US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR MAR 16

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

            USJ    USM     TYH    TYJ     FVH    TUJ     EDH     EDJ

1:45       7.90%  7.71%   4.22%  4.05%   2.84%  2.60%    N/A    20.45%

12:15      7.87%  7.65%   4.21%  4.01%   2.78%  2.58%    N/A    20.44%

9:30       7.76%  7.35%   4.21%  3.97%   2.75%  2.55%    N/A    18.54%

FRI OPEN   7.38%  7.30%   4.15%  3.94%   2.92%  2.60%    N/A    18.38%

THU 3:00   7.65%  7.38%   4.18%  4.00%   2.92%  2.61%    N/A    18.43%

THU OPEN   7.68%  7.28%   4.25%  3.96%   2.85%  2.56%    N/A    16.91%

WED 3:00   7.68%  7.28%   4.25%  3.96%   2.85%  2.56%    N/A    16.91%

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

APR18 10Y NOTE  120.50 C   92,565      +96   120.00 P  138,917  -5,548

JUN18 10Y NOTE  122.00 C   62,870      +48   108.50 P  113,574    UNCH

APR18 5Y NOTE   114.50 C  132,626  +32,898   113.50 P   52,790  +2,520

JUN18 5Y NOTE   114.00 C   12,601     +556   105.50 P  156,003    UNCH

APR18 2Y NOTE   106.62 C   19,086     UNCH   105.75 P    7,489    UNCH

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

MAR18 EURODLR    98.50 C  479,661     UNCH    97.75 P  275,653 +13,622

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  243,210    -450

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   57,187      -33   120.00 P  138,917  -5,548

APR18 10Y NOTE  120.50 C   92,565      +96   120.50 P   39,865  -6,088

JUN18 10Y NOTE  120.00 C   33,309      +50   120.00 P   49,143  +2,048

JUN18 10Y NOTE  120.50 C   16,664   +1,554   120.50 P   22,629  +2,519

APR18 5Y NOTE   114.25 C   23,854     -285   114.25 P   21,376  +3,352

APR18 5Y NOTE   114.50 C  132,626  +32,898   114.50 P   15,166    UNCH

JUN18 5Y NOTE   114.25 C   11,012     +308   114.25 P   12,640  +1,551

JUN18 5Y NOTE   114.50 C    6,592      -25   114.50 P   18,380    UNCH

APR18 2Y NOTE   106.38 C    1,322       +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   37,450     UNCH    97.87 P  144,016    +500

MAR18 EURODLR    98.00 C   91,157     UNCH    98.00 P  188,364    UNCH

APR18 EURODLR    97.75 C   44,557   -1,247    97.75 P  131,245    +590

APR18 EURODLR    97.87 C  131,152     +800    97.87 P  245,279    UNCH

MAR19 1Y-MIDC    97.37 C   25,324   -6,720    97.37 P  101,161 -61,749

MAR19 1Y-MIDC    97.50 C   98,201     UNCH    97.50 P  243,210    -450

MAR20 2Y-MIDC    97.00 C    7,446     UNCH    97.00 P   63,164    -150

MAR20 2Y-MIDC    97.12 C   53,795  -16,058    97.12 P   73,034 -19,059

MAR21 3Y-MIDC    96.87 C    1,750     UNCH    96.87 P   43,838    UNCH

MAR21 3Y-MIDC    97.00 C   19,268     UNCH    97.00 P   60,458    UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

APR18 10Y NOTE PUT/CALL RATIO   -- 1.65 (124,826 PUTS VS. 75,188 CALLS)

JUN18 10Y NOTE PUT/CALL RATIO   -- 1.85 (31,755 PUTS VS. 17,118 CALLS)

APR18 5Y NOTE PUT/CALL RATIO    -- 0.84 (28,697 PUTS VS. 34,030 CALLS)

JUN18 5Y NOTE PUT/CALL RATIO    -- 3.40 (14,284 PUTS VS. 4,243 CALLS)

APR18 2Y NOTE PUT/CALL RATIO    -- 1.00 (500 PUTS VS. 502 CALLS)

JUN18 2Y NOTE PUT/CALL RATIO    -- 1.77 (262 PUTS VS. 148 CALLS)

MAR18 EURODLRS PUT/CALL RATIO   -- 0.00 (66,014 PUTS VS. 0 CALLS)

APR18 EURODLRS PUT/CALL RATIO   -- 1.83 (30,872 PUTS VS. 16,858 CALLS)

MAR19 1Y-MIDCRVE PUT/CALL RATIO -- 19.3 (69,515 PUTS VS. 3,600 CALLS)

MAR20 2Y-MIDCRVE PUT/CALL RATIO -- 0.78 (27,339 PUTS VS. 34,655 CALLS)

MAR21 3Y-MIDCRVE PUT/CALL RATIO -- 0.09 (2,426 PUTS VS. 26,407 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         50.97    61.43    63.44    63.71    71.54    74.38

12:15        50.92    61.44    63.37    63.66    71.53    74.35

9:30         50.77    61.01    63.33    63.64    71.38    74.25

Fri Open     51.00    61.21    63.43    63.62    71.29    74.11

Thu 3:00     51.07    61.48    63.46    63.83    70.94    73.74

Thu Open     50.74    60.54    62.61    62.66    70.31    73.15

Wed 3:00     50.74    60.54    62.61    62.66    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

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

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