US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JUN 26

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

            USQ     USU      TYQ     TYU      FVQ     FVU      EDN     EDU

3:00       6.57%   6.92%    3.54%   3.75%    2.40%   2.48%    9.38%   8.81%

12:00      6.59%   6.93%    3.64%   3.83%    2.43%   2.50%    9.35%   8.22%

TUE OPEN   6.68%   7.01%    3.74%   3.86%    2.47%   2.53%   11.65%   9.79%

MON 3:00   6.72%   7.01%    3.76%   3.88%    2.54%   2.54%    8.83%   8.56%

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

FRI 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%

     LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

AUG18 10Y NOTE  121.00 C  102,313   +4,806   118.50 P   91,012  -2,125

SEP18 10Y NOTE  120.00 C  139,024  +11,325   117.50 P   58,520  -5,599

AUG18 5Y NOTE   113.75 C   46,478   +2,895   112.50 P   33,348      -4

SEP18 5Y NOTE   114.25 C   54,946     -725   106.25 P   91,854    UNCH

AUG18 2Y NOTE   106.12 C   44,086     UNCH   105.50 P   37,435    UNCH

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

JUL18 EURODLR    97.75 C   92,584     UNCH    97.50 P  113,711    UNCH

SEP18 EURODLR    97.75 C  346,511     UNCH    97.37 P  491,887    UNCH

SEP19 1Y-MIDC    97.37 C  208,190   +3,350    97.12 P  420,503    +125

SEP20 2Y-MIDC    97.37 C  200,700     UNCH    97.00 P  344,452 -15,000

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

     NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

AUG18 10Y NOTE  119.00 C   19,235      -85   119.00 P   48,150  -2,483

AUG18 10Y NOTE  119.50 C   35,584      +53   119.50 P   51,774  +5,584

SEP18 10Y NOTE  119.00 C   24,966     +189   119.00 P   37,978    -129

SEP18 10Y NOTE  119.50 C   44,837       +1   119.50 P   40,881    -406

AUG18 5Y NOTE   113.00 C    9,457      -38   113.00 P   18,406    +116

AUG18 5Y NOTE   113.50 C   28,817      -51   113.50 P    8,807  +1,463

SEP18 5Y NOTE   113.00 C    5,303     -103   113.00 P   18,933  +1,474

SEP18 5Y NOTE   113.50 C   28,033     +650   113.50 P   24,041    +343

AUG18 2Y NOTE   106.00 C    9,452     UNCH   106.00 P    4,200     +15

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

SEP18 2Y NOTE   106.00 C    2,297     +343   106.00 P    3,090    UNCH

SEP18 2Y NOTE   106.12 C    2,067     UNCH   106.12 P       16    UNCH

JUL18 EURODLR    97.50 C   38,997       +1    97.50 P  113,711    UNCH

JUL18 EURODLR    97.62 C   92,127     UNCH    97.62 P   42,836    UNCH

SEP18 EURODLR    97.75 C  346,511     UNCH    97.75 P  223,707    UNCH

SEP18 EURODLR    97.87 C  127,754     +134    97.87 P  152,174  -1,050

SEP19 1Y-MIDC    97.37 C  208,190   +3,350    97.37 P   25,795    UNCH

SEP19 1Y-MIDC    97.50 C  163,844   +8,970    97.50 P  114,324    UNCH

SEP20 2Y-MIDC    97.00 C   94,760     +154    97.00 P  344,452 -15,000

SEP20 2Y-MIDC    97.12 C   81,616     -125    97.12 P   71,852    UNCH

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

SEP21 3Y-MIDC    97.00 C   27,558     -125    97.00 P   34,410    -125

     PUT/CALL RATIO FOR VOLUME CLEARED:

     AUG18 10Y NOTE PUT/CALL RATIO  -- 0.30 (110,007 PUTS VS. 368,100 CALLS)

SEP18 10Y NOTE PUT/CALL RATIO  -- 0.33 (78,143 PUTS VS. 237,233 CALLS)

AUG18 5Y NOTE PUT/CALL RATIO   -- 0.26 (7,843 PUTS VS. 29,890 CALLS)

SEP18 5Y NOTE PUT/CALL RATIO   -- 2.14 (22,071 PUTS VS. 10,307 CALLS)

AUG18 2Y NOTE PUT/CALL RATIO   -- 2.34 (8,015 PUTS VS. 3,421 CALLS)

SEP18 2Y NOTE PUT/CALL RATIO   -- 0.08 (41 PUTS VS. 526 CALLS)

JUL18 EURODLRS PUT/CALL RATIO  -- 0.00 (1 PUTS VS. 0 CALLS)

SEP18 EURODLRS PUT/CALL RATIO  -- 0.87 (2,050 PUTS VS. 2,350 CALLS)

SEP19 1Y-MIDCRVE PUT/CALL RATIO-- 0.98 (23,000 PUTS VS. 23,500 CALLS)

SEP20 2Y-MIDCRVE PUT/CALL RATIO-- 17.8 (16,000 PUTS VS. 900 CALLS)

SEP21 3Y-MIDCRVE PUT/CALL RATIO-- 0.00 (0 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

3:00         48.96    57.13    59.70    61.00    69.51    74.35

12:00        49.02    57.63    59.89    61.33    69.49    74.35

TUE OPEN     48.97    57.95    59.93    61.57    69.53    74.35

MON 3:00     48.73    57.81    59.93    61.54    69.50    74.32

MON OPEN     48.47    57.51    59.68    61.34    69.45    74.30

FRI 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

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

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