US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR MAR 13

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

            USJ    USM     TYH    TYJ     FVH    TUJ     EDH     EDJ

1:45       7.05%  7.13%   3.85%  3.88%   2.56%  2.48%    N/A    15.83%

12:00      7.33%  7.14%   3.98%  3.87%   2.62%  2.50%    N/A    16.23%

10:45      7.46%  7.17%   3.94%  3.85%   2.53%  2.48%    N/A    15.16%

9:30       7.15%  7.09%   3.92%  3.85%   2.58%  2.44%    N/A    15.54%

TUE OPEN   7.77%  7.55%   4.10%  4.07%   2.78%  2.55%    N/A    16.15%

MON 3:00   7.83%  7.60%   4.12%  4.06%   2.82%  2.58%    N/A    16.19%

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

APR18 10Y NOTE  122.50 C   97,170      +75   119.50 P  146,112  +9,822

JUN18 10Y NOTE  122.00 C   60,440      +46   108.50 P  113,574    UNCH

APR18 5Y NOTE   114.50 C   86,881     -503   113.50 P   49,091  -2,538

JUN18 5Y NOTE   114.00 C   11,209     +781   105.50 P  156,003    UNCH

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   31,000      -3

MAR18 EURODLR    98.50 C  479,662     UNCH    97.75 P  262,031    UNCH

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

MAR19 1Y-MIDC    98.25 C  217,995     UNCH    97.50 P  258,331    -343

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   60,366     -399   120.00 P  140,656  -7,663

APR18 10Y NOTE  120.50 C   95,537   +2,196   120.50 P   43,637      +1

JUN18 10Y NOTE  120.00 C   34,743   +1,221   120.00 P   45,857  +1,439

JUN18 10Y NOTE  120.50 C   14,221     +174   120.50 P   18,702    +108

APR18 5Y NOTE   114.25 C   25,662     +341   114.25 P   13,069      -9

APR18 5Y NOTE   114.50 C   86,881     -503   114.50 P   15,124    UNCH

JUN18 5Y NOTE   114.25 C    9,814     +660   114.25 P   10,968     +13

JUN18 5Y NOTE   114.50 C    6,553     +156   114.50 P   18,380    UNCH

APR18 2Y NOTE   106.38 C    1,618       +1   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   35,594       +1    97.87 P  148,194    -568

MAR18 EURODLR    98.00 C   91,157     UNCH    98.00 P  188,634     -99

APR18 EURODLR    97.75 C   41,268   +1,595    97.75 P  137,597  -5,000

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

MAR19 1Y-MIDC    97.37 C   31,494   +1,750    97.37 P  183,646  -2,516

MAR19 1Y-MIDC    97.50 C  103,201  -55,240    97.50 P  258,331    -343

MAR20 2Y-MIDC    97.00 C    7,446     UNCH    97.00 P  107,049 -41,785

MAR20 2Y-MIDC    97.12 C   58,072  +10,542    97.12 P   94,968  -1,857

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

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

PUT/CALL RATIO FOR VOLUME CLEARED:

APR18 10Y NOTE PUT/CALL RATIO   -- 1.25 (115,097 PUTS VS. 91,859 CALLS)

JUN18 10Y NOTE PUT/CALL RATIO   -- 1.24 (42,424 PUTS VS. 34,110 CALLS)

APR18 5Y NOTE PUT/CALL RATIO    -- 0.53 (14,509 PUTS VS. 27,304 CALLS)

JUN18 5Y NOTE PUT/CALL RATIO    -- 1.17 (6,989 PUTS VS. 5,972 CALLS)

APR18 2Y NOTE PUT/CALL RATIO    -- 2.36 (714 PUTS VS. 301 CALLS)

JUN18 2Y NOTE PUT/CALL RATIO    -- 45.1 (6,582 PUTS VS. 146 CALLS)

MAR18 EURODLRS PUT/CALL RATIO   -- 3978.8 (35,810 PUTS VS. 9 CALLS)

APR18 EURODLRS PUT/CALL RATIO   -- 16.3 (49,299 PUTS VS. 3,260 CALLS)

MAR19 1Y-MIDCRVE PUT/CALL RATIO -- 0.35 (18,929 PUTS VS. 53,750 CALLS)

MAR20 2Y-MIDCRVE PUT/CALL RATIO -- 9.72 (107,179 PUTS VS. 11,550 CALLS)

MAR21 3Y-MIDCRVE PUT/CALL RATIO -- 0.00 (0 PUTS VS. 19,000 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         50.64    61.23    62.23    62.65    70.98    73.76

12:00        50.83    60.79    62.06    62.57    70.96    73.91

10:45        51.12    60.90    62.35    62.87    71.30    74.15

9:30         51.59    62.18    63.27    63.97    71.60    74.20

Tue Open     52.11    63.03    64.38    65.70    72.29    74.37

Mon 3:00     52.27    63.19    64.39    65.72    72.33    74.43

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

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

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