US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JUN 29

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

            USQ     USU      TYQ     TYU      FVQ     FVU      EDN     EDU

3:00       6.31%   6.55%    3.42%   3.64%    2.37%   2.43%   10.33%   8.49%

FRI OPEN   6.46%   6.83%    3.57%   3.73%    2.41%   2.47%   10.95%   8.76%

THU 3:00   6.58%   6.93%    3.64%   3.83%    2.45%   2.52%   10.88%   8.39%

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%

     LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

AUG18 10Y NOTE  121.00 C  103,984   -1,395   118.50 P  104,449    -726

SEP18 10Y NOTE  122.00 C  143,962   +1,912   117.50 P   62,928     -51

AUG18 5Y NOTE   114.00 C   50,496   +6,730   112.50 P   32,962    +178

SEP18 5Y NOTE   114.25 C   54,447     UNCH   106.25 P   91,842    UNCH

AUG18 2Y NOTE   106.12 C   43,986     -100   105.50 P   14,613    +100

SEP18 2Y NOTE   106.80 C    6,005   +1,000   105.75 P    8,891     +61

JUL18 EURODLR    97.75 C   92,584     UNCH    97.50 P  113,961    UNCH

SEP18 EURODLR    97.75 C  334,330  -14,343    97.37 P  499,479     +30

SEP19 1Y-MIDC    97.37 C  211,240     +250    97.12 P  421,920  +3,514

SEP20 2Y-MIDC    97.37 C  204,200   +2,000    97.00 P  342,427    -825

SEP21 3Y-MIDC    97.37 C   51,051     UNCH    96.75 P   37,954    UNCH

     NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

AUG18 10Y NOTE  119.00 C   19,240     UNCH   119.00 P   51,973  +1,540

AUG18 10Y NOTE  119.50 C   35,079     +150   119.50 P   65,974    +730

SEP18 10Y NOTE  119.00 C   25,180     +177   119.00 P   40,814  -1,674

SEP18 10Y NOTE  119.50 C   42,410      +14   119.50 P   40,060    -308

AUG18 5Y NOTE   113.00 C    8,957     UNCH   113.00 P   18,742     -32

AUG18 5Y NOTE   113.50 C   31,868     +103   113.50 P   11,874    UNCH

SEP18 5Y NOTE   113.00 C    5,983      -86   113.00 P   22,031  +4,777

SEP18 5Y NOTE   113.50 C   27,728     -752   113.50 P   25,224    +185

AUG18 2Y NOTE   106.00 C    9,962     +437   106.00 P    4,184     -16

AUG18 2Y NOTE   106.12 C   43,986     -100   106.12 P       15    UNCH

SEP18 2Y NOTE   106.00 C    2,397     UNCH   106.00 P    3,090    UNCH

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

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

JUL18 EURODLR    97.62 C   91,327     +700    97.62 P   42,836    UNCH

SEP18 EURODLR    97.75 C  334,330  -14,343    97.75 P  223,907    UNCH

SEP18 EURODLR    97.87 C  130,845   +2,591    97.87 P  150,489  -1,485

SEP19 1Y-MIDC    97.37 C  211,240     +250    97.37 P   25,795    UNCH

SEP19 1Y-MIDC    97.50 C  164,493     +205    97.50 P  114,324    UNCH

SEP20 2Y-MIDC    97.00 C   94,491     UNCH    97.00 P  342,427    -825

SEP20 2Y-MIDC    97.12 C   90,181   +1,300    97.12 P   71,852    UNCH

SEP21 3Y-MIDC    96.87 C    9,822     UNCH    96.87 P   21,681    -581

SEP21 3Y-MIDC    97.00 C   28,058     UNCH    97.00 P   36,054  +1,400

     PUT/CALL RATIO FOR VOLUME CLEARED:

     AUG18 10Y NOTE PUT/CALL RATIO  -- 0.74 (57,510 PUTS VS. 77,932 CALLS)

SEP18 10Y NOTE PUT/CALL RATIO  -- 0.42 (33,407 PUTS VS. 78,713 CALLS)

AUG18 5Y NOTE PUT/CALL RATIO   -- 0.14 (7,349 PUTS VS. 51,743 CALLS)

SEP18 5Y NOTE PUT/CALL RATIO   -- 1.13 (30,710 PUTS VS. 27,198 CALLS)

AUG18 2Y NOTE PUT/CALL RATIO   -- 2.28 (5,066 PUTS VS. 2,219 CALLS)

SEP18 2Y NOTE PUT/CALL RATIO   -- 2.61 (6,569 PUTS VS. 2,521 CALLS)

JUL18 EURODLRS PUT/CALL RATIO  -- 0.75 (750 PUTS VS. 1,000 CALLS)

SEP18 EURODLRS PUT/CALL RATIO  -- 0.43 (27,882 PUTS VS. 64,233 CALLS)

SEP19 1Y-MIDCRVE PUT/CALL RATIO-- 1.29 (9,900 PUTS VS. 7,650 CALLS)

SEP20 2Y-MIDCRVE PUT/CALL RATIO-- 2.21 (18,917 PUTS VS. 8,550 CALLS)

SEP21 3Y-MIDCRVE PUT/CALL RATIO-- 0.00 (0 PUTS VS. 2,798 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         50.13    55.55    60.52    61.02    69.79    74.52

FRI OPEN     50.27    56.19    61.07    61.66    69.90    74.58

THU 3:00     49.98    56.75    60.72    61.59    69.73    74.35

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

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

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