US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JUN 13

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

            USN     USQ      TYN     TYQ     FVN     FVQ     EDM      EDN

WED OPEN   8.09%   7.34%    4.40%   3.91%   2.97%   2.59%   13.33%   12.60%

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

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%

     LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

JUL18 10Y NOTE  121.00 C  116,891   -1,202   118.00 P  123,371    -105

SEP18 10Y NOTE  120.00 C  123,256   +5,625   117.50 P   56,197    -516

JUL18 5Y NOTE   114.00 C   62,751     UNCH   113.00 P   52,194    -837

SEP18 5Y NOTE   114.25 C   48,150     UNCH   106.25 P   91,854    +276

JUL18 2Y NOTE   106.37 C   94,294     +200   105.67 P    8,485    UNCH

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

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

JUL18 EURODLR    97.75 C  106,474   -1,450    97.50 P  116,854 +25,195

JUN19 1Y-MIDC    98.12 C  219,693     UNCH    97.00 P  366,470 +20,385

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   57,384     -239   119.00 P  114,902  +1,465

JUL18 10Y NOTE  119.50 C   77,440     +205   119.50 P   80,534    -103

SEP18 10Y NOTE  119.00 C   21,535   +1,101   119.00 P   37,841  -1,435

SEP18 10Y NOTE  119.50 C   44,452   +9,979   119.50 P   39,206  +7,404

JUL18 5Y NOTE   113.00 C   56,554       -1   113.00 P   52,194    -837

JUL18 5Y NOTE   113.50 C   45,493   -1,000   113.50 P   36,546    -531

SEP18 5Y NOTE   113.00 C    5,306     -385   113.00 P   10,878    -135

SEP18 5Y NOTE   113.50 C   23,391     +299   113.50 P   18,965     +32

JUL18 2Y NOTE   106.00 C    1,483      -20   106.00 P    2,654    UNCH

JUL18 2Y NOTE   106.12 C   31,957     +150   106.12 P      201    UNCH

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

SEP18 2Y NOTE   106.12 C       85      +20   106.12 P       30    UNCH

JUN18 EURODLR    97.75 C  358,985     -798    97.75 P  373,440    UNCH

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

JUL18 EURODLR    97.50 C   38,830     +475    97.50 P  116,854 +25,195

JUL18 EURODLR    97.62 C   71,383     +800    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   46,181   -2,281    97.00 P   95,828    -700

JUN20 2Y-MIDC    97.12 C   82,120   +1,399    97.12 P   99,459    UNCH

JUN21 3Y-MIDC    96.87 C   22,438     UNCH    96.87 P   47,315     +51

JUN21 3Y-MIDC    97.00 C   63,360     +999    97.00 P   69,418    UNCH

     PUT/CALL RATIO FOR VOLUME CLEARED:

     JUL18 10Y NOTE PUT/CALL RATIO  -- 0.84 (123,791 PUTS VS. 147,518 CALLS)

SEP18 10Y NOTE PUT/CALL RATIO  -- 0.46 (64,198 PUTS VS. 140,407 CALLS)

JUL18 5Y NOTE PUT/CALL RATIO   -- 4.13 (47,472 PUTS VS. 11,488 CALLS)

SEP18 5Y NOTE PUT/CALL RATIO   -- 0.96 (8,585 PUTS VS. 8,927 CALLS)

JUL18 2Y NOTE PUT/CALL RATIO   -- 0.62 (231 PUTS VS. 372 CALLS)

SEP18 2Y NOTE PUT/CALL RATIO   -- 0.00 (0 PUTS VS. 101 CALLS)

JUN18 EURODLRS PUT/CALL RATIO  -- 2.37 (11,512 PUTS VS. 4,850 CALLS)

JUL18 EURODLRS PUT/CALL RATIO  -- 10.9 (58,632 PUTS VS. 5,350 CALLS)

JUN19 1Y-MIDCRVE PUT/CALL RATIO-- 2.04 (90,125 PUTS VS. 44,100 CALLS)

JUN20 2Y-MIDCRVE PUT/CALL RATIO-- 0.43 (3,850 PUTS VS. 8,950 CALLS)

JUN21 3Y-MIDCRVE PUT/CALL RATIO-- 4.50 (6,750 PUTS VS. 1,500 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 OPEN     50.78    60.81    61.53    62.56    70.83    75.29

TUE 3:00     51.39    61.08    61.86    62.87    71.20    75.50

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

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

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