US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JUN 27

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

            USQ     USU      TYQ     TYU      FVQ     FVU      EDN     EDU

11:00      6.58%   6.93%    3.57%   3.76%    2.37%   2.47%   12.87%   9.45%

WED OPEN   6.61%   6.94%    3.59%   3.78%    2.48%   2.52%   11.28%   8.85%

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

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%

     LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

AUG18 10Y NOTE  121.00 C  100,892   -1,411   118.50 P   99,928  +8,916

SEP18 10Y NOTE  120.00 C  140,405   +1,381   117.50 P   59,125    +605

AUG18 5Y NOTE   113.75 C   45,865     -613   112.50 P   32,783    -565

SEP18 5Y NOTE   114.25 C   54,947       +1   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  113,961    +250

SEP18 EURODLR    97.75 C  345,511   -1,000    97.37 P  491,637    -250

SEP19 1Y-MIDC    97.37 C  210,990   +2,800    97.12 P  418,472  -1,781

SEP20 2Y-MIDC    97.37 C  200,700     UNCH    97.00 P  343,752    -700

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     UNCH   119.00 P   49,288  +1,138

AUG18 10Y NOTE  119.50 C   34,855     -603   119.50 P   53,231  +1,457

SEP18 10Y NOTE  119.00 C   25,187     +221   119.00 P   38,250    +272

SEP18 10Y NOTE  119.50 C   44,339     -498   119.50 P   41,668    +787

AUG18 5Y NOTE   113.00 C    8,957     -500   113.00 P   17,795    -611

AUG18 5Y NOTE   113.50 C   30,389   +1,572   113.50 P   11,014  +2,207

SEP18 5Y NOTE   113.00 C    6,017     +714   113.00 P   17,277  -1,656

SEP18 5Y NOTE   113.50 C   27,855     -178   113.50 P   24,541    +500

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

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

SEP18 2Y NOTE   106.00 C    2,297     UNCH   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   39,246     +249    97.50 P  113,961    +250

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

SEP18 EURODLR    97.75 C  345,511   -1,000    97.75 P  223,707    UNCH

SEP18 EURODLR    97.87 C  127,754     UNCH    97.87 P  151,974    -200

SEP19 1Y-MIDC    97.37 C  210,990   +2,800    97.37 P   25,795    UNCH

SEP19 1Y-MIDC    97.50 C  163,744     -100    97.50 P  114,324    UNCH

SEP20 2Y-MIDC    97.00 C   94,517     -243    97.00 P  343,752    -700

SEP20 2Y-MIDC    97.12 C   81,616     UNCH    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     UNCH    97.00 P   34,410    UNCH

     PUT/CALL RATIO FOR VOLUME CLEARED:

     AUG18 10Y NOTE PUT/CALL RATIO  -- 0.61 (74,360 PUTS VS. 121,686 CALLS)

SEP18 10Y NOTE PUT/CALL RATIO  -- 0.64 (34,194 PUTS VS. 53,155 CALLS)

AUG18 5Y NOTE PUT/CALL RATIO   -- 0.61 (19,070 PUTS VS. 31,286 CALLS)

SEP18 5Y NOTE PUT/CALL RATIO   -- 1.89 (14,036 PUTS VS. 7,436 CALLS)

AUG18 2Y NOTE PUT/CALL RATIO   -- 0.20 (172 PUTS VS. 871 CALLS)

SEP18 2Y NOTE PUT/CALL RATIO   -- 0.21 (1,032 PUTS VS. 4,863 CALLS)

JUL18 EURODLRS PUT/CALL RATIO  -- 16.9 (4,251 PUTS VS. 252 CALLS)

SEP18 EURODLRS PUT/CALL RATIO  -- 4.24 (124,080 PUTS VS. 29,280 CALLS)

SEP19 1Y-MIDCRVE PUT/CALL RATIO-- 2.23 (63,350 PUTS VS. 28,400 CALLS)

SEP20 2Y-MIDCRVE PUT/CALL RATIO-- 4.78 (35,600 PUTS VS. 7,450 CALLS)

SEP21 3Y-MIDCRVE PUT/CALL RATIO-- 0.00 (0 PUTS VS. 1,700 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        48.91    57.19    59.78    61.17    69.45    74.26

WED OPEN     48.89    57.01    59.63    61.02    69.57    74.39

TUE 3:00     48.96    57.13    59.70    61.00    69.51    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

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

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