTE PUT/CALL RATIO    -- 0.12 (420 PUTS VS. 3,282 CALLS)

JUN18 2Y NOTE PUT/CALL RATIO    -- 0.01 (38 PUTS VS. 3,332 CALLS)

APR18 EURODLRS PUT/CALL RATIO   -- 2.67 (31,040 PUTS VS. 11,600 CALLS)

JUN18 EURODLRS PUT/CALL RATIO   -- 3.19 (95,246 PUTS VS. 29,810 CALLS)

JUN19 1Y-MIDCRVE PUT/CALL RATIO -- 9.32 (46,674 PUTS VS. 5,000 CALLS)

JUN20 2Y-MIDCRVE PUT/CALL RATIO -- 0.28 (1,500 PUTS VS. 5,300 CALLS)

JUN21 3Y-MIDCRVE PUT/CALL RATIO -- 4.03 (10,500 PUTS VS. 2,650 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

Wed 3:00     52.29    61.60    61.52    63.15    71.05    74.74

1:45         52.34    62.00    61.81    63.52    71.08    74.78

12:15        52.36    61.93    61.98    63.68    71.17    74.84

10:30        52.35    62.08    62.11    63.82    71.21    74.87

Wed Open     52.45    63.15    62.55    64.28    71.20    74.80

Tue 3:00     52.46    62.97    63.02    64.78    71.34    74.98

Tue Open     52.84    63.81    63.58    65.34    71.50    75.03

Mon 3:00     52.48    63.38    63.33    64.90    71.35    74.77

Mon Open     52.38    61.80    63.25    64.86    71.39    74.76

--MNI Chicago Bureau; tel: +1 312-431-0089; email: bill.sokolis@marketnews.com

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