US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JUN 25

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

            USQ     USU      TYQ     TYU      FVQ     FVU      EDN     EDU

MON OPEN   6.67%   6.98%    3.69%   3.83%    2.47%   2.49%   11.37%   8.92%

3:00       6.47%    N/A     3.61%    N/A     2.31%    N/A     7.84%   7.65%    

FRI OPEN   6.57%    N/A     3.73%    N/A     2.40%    N/A     8.57%   8.08%

THU 3:00   6.68%    N/A     3.71%    N/A     2.42%    N/A     7.07%   7.64%

THU OPEN   6.67%    N/A     3.59%    N/A     2.34%    N/A    10.21%   9.13%

WED 3:00   6.53%    N/A     3.62%    N/A     2.31%    N/A     8.65%   8.73%

WED OPEN   6.66%    N/A     3.68%    N/A     2.34%    N/A    10.99%   9.34%

TUE 3:00   6.76%    N/A     3.68%    N/A     2.42%    N/A     9.86%  10.37%

TUE OPEN   6.80%    N/A     3.79%    N/A     2.38%    N/A     9.87%   9.71%

MON 3:00   6.77%    N/A     3.66%    N/A     2.31%    N/A     8.51%   9.26%

MON OPEN   6.98%    N/A     3.75%    N/A     2.34%    N/A     8.46%   9.24%

     LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

AUG18 10Y NOTE  122.00 C  125,682   +3,132   118.50 P   93,137  +1,900

SEP18 10Y NOTE  120.00 C  127,699   +1,165   117.50 P   64,119  +1,419

AUG18 5Y NOTE   114.00 C   45,241      -18   112.50 P   33,352    +435

SEP18 5Y NOTE   114.25 C   55,671   +6,626   106.25 P   91,854    UNCH

AUG18 2Y NOTE   106.12 C   44,086  +23,850   105.50 P   37,435 +19,480

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

AUG18 EURODLR    97.62 C   92,607      -12    97.50 P  113,711    UNCH

SEP18 EURODLR    97.75 C  346,511   +2,250    97.37 P  491,887  +8,011  

SEP19 1Y-MIDC    97.37 C  204,840     UNCH    97.12 P  420,378    -450

SEP20 2Y-MIDC    97.37 C  200,700     UNCH    97.00 P  359,452    -575

SEP21 3Y-MIDC    97.37 C   51,551   +1,942    97.62 P   36,351    UNCH

     NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

AUG18 10Y NOTE  119.00 C   19,320     -148   119.00 P   50,633  +3,350

AUG18 10Y NOTE  119.50 C   35,531     -255   119.50 P   46,190  +4,261

SEP18 10Y NOTE  119.00 C   24,777     +541   119.00 P   37,789    -129

SEP18 10Y NOTE  119.50 C   44,836   +2,661   119.50 P   41,287  +3,220

AUG18 5Y NOTE   113.00 C    9,495     UNCH   113.00 P   18,290  +1,888

AUG18 5Y NOTE   113.50 C   28,868     -461   113.50 P    7,344    +393

SEP18 5Y NOTE   113.00 C    5,406       -9   113.00 P   17,459    -562

SEP18 5Y NOTE   113.50 C   27,383   +1,137   113.50 P   23,698  +1,719

AUG18 2Y NOTE   106.00 C    9,452     UNCH   106.00 P    4,185    UNCH

AUG18 2Y NOTE   106.12 C   44,086  +23,850   106.12 P       15    UNCH

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

SEP18 2Y NOTE   106.12 C    2,067   +1,978   106.12 P       16    UNCH

JUL18 EURODLR    97.50 C   38,996     UNCH    97.50 P  113,711    UNCH

JUL18 EURODLR    97.62 C   92,127     -480    97.62 P   42,836    +125

SEP18 EURODLR    97.75 C  346,511   +2,250    97.75 P  223,707    UNCH

SEP18 EURODLR    97.87 C  127,620     -250    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  154,874  +13,977    97.50 P  114,324    UNCH

SEP20 2Y-MIDC    97.00 C   94,606     +517    97.00 P  359,452    -575

SEP20 2Y-MIDC    97.12 C   81,741     +500    97.12 P   71,852  +1,474

SEP21 3Y-MIDC    96.87 C    9,822     UNCH    96.87 P   22,262    -138

SEP21 3Y-MIDC    97.00 C   27,683     +300    97.00 P   34,535     +96

     PUT/CALL RATIO FOR VOLUME CLEARED:

     AUG18 10Y NOTE PUT/CALL RATIO  -- 0.33 (51,277 PUTS VS. 154,188 CALLS)

SEP18 10Y NOTE PUT/CALL RATIO  -- 0.62 (24,804 PUTS VS. 39,783 CALLS)

AUG18 5Y NOTE PUT/CALL RATIO   -- 0.92 (22,594 PUTS VS. 24,503 CALLS)

SEP18 5Y NOTE PUT/CALL RATIO   -- 2.06 (38,005 PUTS VS. 18,435 CALLS)

AUG18 2Y NOTE PUT/CALL RATIO   -- 0.22 (22,143 PUTS VS. 100,678 CALLS)

SEP18 2Y NOTE PUT/CALL RATIO   -- 0.59 (2,577 PUTS VS. 4,371 CALLS)

JUL18 EURODLRS PUT/CALL RATIO  -- 4.44 (3,200 PUTS VS. 720 CALLS)

SEP18 EURODLRS PUT/CALL RATIO  -- 1.37 (71,247 PUTS VS. 51,828 CALLS)

SEP19 1Y-MIDCRVE PUT/CALL RATIO-- 1.21 (7,500 PUTS VS. 36,250 CALLS)

SEP20 2Y-MIDCRVE PUT/CALL RATIO-- 3.32 (8,300 PUTS VS. 2,500 CALLS)

SEP21 3Y-MIDCRVE PUT/CALL RATIO-- 0.00 (12,000 PUTS VS. 0 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

MON OPEN     48.47    57.51    59.68    61.34    69.45    74.30

3:00         48.20    57.36    59.22    60.97    69.33    74.30

FRI OPEN     48.36    57.58    59.39    61.23    69.35    74.21

THU 3:00     48.43    57.42    59.52    61.33    69.38    74.23

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

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

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