US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JUN 20

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

            USN     USQ      TYN     TYQ     FVN     FVQ      EDN     EDU

11:00      7.40%   6.66%    4.13%   3.64%   2.56%   2.32%   10.80%   9.54%

WED OPEN   7.98%   6.66%    4.00%   3.68%   2.56%   2.34%   10.99%   9.34%

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

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

     LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

JUL18 10Y NOTE  121.00 C  108,814   -3,538   118.00 P  159,976    UNCH

SEP18 10Y NOTE  120.00 C  125,740   +1,070   117.50 P   58,488      +6

JUL18 5Y NOTE   114.00 C   68,169       -2   113.00 P   43,702  +2,843

SEP18 5Y NOTE   114.25 C   48,370     +100   106.25 P   91,854    UNCH

JUL18 2Y NOTE   106.37 C   94,294     UNCH   105.67 P    8,035    UNCH

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

JUL18 EURODLR    97.62 C   93,119     UNCH    97.50 P  113,961    +102

SEP18 EURODLR    97.75 C  265,481   +7,995    97.37 P  484,066    +210  

SEP19 1Y-MIDC    97.37 C  204,840   +4,400    97.12 P  425,434 +23,750

SEP20 2Y-MIDC    97.37 C  200,700   +3,494    97.00 P  377,571  +8,444

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   56,791     -527   119.00 P   92,969 -10,744

JUL18 10Y NOTE  119.50 C   72,675     -828   119.50 P   59,863  -1,460

SEP18 10Y NOTE  119.00 C   24,469     +130   119.00 P   36,944    -462

SEP18 10Y NOTE  119.50 C   43,439     -149   119.50 P   39,640  +1,477

JUL18 5Y NOTE   113.00 C   49,518     -325   113.00 P   43,702  +2,843

JUL18 5Y NOTE   113.50 C   48,301     +378   113.50 P   40,229  +4,765

SEP18 5Y NOTE   113.00 C    5,205     UNCH   113.00 P   16,769  +2,969

SEP18 5Y NOTE   113.50 C   24,978   +1,333   113.50 P   21,582  +2,530

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

JUL18 2Y NOTE   106.12 C   25,400     -150   106.12 P      201    UNCH

SEP18 2Y NOTE   106.00 C    1,954     +808   106.00 P    3,090    UNCH

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

JUL18 EURODLR    97.50 C   38,995      -50    97.50 P  113,961    +102

JUL18 EURODLR    97.62 C   93,119     UNCH    97.62 P   42,711    UNCH

SEP18 EURODLR    97.75 C  265,481   +7,995    97.75 P  223,507    UNCH

SEP18 EURODLR    97.87 C  122,658   +3,100    97.87 P  153,224    UNCH

SEP19 1Y-MIDC    97.37 C  204,840   +4,400    97.37 P   25,795    UNCH

SEP19 1Y-MIDC    97.50 C  132,491     -840    97.50 P  114,324    UNCH

SEP20 2Y-MIDC    97.00 C   75,004      +66    97.00 P  377,571  +8,444

SEP20 2Y-MIDC    97.12 C   81,141  +12,943    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   25,579     -125    97.00 P   34,439     -22

     PUT/CALL RATIO FOR VOLUME CLEARED:

     JUL18 10Y NOTE PUT/CALL RATIO  -- 0.41 (70,209 PUTS VS. 172,273 CALLS)

SEP18 10Y NOTE PUT/CALL RATIO  -- 1.68 (71,860 PUTS VS. 42,707 CALLS)

JUL18 5Y NOTE PUT/CALL RATIO   -- 0.54 (22,819 PUTS VS. 42,485 CALLS)

SEP18 5Y NOTE PUT/CALL RATIO   -- 1.34 (11,932 PUTS VS. 8,926 CALLS)

JUL18 2Y NOTE PUT/CALL RATIO   -- 0.04 (31 PUTS VS. 748 CALLS)

SEP18 2Y NOTE PUT/CALL RATIO   -- 0.40 (575 PUTS VS. 1,453 CALLS)

JUL18 EURODLRS PUT/CALL RATIO  -- 1.01 (403 PUTS VS. 400 CALLS)

SEP18 EURODLRS PUT/CALL RATIO  -- 1.60 (54,521 PUTS VS. 34,165 CALLS)

SEP19 1Y-MIDCRVE PUT/CALL RATIO-- 4.03 (99,250 PUTS VS. 24,600 CALLS)

SEP20 2Y-MIDCRVE PUT/CALL RATIO-- 1.25 (43,250 PUTS VS. 34,550 CALLS)

SEP21 3Y-MIDCRVE PUT/CALL RATIO-- 0.00 (12,200 PUTS VS. 12,200 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

11:00        47.59    57.58    58.53    60.47    69.12    74.03

WED OPEN     47.71    58.00    58.62    60.63    69.11    74.01

TUE 3:00     47.37    57.88    58.40    60.48    69.01    73.82

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

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

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