US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR MAR 14

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

            USJ    USM     TYH    TYJ     FVH    TUJ     EDH     EDJ

12:30      7.68%  7.31%   4.20%  3.96%   2.91%  2.57%    N/A    17.58%

10:00      7.19%  7.16%   3.96%  3.88%   2.43%  2.48%    N/A    16.05%

WED OPEN   6.98%  7.09%   3.75%  3.85%   2.50%  2.46%    N/A    16.67%

TUE 3:00   7.23%  7.13%   3.82%  3.90%   2.65%  2.50%    N/A    15.83%

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

APR18 10Y NOTE  122.50 C   96,715     -455   120.00 P  145,012  +4,536

JUN18 10Y NOTE  122.00 C   62,673   +2,233   108.50 P  113,574    UNCH

APR18 5Y NOTE   114.50 C   85,362   -1,519   113.50 P   48,072  -1,019

JUN18 5Y NOTE   116.00 C   11,909   +2,600   105.50 P  156,003    UNCH

APR18 2Y NOTE   106.62 C   19,198     +308   105.75 P    7,489  -1,135

JUN18 2Y NOTE   106.75 C   13,281     UNCH   106.12 P   31,000    UNCH

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  245,910 -12,421

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   57,997   -2,369   120.00 P  145,012  +4,536

APR18 10Y NOTE  120.50 C   92,897   -2,640   120.50 P   44,051    +414

JUN18 10Y NOTE  120.00 C   35,035     +292   120.00 P   46,941  +1,084

JUN18 10Y NOTE  120.50 C   14,659     +438   120.50 P   19,914  +1,212

APR18 5Y NOTE   114.25 C   25,502     -160   114.25 P   12,881    -188

APR18 5Y NOTE   114.50 C   85,362   -1,519   114.50 P   15,126      +2

JUN18 5Y NOTE   114.25 C   10,251     +437   114.25 P   10,940     -28

JUN18 5Y NOTE   114.50 C    6,619      +66   114.50 P   18,380    UNCH

APR18 2Y NOTE   106.38 C    1,368     -250   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   37,450   +1,856    97.87 P  144,566  -3,628

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

APR18 EURODLR    97.75 C   41,907     +639    97.75 P  131,781  -5,816

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

MAR19 1Y-MIDC    97.37 C   34,394   +2,900    97.37 P  173,625 -10,021

MAR19 1Y-MIDC    97.50 C   98,201   -5,000    97.50 P  245,910 -12,421

MAR20 2Y-MIDC    97.00 C    7,446     UNCH    97.00 P   70,350 -36,699

MAR20 2Y-MIDC    97.12 C   66,445   +8,373    97.12 P   96,117  +1,149

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

MAR21 3Y-MIDC    97.00 C   19,268     UNCH    97.00 P   63,965    +250

PUT/CALL RATIO FOR VOLUME CLEARED:

APR18 10Y NOTE PUT/CALL RATIO   -- 1.17 (132,389 PUTS VS. 113,119 CALLS)

JUN18 10Y NOTE PUT/CALL RATIO   -- 2.83 (73,197 PUTS VS. 25,857 CALLS)

APR18 5Y NOTE PUT/CALL RATIO    -- 1.18 (20,489 PUTS VS. 17,359 CALLS)

JUN18 5Y NOTE PUT/CALL RATIO    -- 1.20 (9,073 PUTS VS. 7,510 CALLS)

APR18 2Y NOTE PUT/CALL RATIO    -- 3.05 (5,865 PUTS VS. 1,969 CALLS)

JUN18 2Y NOTE PUT/CALL RATIO    -- 0.00 (314 PUTS VS. 0 CALLS)

MAR18 EURODLRS PUT/CALL RATIO   -- 3.52 (15,510 PUTS VS. 4,410 CALLS)

APR18 EURODLRS PUT/CALL RATIO   -- 13.3 (30,872 PUTS VS. 2,378 CALLS)

MAR19 1Y-MIDCRVE PUT/CALL RATIO -- 5.62 (79,929 PUTS VS. 14,250 CALLS)

MAR20 2Y-MIDCRVE PUT/CALL RATIO -- 2.98 (97,272 PUTS VS. 32,600 CALLS)

MAR21 3Y-MIDCRVE PUT/CALL RATIO -- 0.05 (1,250 PUTS VS. 21,300 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

12:30        50.54    60.02    62.06    62.44    70.17    73.06

10:00        50.45    60.01    61.96    62.29    70.31    73.15

Wed Open     50.59    60.16    62.03    62.44    70.47    73.25

Tue 3:00     50.68    61.13    62.28    62.64    70.85    73.54

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

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

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