US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JUN 21

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

            USN     USQ      TYN     TYQ     FVN     FVQ      EDN     EDU

THU OPEN   8.77%   6.67%    5.01%   3.59%   2.57%   2.34%   10.21    9.13%

WED 3:00   7.65%   6.53%    3.98%   3.62%   2.58%   2.31%    8.65%   8.73%

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

     LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

JUL18 10Y NOTE  121.00 C  108,791      -23   118.00 P  159,976    UNCH

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

JUL18 5Y NOTE   114.00 C   67,829     -340   113.00 P   42,451  -1,251

SEP18 5Y NOTE   114.25 C   48,376       +6   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    97.75 C   92,834     UNCH    97.50 P  113,711    -250

SEP18 EURODLR    97.75 C  265,481   +7,995    97.37 P  483,876    +810  

SEP19 1Y-MIDC    97.37 C  204,840     UNCH    97.12 P  426,384    +950

SEP20 2Y-MIDC    97.37 C  200,700     UNCH    97.00 P  377,571    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   56,760     UNCH   119.00 P   86,965  -6,003

JUL18 10Y NOTE  119.50 C   71,363   -1,312   119.50 P   59,909     +46

SEP18 10Y NOTE  119.00 C   24,236     -233   119.00 P   36,944    -462

SEP18 10Y NOTE  119.50 C   42,931     -508   119.50 P   39,640  +1,477

JUL18 5Y NOTE   113.00 C   49,554      +36   113.00 P   42,451  -1,251

JUL18 5Y NOTE   113.50 C   40,934   -7,367   113.50 P   40,212     -17

SEP18 5Y NOTE   113.00 C    5,328     +123   113.00 P   17,766    +997

SEP18 5Y NOTE   113.50 C   25,024      +46   113.50 P   21,577      -5

JUL18 2Y NOTE   106.00 C   25,725     UNCH   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    1,954     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   38,995     UNCH    97.50 P  113,711    -250

JUL18 EURODLR    97.62 C   92,619     -500    97.62 P   42,711    +200

SEP18 EURODLR    97.75 C  344,761  +78,280    97.75 P  223,707    UNCH

SEP18 EURODLR    97.87 C  127,870   +5,212    97.87 P  153,224    UNCH

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

SEP19 1Y-MIDC    97.50 C  133,991   +1,500    97.50 P  114,324    UNCH

SEP20 2Y-MIDC    97.00 C   93,078  +18,074    97.00 P  377,571    UNCH

SEP20 2Y-MIDC    97.12 C   81,141     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   25,579     UNCH    97.00 P   34,439    UNCH

     PUT/CALL RATIO FOR VOLUME CLEARED:

     JUL18 10Y NOTE PUT/CALL RATIO  -- 1.08 (78,572 PUTS VS. 72,683 CALLS)

SEP18 10Y NOTE PUT/CALL RATIO  -- 2.03 (36,290 PUTS VS. 17,841 CALLS)

JUL18 5Y NOTE PUT/CALL RATIO   -- 0.53 (24,981 PUTS VS. 47,196 CALLS)

SEP18 5Y NOTE PUT/CALL RATIO   -- 1.88 (10,998 PUTS VS. 5,855 CALLS)

JUL18 2Y NOTE PUT/CALL RATIO   -- 0.42 (500 PUTS VS. 1,187 CALLS)

SEP18 2Y NOTE PUT/CALL RATIO   -- 0.00 (45 PUTS VS. 0 CALLS)

JUL18 EURODLRS PUT/CALL RATIO  -- 1.08 (3,250 PUTS VS. 3,000 CALLS)

SEP18 EURODLRS PUT/CALL RATIO  -- 0.23 (102,388 PUTS VS. 447,072 CALLS)

SEP19 1Y-MIDCRVE PUT/CALL RATIO-- 1.27 (21,300 PUTS VS. 16,800 CALLS)

SEP20 2Y-MIDCRVE PUT/CALL RATIO-- 18.3 (41,250 PUTS VS. 2,250 CALLS)

SEP21 3Y-MIDCRVE PUT/CALL RATIO-- 2.00 (8,000 PUTS VS. 4,000 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

THU OPEN     48.08    57.32    59.21    61.06    69.25    74.22

WED 3:00     47.73    57.47    58.61    60.57    69.17    74.16

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

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

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