US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR APR 9

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

            USK    USM     TYK    TYM     FVK    TUM     EDJ     EDM

1:45       7.37%  7.04%   3.61%  3.59%   2.25%  2.25%    N/A    14.25%

12:00      7.10%  7.00%   3.63%  3.62%   2.20%  2.25%    N/A    14.63%

10:30      7.40%  6.97%   3.72%  3.56%   2.25%  2.27%    N/A    14.63%

9:15       7.50%  7.09%   3.69%  3.54%   2.28%  2.25%   20.45%  14.62%

MON OPEN   7.51%  7.17%   3.73%  3.59%   2.48%  2.31%   20.30%  14.62%

FRI 3:00   7.21%  7.25%   3.68%  3.62%   2.34%  2.28%   14.90%  14.05%

FRI OPEN   7.11%  7.23%   3.73%  3.75%   2.44%  2.41%   17.75%  15.00%

THU 3:00   6.94%  7.18%   3.60%  3.70%   2.33%  2.36%   20.85%  17.75%

THU OPEN   7.11%  7.44%   3.68%  3.76%   2.32%  2.48%   18.41%  17.46%

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

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   88,996     +876   120.00 P   79,896    +775

JUN18 10Y NOTE  122.00 C  102,304   +7,096   108.50 P  111,464    UNCH

MAY18 5Y NOTE   114.50 C   86,823      +17   111.00 P   45,740    UNCH

JUN18 5Y NOTE   114.75 C   30,734   +3,037   105.50 P  156,003    UNCH

MAY18 2Y NOTE   106.75 C   85,723   +1,370   106.00 P   14,237    UNCH

JUN18 2Y NOTE   106.75 C    9,431     UNCH   106.12 P   30,022     -19

APR18 EURODLR    98.00 C  236,789     UNCH    97.87 P  245,291      -1

JUN18 EURODLR    98.12 C  388,371     UNCH    97.75 P  448,227  -7,901

JUN19 1Y-MIDC    97.50 C  232,482     UNCH    97.12 P  557,798  +8,364

JUN20 2Y-MIDC    97.87 C  134,303   +6,000    96.75 P  191,188    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   36,108     -125   120.00 P   79,896    +775

MAY18 10Y NOTE  120.50 C   49,778     +517   120.50 P   77,428  +6,108

JUN18 10Y NOTE  120.00 C   38,334       -5   120.00 P   79,206  -2,528

JUN18 10Y NOTE  120.50 C   26,992   +1,885   120.50 P   38,637  +1,028

MAY18 5Y NOTE   114.25 C   19,243   +2,445   114.25 P   22,351  +3,242

MAY18 5Y NOTE   114.50 C   86,823      +17   114.50 P   16,835    -117

JUN18 5Y NOTE   114.25 C   12,177     -123   114.25 P   14,269     +62

JUN18 5Y NOTE   114.50 C    9,445      -91   114.50 P   21,380    UNCH

MAY18 2Y NOTE   106.38 C    2,965   +1,586   106.38 P      681    UNCH

MAY18 2Y NOTE   106.50 C   10,061     UNCH   106.50 P       31    UNCH

JUN18 2Y NOTE   106.38 C    7,660   +1,301   106.38 P   30,000    UNCH

JUN18 2Y NOTE   106.50 C      881     UNCH   106.50 P    1,300    -500

APR18 EURODLR    97.75 C  118,359   -5,054    97.75 P  129,715  +1,000

APR18 EURODLR    97.87 C  213,848     UNCH    97.87 P  245,291      -1

JUN18 EURODLR    97.75 C  226,787   +6,769    97.75 P  448,227  -7,901

JUN18 EURODLR    97.89 C  368,688     -352    97.87 P  374,590    UNCH

JUN19 1Y-MIDC    97.37 C  107,611     +500    97.37 P  339,344    -100

JUN19 1Y-MIDC    97.50 C  232,482     UNCH    97.50 P  119,585    UNCH

JUN20 2Y-MIDC    97.00 C   23,993     UNCH    97.00 P  109,054  -4,739

JUN20 2Y-MIDC    97.12 C   54,697   -1,650    97.12 P  102,277 -24,373

JUN21 3Y-MIDC    96.87 C      450     UNCH    96.87 P   44,125    +250

JUN21 3Y-MIDC    97.00 C   26,914     UNCH    97.00 P   68,805    UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

MAY18 10Y NOTE PUT/CALL RATIO   -- 1.39 (120,402 PUTS VS. 86,677 CALLS)

JUN18 10Y NOTE PUT/CALL RATIO   -- 1.30 (74,871 PUTS VS. 57,384 CALLS)

MAY18 5Y NOTE PUT/CALL RATIO    -- 2.54 (33,588 PUTS VS. 13,239 CALLS)

JUN18 5Y NOTE PUT/CALL RATIO    -- 0.62 (7,417 PUTS VS. 11,992 CALLS)

APR18 2Y NOTE PUT/CALL RATIO    -- 0.58 (2,015 PUTS VS. 3,456 CALLS)

JUN18 2Y NOTE PUT/CALL RATIO    -- 0.72 (1,597 PUTS VS. 2,183 CALLS)

APR18 EURODLRS PUT/CALL RATIO   -- 0.11 (4,272 PUTS VS. 37,500 CALLS)

JUN18 EURODLRS PUT/CALL RATIO   -- 3.03 (235,686 PUTS VS. 77,646 CALLS)

JUN19 1Y-MIDCRVE PUT/CALL RATIO -- 5.48 (65,822 PUTS VS. 12,050 CALLS)

JUN20 2Y-MIDCRVE PUT/CALL RATIO -- 5.24 (98,100 PUTS VS. 18,750 CALLS)

JUN21 3Y-MIDCRVE PUT/CALL RATIO -- 0.91 (550 PUTS VS. 600 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

1:45         52.59    60.47    61.70    63.27    70.79    74.60

12:00        52.70    60.56    61.82    63.16    70.85    74.67

10:30        52.72    60.72    61.87    63.43    70.86    74.67

9:15         52.74    60.55    61.75    63.22    70.77    74.62

Mon Open     52.75    60.70    61.78    63.02    70.83    74.66

Fri 3:00     51.93    59.06    60.45    61.82    70.30    74.16

Fri Open     51.77    59.38    60.35    61.72    70.53    74.44

Thu 3:00     51.74    59.09    60.37    61.75    70.62    74.47

Thu Open     52.16    60.69    61.23    62.77    70.84    74.57

Wed 3:00     52.29    61.60    61.52    63.15    71.05    74.74

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$]