US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JUN 19

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

            USN     USQ      TYN     TYQ     FVN     FVQ      EDN     EDU

3:00       7.82%   6.76%    4.29%   3.68%   3.04%   2.42%    9.86%  10.37%

11:00      7.76%   6.81%    4.04%   3.69%   2.84%   2.40%    9.90%   9.72%

TUE OPEN   7.67%   6.80%    4.32%   3.79%   2.81%   2.38%    9.87%   9.71%

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

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  112,325   +1,144   118.00 P  159,976    UNCH

SEP18 10Y NOTE  120.00 C  124,670   +1,425   117.50 P   58,482    +337

JUL18 5Y NOTE   114.00 C   68,171   -4,024   113.00 P   40,859    +334

SEP18 5Y NOTE   114.25 C   48,270      -15   106.25 P   91,854    UNCH

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

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

JUL18 EURODLR    97.62 C   93,119  +21,266    97.50 P  113,859  -1,048

SEP18 EURODLR    97.75 C  258,486     -120    97.37 P  483,856    -233  

SEP19 1Y-MIDC    97.37 C  200,440   +1,321    97.12 P  401,684    UNCH

SEP20 2Y-MIDC    97.37 C  197,206     UNCH    97.00 P  369,127 +18,216

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   57,444     -143   119.00 P   94,485 -10,744

JUL18 10Y NOTE  119.50 C   73,503   +2,677   119.50 P   61,323  -1,311

SEP18 10Y NOTE  119.00 C   24,339     UNCH   119.00 P   37,406    +310

SEP18 10Y NOTE  119.50 C   43,588     -295   119.50 P   38,163    +309

JUL18 5Y NOTE   113.00 C   49,843   -2,676   113.00 P   40,859    +334

JUL18 5Y NOTE   113.50 C   47,923   +1,715   113.50 P   35,464     -27

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

SEP18 5Y NOTE   113.50 C   23,645     -215   113.50 P   19,052    UNCH

JUL18 2Y NOTE   106.00 C   25,725      +25   106.00 P    2,654    UNCH

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

SEP18 2Y NOTE   106.00 C    1,146     UNCH   106.00 P    3,090    UNCH

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

JUL18 EURODLR    97.50 C   39,045     +324    97.50 P  113,859  -1,048

JUL18 EURODLR    97.62 C   93,119  +21,266    97.62 P   42,711    UNCH

SEP18 EURODLR    97.75 C  258,486     -120    97.75 P  223,507    +199

SEP18 EURODLR    97.87 C  119,558  +23,399    97.87 P  153,224    +200

SEP19 1Y-MIDC    97.37 C  200,440   +1,321    97.37 P   25,795    UNCH

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

SEP20 2Y-MIDC    97.00 C   74,938   +1,500    97.00 P  369,127 +18,216

SEP20 2Y-MIDC    97.12 C   68,198     -200    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   25,704     +250    97.00 P   34,461    UNCH

     PUT/CALL RATIO FOR VOLUME CLEARED:

     JUL18 10Y NOTE PUT/CALL RATIO  -- 0.57 (59,189 PUTS VS. 103,118 CALLS)

SEP18 10Y NOTE PUT/CALL RATIO  -- 0.37 (14,848 PUTS VS. 40,300 CALLS)

JUL18 5Y NOTE PUT/CALL RATIO   -- 0.74 (25,265 PUTS VS. 34,025 CALLS)

SEP18 5Y NOTE PUT/CALL RATIO   -- 0.15 (1,955 PUTS VS. 12,797 CALLS)

JUL18 2Y NOTE PUT/CALL RATIO   -- 1.07 (406 PUTS VS. 378 CALLS)

SEP18 2Y NOTE PUT/CALL RATIO   -- 0.99 (783 PUTS VS. 789 CALLS)

JUL18 EURODLRS PUT/CALL RATIO  -- 0.11 (5,431 PUTS VS. 48,509 CALLS)

SEP18 EURODLRS PUT/CALL RATIO  -- 0.77 (110,003 PUTS VS. 142,052 CALLS)

SEP19 1Y-MIDCRVE PUT/CALL RATIO-- 3.10 (64,250 PUTS VS. 20,750 CALLS)

SEP20 2Y-MIDCRVE PUT/CALL RATIO-- 17.6 (72,900 PUTS VS. 4,150 CALLS)

SEP21 3Y-MIDCRVE PUT/CALL RATIO-- 1.84 (14,250 PUTS VS. 7,750 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         47.37    57.88    58.40    60.48    69.01    73.82

11:00        47.28    58.10    58.26    60.55    68.96    73.72

TUE OPEN     47.03    57.92    58.04    60.34    69.00    73.75

MON 3:00     47.06    57.44    57.71    60.07    69.02    73.87

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$]