US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JUN 12

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

            USN     USQ      TYN     TYQ     FVN     FVQ     EDM      EDN

3:00       7.84%   7.36%    4.40%   4.02%   2.91%   2.64%   11.72%   13.58%

11:30      7.85%   7.41%    4.30%   3.92%   2.89%   2.61%   11.57%   13.22% 

TUE OPEN   8.52%   7.66%    4.49%   4.09%   2.97%   2.70%   13.94%   12.76%

MON 3:00   8.24%   7.73%    5.72%   4.59%   3.14%   2.76%   15.40%   13.36%

MON OPEN   8.34%   7.64%    4.57%   4.11%   3.10%   2.70%   13.58%   12.73% 

FRI 3:00   7.92%   7.63%    4.33%   4.08%   2.95%   2.71%   13.14%   14.85%

FRI OPEN   7.81%   7.41%    4.30%   4.01%   3.00%   2.63%   12.46%   14.79%  

THU 3:00   7.75%   7.49%    4.12%   3.95%   2.80%   2.57%   13.09%   12.20%

THU OPEN   7.48%   7.28%    4.02%   3.88%   2.57%   2.54%   10.46%   12.97%

WED 3:00   7.63%   7.15%    4.16%   3.89%   2.72%   2.53%   12.00%   13.25%

WED OPEN   7.27%   6.97%    3.96%   3.82%   2.62%   2.45%   11.38%   13.19%

TUE 3:00   6.97%   6.90%    3.80%   3.76%   2.71%   2.45%   13.32%   12.60% 

TUE OPEN   7.14%   6.91%    3.91%   3.79%   2.61%   2.47%   14.05%   12.56%

     LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

JUL18 10Y NOTE  120.50 C  136,653  +23,670   118.00 P  123,476    -938

SEP18 10Y NOTE  122.00 C  117,980  +84,413   117.50 P   56,713  +1,638

JUL18 5Y NOTE   114.00 C   62,751       +7   113.00 P   53,031    -375

SEP18 5Y NOTE   114.25 C   48,150   +1,000   106.25 P   91,578    UNCH

JUL18 2Y NOTE   106.37 C   94,094     +500   105.67 P    8,485     +20

SEP18 2Y NOTE   106.80 C    5,000     UNCH   106.00 P   11,201      -2

JUN18 EURODLR    98.00 C  373,361     UNCH    97.50 P  504,470    UNCH  

JUL18 EURODLR    97.75 C  107,924     UNCH    97.37 P  107,374    UNCH

JUN19 1Y-MIDC    98.12 C  219,693     UNCH    97.00 P  346,085  -7,145

JUN20 2Y-MIDC    97.37 C  151,625     UNCH    97.37 P  164,552    UNCH

JUN21 3Y-MIDC    98.00 C  138,150     UNCH    97.25 P  145,681    UNCH

     NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

JUL18 10Y NOTE  119.00 C   57,623     -108   119.00 P  113,437  +1,819

JUL18 10Y NOTE  119.50 C   77,372   +2,425   119.50 P   80,638  +3,111

SEP18 10Y NOTE  119.00 C   20,434     -701   119.00 P   39,276    +556

SEP18 10Y NOTE  119.50 C   34,473   +8,194   119.50 P   31,802  +8,560

JUL18 5Y NOTE   113.00 C   56,555     +258   113.00 P   53,031    -375

JUL18 5Y NOTE   113.50 C   46,493      -25   113.50 P   37,077    -525

SEP18 5Y NOTE   113.00 C    5,691      +27   113.00 P   11,013    +349

SEP18 5Y NOTE   113.50 C   23,092     -200   113.50 P   18,933    -218

JUL18 2Y NOTE   106.00 C    1,503     UNCH   106.00 P    2,654    UNCH

JUL18 2Y NOTE   106.12 C   31,807     +200   106.12 P      201    UNCH

SEP18 2Y NOTE   106.00 C      494     UNCH   106.00 P   11,201      -2

SEP18 2Y NOTE   106.12 C       65     UNCH   106.12 P       30     +30

JUN18 EURODLR    97.75 C  359,783   +6,331    97.75 P  373,440    -300

JUN18 EURODLR    97.87 C  369,147     UNCH    97.87 P  307,052      -2

JUL18 EURODLR    97.50 C   38,355     UNCH    97.50 P   91,659    UNCH

JUL18 EURODLR    97.62 C   70,583     UNCH    97.62 P   42,984    UNCH

JUN19 1Y-MIDC    97.37 C  168,218     UNCH    97.37 P  218,364    UNCH

JUN19 1Y-MIDC    97.50 C  187,820     UNCH    97.50 P  122,585    UNCH

JUN20 2Y-MIDC    97.00 C   48,462   +1,750    97.00 P   96,528     -10

JUN20 2Y-MIDC    97.12 C   80,721     +676    97.12 P   99,459    UNCH

JUN21 3Y-MIDC    96.87 C   22,438     UNCH    96.87 P   47,264    UNCH

JUN21 3Y-MIDC    97.00 C   62,361     UNCH    97.00 P   69,418    UNCH

     PUT/CALL RATIO FOR VOLUME CLEARED:

     JUL18 10Y NOTE PUT/CALL RATIO  -- 0.35 (66,194 PUTS VS. 186,814 CALLS)

SEP18 10Y NOTE PUT/CALL RATIO  -- 0.13 (62,808 PUTS VS. 488,790 CALLS)

JUL18 5Y NOTE PUT/CALL RATIO   -- 4.35 (33,068 PUTS VS. 7,595 CALLS)

SEP18 5Y NOTE PUT/CALL RATIO   -- 3.04 (25,908 PUTS VS. 8,522 CALLS)

JUL18 2Y NOTE PUT/CALL RATIO   -- 0.62 (540 PUTS VS. 877 CALLS)

SEP18 2Y NOTE PUT/CALL RATIO   -- 1.08 (1,687 PUTS VS. 1,560 CALLS)

JUN18 EURODLRS PUT/CALL RATIO  -- 0.31 (10,080 PUTS VS. 32,270 CALLS)

JUL18 EURODLRS PUT/CALL RATIO  -- 0.00 (0 PUTS VS. 0 CALLS)

JUN19 1Y-MIDCRVE PUT/CALL RATIO-- 1.44 (82,900 PUTS VS. 57,750 CALLS)

JUN20 2Y-MIDCRVE PUT/CALL RATIO-- 1.55 (33,570 PUTS VS. 21,650 CALLS)

JUN21 3Y-MIDCRVE PUT/CALL RATIO-- 0.00 (0 PUTS VS. 800 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         51.39    61.08    61.86    62.87    71.20    75.50

11:30        51.83    61.26    61.99    63.05    71.40    75.56

TUE OPEN     52.31    61.82    62.97    64.05    71.72    75.63

MON 3:00     51.99    61.61    62.89    63.89    71.61    75.66

MON OPEN     51.92    61.64    62.89    63.88    71.44    75.76

FRI 3:00     51.46    60.56    62.30    63.05    71.17    75.46

FRI OPEN     49.95    59.70    61.78    62.53    70.72    75.23

THU 3:00     50.25    58.52    61.60    62.25    70.71    75.26

THU OPEN     50.53    59.57    61.87    62.34    70.73    75.36

WED 3:00     50.29    59.43    61.56    62.00    70.59    75.34

WED OPEN     50.07    58.69    61.09    61.47    70.39    75.26

TUE 3:00     50.29    58.64    61.45    61.87    70.47    75.23

TUE OPEN     50.89    58.64    61.53    61.66    70.52    75.05

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

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