US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JUN 14

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

            USN     USQ      TYN     TYQ     FVN     FVQ     EDM      EDN

THU OPEN   7.26%   6.97%    3.57%   3.72%   2.32%   2.39%   10.67%   11.08%

WED 3:00   7.22%   7.12%    3.72%   3.77%   2.63%   2.47%    9.28%   11.84%

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%

     LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

JUL18 10Y NOTE  121.00 C  112,361   -4,530   118.00 P  123,478    +107

SEP18 10Y NOTE  120.00 C  125,830   +2,574   117.50 P   56,237     +40

JUL18 5Y NOTE   114.00 C   62,769      +18   113.00 P   51,447    -747

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

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

SEP18 2Y NOTE   106.80 C    5,000     UNCH   105.75 P    8,830  +2,563

JUN18 EURODLR    98.00 C  373,361     UNCH    97.50 P  502,309  -2,161  

JUL18 EURODLR    97.75 C  103,752   -2,722    97.50 P  115,261  -1,593

JUN19 1Y-MIDC    98.12 C  219,693     UNCH    97.00 P  354,620 -11,850

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  145,159    -522

     NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

JUL18 10Y NOTE  119.00 C   57,936     +552   119.00 P  114,104    -798

JUL18 10Y NOTE  119.50 C   73,712   -3,728   119.50 P   77,867    -811

SEP18 10Y NOTE  119.00 C   23,007   +1,472   119.00 P   37,841  -1,435

SEP18 10Y NOTE  119.50 C   45,780   +1,328   119.50 P   39,206  +7,404

JUL18 5Y NOTE   113.00 C   56,917     +363   113.00 P   51,447    -747

JUL18 5Y NOTE   113.50 C   44,636     -857   113.50 P   36,470     -76

SEP18 5Y NOTE   113.00 C    5,308       +2   113.00 P   11,745    +867

SEP18 5Y NOTE   113.50 C   23,590     +199   113.50 P   19,072    +107

JUL18 2Y NOTE   106.00 C   10,105   +8,622   106.00 P    2,654    UNCH

JUL18 2Y NOTE   106.12 C   25,090   -6,867   106.12 P      201    UNCH

SEP18 2Y NOTE   106.00 C    1,144     +650   106.00 P    3,240  -7,961

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

JUN18 EURODLR    97.75 C  369,926  +10,941    97.75 P  372,941    -499

JUN18 EURODLR    97.87 C  369,147     UNCH    97.87 P  297,353  -9,699

JUL18 EURODLR    97.50 C   38,721     -109    97.50 P  115,261  -1,593

JUL18 EURODLR    97.62 C   71,483     +100    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  103,226 -19,359

JUN20 2Y-MIDC    97.00 C   49,431   +3,250    97.00 P   98,578  +2,750

JUN20 2Y-MIDC    97.12 C   82,140      +20    97.12 P   99,459    UNCH

JUN21 3Y-MIDC    96.87 C   22,888     +450    96.87 P   47,959    +644

JUN21 3Y-MIDC    97.00 C   62,535     -825    97.00 P   69,418    UNCH

     PUT/CALL RATIO FOR VOLUME CLEARED:

     JUL18 10Y NOTE PUT/CALL RATIO  -- 1.18 (130,825 PUTS VS. 110,778 CALLS)

SEP18 10Y NOTE PUT/CALL RATIO  -- 1.49 (64,988 PUTS VS. 43,678 CALLS)

JUL18 5Y NOTE PUT/CALL RATIO   -- 2.36 (48,983 PUTS VS. 20,734 CALLS)

SEP18 5Y NOTE PUT/CALL RATIO   -- 3.27 (32,010 PUTS VS. 9,792 CALLS)

JUL18 2Y NOTE PUT/CALL RATIO   -- 0.11 (2,163 PUTS VS. 20,058 CALLS)

SEP18 2Y NOTE PUT/CALL RATIO   -- 6.79 (23,224 PUTS VS. 3,421 CALLS)

JUN18 EURODLRS PUT/CALL RATIO  -- 1.89 (24,402 PUTS VS. 12,928 CALLS)

JUL18 EURODLRS PUT/CALL RATIO  -- 1.06 (6,756 PUTS VS. 6,350 CALLS)

JUN19 1Y-MIDCRVE PUT/CALL RATIO-- 1.03 (71,919 PUTS VS. 70,000 CALLS)

JUN20 2Y-MIDCRVE PUT/CALL RATIO-- 4.07 (41,230 PUTS VS. 10,125 CALLS)

JUN21 3Y-MIDCRVE PUT/CALL RATIO-- 15.2 (19,050 PUTS VS. 1,250 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

THU OPEN     49.01    58.16    59.60    61.18    70.02    74.69

WED 3:00     49.41    60.30    60.68    62.04    70.70    75.29

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

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

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