US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JUN 28

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

            USQ     USU      TYQ     TYU      FVQ     FVU      EDN     EDU

11:00      6.70%   6.98%    3.63%   3.82%    2.47%   2.53%   12.50%   9.50%

THU OPEN   6.86%   7.11%    3.78%   3.91%    2.53%   2.55%   12.39%   9.31%

WED 3:00   6.71%   7.02%    3.67%   3.81%    2.50%   2.54%    8.84%   9.05%

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%

     LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

AUG18 10Y NOTE  121.00 C  105,379   +4,487   118.50 P  105,175  +5,247

SEP18 10Y NOTE  122.00 C  142,050  +11,470   117.50 P   62,979  +3,854

AUG18 5Y NOTE   113.75 C   47,749   +6,730   112.50 P   32,783      +1

SEP18 5Y NOTE   114.25 C   54,447     -500   106.25 P   91,842     -12

AUG18 2Y NOTE   106.12 C   44,086     UNCH   105.50 P   14,513 -22,922

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    UNCH

SEP18 EURODLR    97.75 C  348,673   +3,162    97.37 P  499,449  +7,812

SEP19 1Y-MIDC    97.37 C  210,990     UNCH    97.12 P  418,406     -66

SEP20 2Y-MIDC    97.37 C  202,200   +1,500    97.00 P  343,252    -500

SEP21 3Y-MIDC    97.37 C   51,551     UNCH    96.75 P   37,954  +7,650

     NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

AUG18 10Y NOTE  119.00 C   19,240       +5   119.00 P   50,833  +1,545

AUG18 10Y NOTE  119.50 C   34,929      +74   119.50 P   65,944 +12,713

SEP18 10Y NOTE  119.00 C   25,003     -184   119.00 P   42,488  +4,238

SEP18 10Y NOTE  119.50 C   42,396   -1,943   119.50 P   40,368  -1,300

AUG18 5Y NOTE   113.00 C    8,957     UNCH   113.00 P   18,774    +979

AUG18 5Y NOTE   113.50 C   31,765   +1,376   113.50 P   11,874    +860

SEP18 5Y NOTE   113.00 C    6,069      +52   113.00 P   17,254     -23

SEP18 5Y NOTE   113.50 C   28,480     +625   113.50 P   25,039    +498

AUG18 2Y NOTE   106.00 C    9,525      +73   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    2,397     +100   106.00 P    3,090    UNCH

SEP18 2Y NOTE   106.12 C    2,667     +600   106.12 P       16    UNCH

JUL18 EURODLR    97.50 C   39,246     UNCH    97.50 P  113,961    UNCH

JUL18 EURODLR    97.62 C   90,627   -1,500    97.62 P   42,836    UNCH

SEP18 EURODLR    97.75 C  348,673   +3,162    97.75 P  223,907    +200

SEP18 EURODLR    97.87 C  128,254     +500    97.87 P  151,974    UNCH

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

SEP19 1Y-MIDC    97.50 C  164,288     +544    97.50 P  114,324    UNCH

SEP20 2Y-MIDC    97.00 C   94,491      +74    97.00 P  343,252    -500

SEP20 2Y-MIDC    97.12 C   88,881   +7,265    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   28,058     +500    97.00 P   34,654    +244

     PUT/CALL RATIO FOR VOLUME CLEARED:

     AUG18 10Y NOTE PUT/CALL RATIO  -- 0.54 (98,337 PUTS VS. 182,947 CALLS)

SEP18 10Y NOTE PUT/CALL RATIO  -- 0.70 (70,017 PUTS VS. 100,230 CALLS)

AUG18 5Y NOTE PUT/CALL RATIO   -- 0.31 (23,487 PUTS VS. 75,661 CALLS)

SEP18 5Y NOTE PUT/CALL RATIO   -- 0.95 (31,123 PUTS VS. 32,728 CALLS)

AUG18 2Y NOTE PUT/CALL RATIO   -- 7.48 (35,782 PUTS VS. 4,781 CALLS)

SEP18 2Y NOTE PUT/CALL RATIO   -- 0.01 (11 PUTS VS. 956 CALLS)

JUL18 EURODLRS PUT/CALL RATIO  -- 0.23 (500 PUTS VS. 2,200 CALLS)

SEP18 EURODLRS PUT/CALL RATIO  -- 1.80 (83,901 PUTS VS. 46,552 CALLS)

SEP19 1Y-MIDCRVE PUT/CALL RATIO-- 2.38 (15,950 PUTS VS. 6,700 CALLS)

SEP20 2Y-MIDCRVE PUT/CALL RATIO-- 2.70 (35,100 PUTS VS. 13,000 CALLS)

SEP21 3Y-MIDCRVE PUT/CALL RATIO-- 0.00 (28,000 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

11:00        49.33    57.17    60.53    61.62    69.62    74.22

THU OPEN     49.33    57.29    60.62    61.78    69.62    74.28

WED 3:00     49.02    57.56    59.93    61.29    69.43    74.23

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

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

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