US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR MAR 12

OPEN INTEREST NOT UPDATED

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

            USJ    USM     TYH    TYJ     FVH    TUJ     EDH     EDJ

1:45       7.94%  7.65%   4.29%  4.11%   2.65%  2.61%    N/A    15.68%

12:00      8.06%  7.78%   4.30%  4.11%   2.74%  2.64%   11.66%  15.67%

10:30      8.73%  7.80%   4.39%  4.18%   2.73%  2.64%   11.60%  15.45%

MON OPEN   8.51%  7.97%   4.65%  4.25%   2.91%  2.68%   12.05%  16.62%

FRI 3:00   7.48%  7.84%   4.00%  4.18%   2.72%  2.67%   10.05%  15.70%

FRI OPEN   9.13%  8:23%   4.54%  4.35%   2.97%  2.78%   10.00%  16.74%

THU 3:00   8.29%  8:23%   4.54%  4.35%   2.97%  2.78%   10.09%  16.00%

THU OPEN   8.48%  8:31%   4.75%  4.50%   3.10%  2.83%   13.20%  16.55%

WED 3:00   8.55%  8:35%   4.83%  4.52%   3.13%  2.85%   15.70%  16.67%

WED 12:00  8.72%  8:44%   4.90%  4.54%   3.10%  2.89%   16.08%  16.18%

TUE 3:00   8.47%  8:32%   4.77%  4.48%   3.07%  2.84%   16.90%  17.30%

TUE OPEN   8.58%  8:45%   4.80%  4.51%   3.07%  2.85%   14.50%  15.80%

MON 3:00   8.76%  8:56%   4.81%  4.56%   3.14%  2.86%   16.60%  15.08%

MON OPEN   8.85%  8:49%   4.87%  4.49%   3.18%  2.84%   16.53%  15.37%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

