US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JUN 18

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

            USN     USQ      TYN     TYQ     FVN     FVQ      EDN     EDU

3:00       7.31%   6.77%    4.17%   3.66%   2.31%   2.31%    8.51%   9.26%

11:00      7.72%   6.81%    3.97%   3.64%   2.56%   2.33%   11.10%  10.14%

MON OPEN   8.07%   6.98%    4.24%   3.75%   2.51%   2.34%    8.46%   9.24%

FRI 3:00   6.68%   6.77%    3.35%   3.62%   2.32%   2.33%   10.80%    N/A

FRI OPEN   7.01%   6.79%    3.62%   3.66%   2.24%   2.34%    9.78%    N/A

THU 3:00   6.63%   6.71%    3.29%   3.59%   2.21%   2.31%   10.23%    N/A

THU OPEN   7.26%   6.97%    3.57%   3.72%   2.32%   2.39%   11.08%    N/A

WED 3:00   7.22%   7.12%    3.72%   3.77%   2.63%   2.47%   11.84%    N/A

WED OPEN   8.09%   7.34%    4.40%   3.91%   2.97%   2.59%   12.60%    N/A

TUE 3:00   7.84%   7.36%    4.40%   4.02%   2.91%   2.64%   13.58%    N/A

TUE OPEN   8.52%   7.66%    4.49%   4.09%   2.97%   2.70%   12.76%    N/A

     LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

JUL18 10Y NOTE  121.00 C  111,208   -1,118   118.00 P  159,976    -432

SEP18 10Y NOTE  120.00 C  123,245     -128   117.50 P   58,145  +2,228

JUL18 5Y NOTE   114.00 C   72,195   +5,991   113.00 P   40,525  -5,206

SEP18 5Y NOTE   114.25 C   48,285      -17   106.25 P   91,854    UNCH

JUL18 2Y NOTE   106.37 C   94,294     UNCH   105.67 P    8,179    -364

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

JUL18 EURODLR    97.75 C  103,174     -578    97.50 P  114,907    -854

SEP18 EURODLR    97.75 C  258,606   +1,813    97.37 P  484,089  -9,150  

SEP19 1Y-MIDC    97.37 C  199,119     UNCH    97.12 P  401,684 +62,468

SEP20 2Y-MIDC    97.37 C  197,206     UNCH    97.00 P  350,911    UNCH

SEP21 3Y-MIDC    97.62 C   56,829     UNCH    97.62 P   36,351    UNCH

     NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

JUL18 10Y NOTE  119.00 C   57,587       -1   119.00 P  105,229  -8,166

JUL18 10Y NOTE  119.50 C   70,826   -1,949   119.50 P   62,634 -12,890

SEP18 10Y NOTE  119.00 C   24,339     +408   119.00 P   37,096    -139

SEP18 10Y NOTE  119.50 C   43,883     -422   119.50 P   37,854    -267

JUL18 5Y NOTE   113.00 C   52,519   -1,587   113.00 P   40,525  -5,206

JUL18 5Y NOTE   113.50 C   46,208     +616   113.50 P   35,491      -3

SEP18 5Y NOTE   113.00 C    5,304     UNCH   113.00 P   13,800    +120

SEP18 5Y NOTE   113.50 C   23,860     +172   113.50 P   19,052     -20

JUL18 2Y NOTE   106.00 C   25,700  +15,595   106.00 P    2,654    UNCH

JUL18 2Y NOTE   106.12 C   25,400     +300   106.12 P      201    UNCH

SEP18 2Y NOTE   106.00 C    1,146       +1   106.00 P    3,090    -100

SEP18 2Y NOTE   106.12 C       89     UNCH   106.12 P       16    UNCH

JUL18 EURODLR    97.50 C   38,721     UNCH    97.50 P  114,907    -854

JUL18 EURODLR    97.62 C   71,853     -611    97.62 P   42,711    -273

SEP18 EURODLR    97.75 C  258,606   +1,813    97.75 P  223,308    +400

SEP18 EURODLR    97.87 C   96,159   +1,556    97.87 P  153,024    +200

SEP19 1Y-MIDC    97.37 C  199,119     UNCH    97.37 P   25,795    UNCH

SEP19 1Y-MIDC    97.50 C  133,331   +1,350    97.50 P  114,324    UNCH

SEP20 2Y-MIDC    97.00 C   73,438     +543    97.00 P  350,911    UNCH

SEP20 2Y-MIDC    97.12 C   68,398     UNCH    97.12 P   70,742    UNCH

SEP21 3Y-MIDC    96.87 C    9,822     UNCH    96.87 P   22,400    UNCH

SEP21 3Y-MIDC    97.00 C   25,854     +400    97.00 P   34,461    UNCH

     PUT/CALL RATIO FOR VOLUME CLEARED:

     JUL18 10Y NOTE PUT/CALL RATIO  -- 0.57 (115,322 PUTS VS. 203,581 CALLS)

SEP18 10Y NOTE PUT/CALL RATIO  -- 0.49 (20,041 PUTS VS. 41,213 CALLS)

JUL18 5Y NOTE PUT/CALL RATIO   -- 0.57 (42,115 PUTS VS. 73,721 CALLS)

SEP18 5Y NOTE PUT/CALL RATIO   -- 0.39 (6,496 PUTS VS. 16,683 CALLS)

JUL18 2Y NOTE PUT/CALL RATIO   -- 0.01 (206 PUTS VS. 19,266 CALLS)

SEP18 2Y NOTE PUT/CALL RATIO   -- 0.64 (480 PUTS VS. 750 CALLS)

JUL18 EURODLRS PUT/CALL RATIO  -- 0.28 (1,700 PUTS VS. 6,100 CALLS)

SEP18 EURODLRS PUT/CALL RATIO  -- 1.13 (81,252 PUTS VS. 71,816 CALLS)

SEP19 1Y-MIDCRVE PUT/CALL RATIO-- 66.4 (159,400 PUTS VS. 2,400 CALLS)

SEP20 2Y-MIDCRVE PUT/CALL RATIO-- 39.6 (41,550 PUTS VS. 1,050 CALLS)

SEP21 3Y-MIDCRVE PUT/CALL RATIO-- 0.00 (0 PUTS VS. 1,000 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         47.06    57.44    57.71    60.07    69.02    73.87

11:00        47.15    57.73    57.87    60.20    69.00    73.82

MON OPEN     47.28    57.39    57.97    60.28    69.00    73.79

FRI 3:00     46.96    56.80    57.59    59.88    69.10    73.90

FRI OPEN     46.94    56.39    57.63    59.94    69.22    73.98

THU 3:00     53.62    66.56    58.86    60.59    69.64    74.18

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

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

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