US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JUN 5

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

            USN     USQ      TYN     TYQ     FVN     FVQ     EDM      EDN

3:00       6.97%   6.90%    3.80%   3.76%   2.71%   2.45%   13.32%   12.60% 

11:00      7.06%   6.96%    3.84%   3.77%   2.61%   2.46%   13.23%   12.77%

TUE OPEN   7.14%   6.91%    3.91%   3.79%   2.61%   2.47%   14.05%   12.56%

MON 3:00   6.94%   6.98%    4.27%   3.88%   2.59%   2.49%   17.21%   17.76%

MON OPEN   7.15%   7.13%    4.20%   3.91%   2.69%   2.51%   13.98%   14.31%

FRI 3:00   7.21%   7.14%    3.94%   3.84%   2.62%   2.54%   14.74%   13.38% 

FRI OPEN   7.37%   7.29%    4.08%   3.86%   2.72%   2.60%   15.90%   14.12%

THU 3:00   7.66%   7.44%    4.34%   4.12%   3.01%   2.76%   15.52%   16.28%

THU OPEN   7.53%   7.40%    4.26%   4.07%   3.96%   2.70%   17.48%   15.69%

WED 3:00   7.74%   7.61%    4.35%   4.16%   3.07%   2.81%   17.22%   16.48%

WED 12:30  7.69%   7.57%    4.24%   4.09%   3.04%   2.75%   17.29%   16.07%

TUE 3:00   8.50%   7.98%    4.60%   4.34%   1.59%   3.01%   17.69%   18.86%

TUE 9:30   7.43%   7.25%    4.15%   3.92%   2.81%   2.57%   15.79%   15.48%

     LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

JUL18 10Y NOTE  120.00 C  107,045   -1,397   118.00 P  132,760  +4,346

SEP18 10Y NOTE  121.00 C   38,262     +619   117.00 P   50,428  +1,211

JUL18 5Y NOTE   114.00 C   59,389  +14,669   113.00 P   53,603  +5,467

SEP18 5Y NOTE   113.50 C   22,458     +293   106.25 P   91,566    +100

JUL18 2Y NOTE   106.37 C  123,422   +1,610   105.67 P    7,382    UNCH

SEP18 2Y NOTE   106.80 C    5,000     UNCH   106.00 P   11,153    UNCH

JUN18 EURODLR    98.00 C  373,361     UNCH    97.50 P  504,470  +1,625  

JUL18 EURODLR    97.75 C  109,499     UNCH    97.37 P  112,164    UNCH

JUN19 1Y-MIDC    98.12 C  219,693     UNCH    97.12 P  380,317 -20,405

JUN20 2Y-MIDC    97.37 C  151,050     UNCH    97.37 P  164,552    UNCH

JUN21 3Y-MIDC    98.00 C  138,150     UNCH    97.25 P  145,831    UNCH

     NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

JUL18 10Y NOTE  119.00 C   58,720     -422   119.00 P  115,409  +4,646

JUL18 10Y NOTE  119.50 C   71,430     -558   119.50 P   79,559  +1,131

SEP18 10Y NOTE  119.00 C   20,459       -4   119.00 P   29,862  +1,435

SEP18 10Y NOTE  119.50 C   19,092   +1,693   119.50 P   17,414  +1,484

JUL18 5Y NOTE   113.00 C   53,631     -698   113.00 P   53,603  +5,467

JUL18 5Y NOTE   113.50 C   38,272   +1,101   113.50 P   25,509  +3,212

SEP18 5Y NOTE   113.00 C    5,666      +55   113.00 P    7,743    UNCH

SEP18 5Y NOTE   113.50 C   22,458     +293   113.50 P   18,427  +1,619

JUL18 2Y NOTE   106.00 C    1,136     UNCH   106.00 P    2,654    UNCH

JUL18 2Y NOTE   106.12 C   31,407     +750   106.12 P      201    UNCH

SEP18 2Y NOTE   106.00 C      294     UNCH   106.00 P   11,253    UNCH

SEP18 2Y NOTE   106.12 C        0     UNCH   106.12 P        0    UNCH

JUN18 EURODLR    97.75 C  354,604      -52    97.75 P  375,221    +400

JUN18 EURODLR    97.87 C  369,147     UNCH    97.87 P  310,866    -250

JUL18 EURODLR    97.50 C   29,782   -1,925    97.50 P   86,734    UNCH

JUL18 EURODLR    97.62 C   55,920     UNCH    97.62 P   42,984    UNCH

JUN19 1Y-MIDC    97.37 C  164,023   +3,060    97.37 P  220,844    UNCH

JUN19 1Y-MIDC    97.50 C  187,820     UNCH    97.50 P  122,585    UNCH

JUN20 2Y-MIDC    97.00 C   46,762     UNCH    97.00 P  101,138  +1,909

JUN20 2Y-MIDC    97.12 C   79,081     -370    97.12 P   99,459    -750

JUN21 3Y-MIDC    96.87 C   19,811     UNCH    96.87 P   52,474  -1,995

JUN21 3Y-MIDC    97.00 C   62,561     UNCH    97.00 P   69,839    UNCH

     PUT/CALL RATIO FOR VOLUME CLEARED:

     JUL18 10Y NOTE PUT/CALL RATIO  -- 0.53 (84,786 PUTS VS. 161,417 CALLS)

SEP18 10Y NOTE PUT/CALL RATIO  -- 1.46 (29,387 PUTS VS. 20,092 CALLS)

JUL18 5Y NOTE PUT/CALL RATIO   -- 0.39 (38,533 PUTS VS. 99,501 CALLS)

SEP18 5Y NOTE PUT/CALL RATIO   -- 0.89 (16,288 PUTS VS. 18,324 CALLS)

JUL18 2Y NOTE PUT/CALL RATIO   -- 0.55 (2,735 PUTS VS. 5,004 CALLS)

SEP18 2Y NOTE PUT/CALL RATIO   -- 9.31 (2,831 PUTS VS. 304 CALLS)

JUN18 EURODLRS PUT/CALL RATIO  -- 1.26 (19,754 PUTS VS. 15,654 CALLS)

JUL18 EURODLRS PUT/CALL RATIO  -- 2.83 (13,002 PUTS VS. 4,600 CALLS)

JUN19 1Y-MIDCRVE PUT/CALL RATIO-- 4.43 (50,750 PUTS VS. 11,450 CALLS)

JUN20 2Y-MIDCRVE PUT/CALL RATIO-- 3.71 (8,725 PUTS VS. 2,350 CALLS)

JUN21 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         50.29    58.64    61.45    61.87    70.47    75.23

11:00        50.76    58.53    61.56    61.73    70.49    75.19

TUE OPEN     50.89    58.64    61.53    61.66    70.52    75.05

MON 3:00     50.92    58.81    61.53    61.54    70.66    75.24

MON OPEN     52.93    60.52    63.78    63.55    71.07    75.22

FRI 3:00     51.86    61.11    63.85    63.42    71.17    75.24

FRI OPEN     54.83    63.74    65.73    65.04    71.83    75.52

THU 3:00     54.01    65.92    66.15    65.96    71.40    74.93

THU OPEN     53.92    66.02    65.69    65.17    71.06    74.69

WED 3:00     53.12    68.79    65.95    66.24    70.82    74.30

WED 12:30    52.91    68.40    65.71    66.03    70.80    74.19

TUE 3:00     53.51    69.41    64.58    65.45    70.26    73.66

TUE 9:30     45.85    64.81    59.00    61.80    69.59    73.54     

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

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