APR18 10Y NOTE  122.50 C   97,095     -101   120.00 P  148,319 -11,340

JUN18 10Y NOTE  122.00 C   60,394     -441   108.50 P  113,574  +1,348

APR18 5Y NOTE   114.50 C   87,384   -1,265   113.50 P   51,629    +999

JUN18 5Y NOTE   114.00 C   10,428   +1,349   105.50 P  156,003    +888

APR18 2Y NOTE   106.62 C   18,890     UNCH   105.75 P    8,624    UNCH

JUN18 2Y NOTE   106.75 C   13,281     UNCH   106.12 P   31,003      -3

MAR18 EURODLR    98.50 C  479,662     UNCH    97.75 P  260,031    UNCH

APR18 EURODLR    98.37 C  235,781     -100    98.00 P  268,886    UNCH

MAR19 1Y-MIDC    98.25 C  217,995     UNCH    97.50 P  258,674    UNCH

MAR20 2Y-MIDC    98.50 C  145,426     UNCH    97.37 P  198,319    UNCH

MAR21 3Y-MIDC    97.50 C   97,311     UNCH    97.37 P   91,790    UNCH

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

APR18 10Y NOTE  120.00 C   60,765   +6,912   120.00 P  148,319 -11,340

APR18 10Y NOTE  120.50 C   93,411   +4,183   120.50 P   43,636    -162

JUN18 10Y NOTE  120.00 C   33,522     -838   120.00 P   44,418    -306

JUN18 10Y NOTE  120.50 C   14,047   +1,552   120.50 P   18,594    +380

APR18 5Y NOTE   114.25 C   25,321   +1,214   114.25 P   13,078      -2

APR18 5Y NOTE   114.50 C   87,384   -1,265   114.50 P   15,124    UNCH

JUN18 5Y NOTE   114.25 C    9,154   +2,192   114.25 P   10,955    UNCH

JUN18 5Y NOTE   114.50 C    6,397     UNCH   114.50 P   18,380    UNCH

APR18 2Y NOTE   106.38 C    1,617      -10   106.38 P    1,149    UNCH

APR18 2Y NOTE   106.50 C    9,055     UNCH   106.50 P    1,906    UNCH

JUN18 2Y NOTE   106.38 C    1,363     UNCH   106.38 P   30,000    UNCH

JUN18 2Y NOTE   106.50 C      642     UNCH   106.50 P    1,800    UNCH

MAR18 EURODLR    97.87 C   35,593     -175    97.87 P  148,762  -2,717

MAR18 EURODLR    98.00 C   91,157     UNCH    98.00 P  188,463    UNCH

APR18 EURODLR    97.75 C   39,673     +650    97.75 P  142,597    -250

APR18 EURODLR    97.87 C  124,252     UNCH    97.87 P  245,279    UNCH

MAR19 1Y-MIDC    97.37 C   29,744   +3,400    97.37 P  186,162  +1,295

MAR19 1Y-MIDC    97.50 C  158,441   -2,907    97.50 P  258,674    UNCH

MAR20 2Y-MIDC    97.00 C    7,446     +125    97.00 P  148,834 -13,007

MAR20 2Y-MIDC    97.12 C   47,530   +1,190    97.12 P   96,825  -2,705

MAR21 3Y-MIDC    96.87 C    1,750     UNCH    96.87 P   43,663    +666

MAR21 3Y-MIDC    97.00 C   19,268     +473    97.00 P   63,715  +1,203

PUT/CALL RATIO FOR VOLUME CLEARED:

APR18 10Y NOTE PUT/CALL RATIO   -- 0.53 (120,735 PUTS VS. 224,284 CALLS)

JUN18 10Y NOTE PUT/CALL RATIO   -- 1.70 (82,941 PUTS VS. 48,585 CALLS)

APR18 5Y NOTE PUT/CALL RATIO    -- 0.88 (15,748 PUTS VS. 17,743 CALLS)

JUN18 5Y NOTE PUT/CALL RATIO    -- 0.99 (15,943 PUTS VS. 16,043 CALLS)

APR18 2Y NOTE PUT/CALL RATIO    -- 68.7 (687 PUTS VS. 10 CALLS)

JUN18 2Y NOTE PUT/CALL RATIO    -- 132.6 (12,871 PUTS VS. 97 CALLS)

MAR18 EURODLRS PUT/CALL RATIO   -- 2.80 (12,669 PUTS VS. 4,550 CALLS)

APR18 EURODLRS PUT/CALL RATIO   -- 0.81 (22,000 PUTS VS. 27,180 CALLS)

MAR19 1Y-MIDCRVE PUT/CALL RATIO -- 3.48 (25,869 PUTS VS. 7,450 CALLS)

MAR20 2Y-MIDCRVE PUT/CALL RATIO -- 0.62 (30,325 PUTS VS. 48,700 CALLS)

MAR21 3Y-MIDCRVE PUT/CALL RATIO -- 8.91 (10,741 PUTS VS. 1,200 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

1:45         52.28    63.22    64.42    65.76    72.41    74.50

12:00        52.31    63.34    64.43    65.75    72.40    74.46

10:30        52.36    63.44    64.52    65.86    72.51    74.55

Mon Open     52.46    62.68    64.63    66.07    72.63    74.65

Fri 3:00     52.45    63.17    65.42    67.03    72.80    74.71

Fri Open     52.80    67.25    67.30    68.85    73.31    74.85

Thu 3:00     52.82    67.35    67.34    68.86    73.32    74.86

Thu Open     53.29    68.72    68.48    69.67    73.57    74.97

Wed 3:00     53.23    68.90    68.43    69.75    73.48    74.75

Wed 12:00    53.44    69.03    68.65    69.87    73.39    74.53

Tue 3:00     53.15    70.60    68.54    69.77    73.22    74.47

Tue Open     53.27    70.83    68.63    70.00    72.90    74.39

Mon 3:00     53.15    69.89    68.99    69.52    72.74    74.27

Mon Open     52.55    69.55    68.16    68.81    72.34    73.89

--MNI Chicago Bureau; tel: +1 312-431-0089; email: bill.sokolis@marketnews.com

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