US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR MAR 18

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

             USJ    USM     TYJ    TYM     FVJ    FVM     EDJ     EDM

MON 3:00    6.91%  5.97%   4.09%  3.37%   2.85%  2.24%   6.93%   6.30%

1:30        6.98%  6.00%   4.15%  3.39%   2.82%  2.26%   6.68%   6.67%

12:00       7.10%  6.12%   4.19%  3.38%   2.88%  2.28%   6.55%   6.14%

10:15       7.22%  6.18%   4.30%  3.45%   2.90%  2.29%   6.43%   6.14%

MON OPEN    6.81%  6.19%   3.03%  3.45%   2.71%  2.27%   6.25%   6.31%

FRI 3:00    5.68%  6.08%   3.22%  3.40%   2.09%  2.24%   6.00%    N/A

FRI OPEN    5.85%  6.11%   3.23%  3.38%   2.12%  2.24%   6.05%    N/A

THU 3:00    5.68%  6.11%   3.13%  3.38%   2.10%  2.24%   6.05%    N/A

THU OPEN    5.85%  6.07%   3.26%  3.36%   2.10%  2.23%   6.20%    N/A

WED 3:00    5.85%  6.07%   3.26%  3.36%   2.10%  2.23%   6.20%    N/A

WED OPEN    5.98%  6.00%   3.26%  3.32%   2.14%  2.22%   5.95%    N/A

TUE 3:00    5.97%  5.99%   3.33%  3.31%   2.15%  2.18%   6.05%    N/A

TUE OPEN    6.08%  6.01%   3.33%  3.35%   2.23%  2.23%   6.37%    N/A

MON 3:00    5.92%  6.00%   3.28%  3.36%   2.12%  2.23%   6.56%    N/A

MON OPEN    6.13%  6.12%   3.38%  3.43%   2.22%  2.28%   6.90%    N/A

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

APR19 10Y NOTE  122.50 C   80,018   -1,179   121.50 P  133,172    -161

JUN19 10Y NOTE  124.50 C   32,459      +30   121.00 P   53,075  +2,284

APR19 5Y NOTE   115.50 C   44,833     +484   114.00 P   46,372    -596

JUN19 5Y NOTE   116.25 C   20,225     +999   108.25 P  151,557    UNCH

APR19 2Y NOTE   106.12 C    5,385     UNCH   105.88 P    6,608    UNCH

JUN19 2Y NOTE   106.50 C   17,231   +3,500   106.00 P   44,083 +10,775

APR19 EURODLR    97.37 C  147,128     UNCH    97.25 P   70,036    UNCH

JUN19 EURODLR    97.37 C  428,062   -1,125    96.75 P  728,209    UNCH

JUN19 1Y-MIDC    98.00 C  152,822     UNCH    97.37 P  140,169    +363

JUN20 2Y-MIDC    97.50 C   84,001     UNCH    97.25 P  101,310  +1,408

JUN21 3Y-MIDC    97.75 C   96,916     UNCH    97.25 P   48,136    UNCH

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

APR19 10Y NOTE  122.00 C   29,350     -175   122.00 P   92,409  +6,561

APR19 10Y NOTE  122.50 C   80,018   -1,179   122.50 P   50,275  +3,925

JUN19 10Y NOTE  122.00 C   22,358      +51   122.00 P   32,857  +2,360

JUN19 10Y NOTE  122.50 C   20,688      +24   122.50 P   24,246    -387

APR19 5Y NOTE   114.50 C   13,941      -33   114.50 P   40,473     -52

APR19 5Y NOTE   114.75 C   27,073       -3   114.75 P   20,113  -1,074

JUN19 5Y NOTE   114.50 C   11,231       +2   114.50 P   19,002  +3,205

JUN19 5Y NOTE   114.75 C   11,214     +435   114.75 P   36,717    +500

APR19 2Y NOTE   106.00 C    1,565      -59   106.00 P    4,696    UNCH

APR19 2Y NOTE   106.12 C    5,385     UNCH   106.12 P    3,454      -1

JUN19 2Y NOTE   106.00 C    4,246     UNCH   106.00 P   44,083 +10,775

JUN19 2Y NOTE   106.12 C    2,547     UNCH   106.12 P   16,645  +4,237

APR19 EURODLR    97.25 C   75,473     UNCH    97.25 P   70,036    UNCH

APR19 EURODLR    97.37 C  147,128     UNCH    97.37 P   50,774  +7,719

JUN19 EURODLR    97.25 C  257,480     UNCH    97.25 P  298,018    UNCH

JUN19 EURODLR    97.37 C  428,062   -1,125    97.37 P  223,500    UNCH

JUN20 1Y-MIDC    97.50 C   73,881   +2,358    97.50 P  110,826  -2,950

JUN20 1Y-MIDC    97.62 C   61,707     UNCH    97.62 P    8,625  +5,125

JUN21 2Y-MIDC    97.62 C   23,953      +50    97.62 P    9,185    UNCH

JUN21 2Y-MIDC    97.75 C   82,676   +1,500    97.75 P    6,340    UNCH

JUN22 3Y-MIDC    97.62 C    9,559     -120    97.62 P   11,000  +6,440

JUN22 3Y-MIDC    97.75 C   96,916     UNCH    97.75 P      300    UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

APR19 10Y NOTE PUT/CALL RATIO   -- 0.72 (71,234 PUTS VS. 98,624 CALLS)

JUN19 10Y NOTE PUT/CALL RATIO   -- 2.41 (43,346 PUTS VS. 17,996 CALLS)

APR19 5Y NOTE PUT/CALL RATIO    -- 1.29 (23,148 PUTS VS. 17,997 CALLS)

JUN19 5Y NOTE PUT/CALL RATIO    -- 4.28 (38,099 PUTS VS. 8,940 CALLS)

MAR19 2Y NOTE PUT/CALL RATIO    -- 0.07 (5 PUTS VS. 68 CALLS)

APR19 2Y NOTE PUT/CALL RATIO    -- 4.03 (45,236 PUTS VS. 11,207 CALLS)

APR19 EURODLRS PUT/CALL RATIO   -- 0.00 (17,347 PUTS VS. 0 CALLS)

JUN19 EURODLRS PUT/CALL RATIO   -- 0.00 (0 PUTS VS. 19,880 CALLS)

JUN20 1Y-MIDCRVE PUT/CALL RATIO -- 2.58 (29,268 PUTS VS. 11,320 CALLS)

JUN21 2Y-MIDCRVE PUT/CALL RATIO -- 14.2 (25,600 PUTS VS. 1,851 CALLS)

JUN22 3Y-MIDCRVE PUT/CALL RATIO -- 58.5 (16,405 PUTS VS. 280 CALLS)

(VOLUME, OPEN INTEREST, RATIOS 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

Mon Open    44.09    49.86    51.40    51.13    59.72     65.70

1:30        44.17    50.00    51.71    51.47    59.76     65.73

12:00       44.28    49.77    51.70    51.45    59.80     65.75

10:15       44.16    49.72    51.69    51.44    59.86     65.79

Mon Open    44.04    49.44    51.48    51.24    59.89     65.80

Fri 3:00    43.57    48.92    51.21    51.03    60.17     66.00

Fri Open    43.29    48.37    50.88    50.03    60.01     65.98

Thu 3:00    43.92    48.61    51.51    51.33    60.85     66.58

Thu Open    43.75    48.72    51.62    51.33    60.97     67.20

Wed 3:00    43.75    48.72    51.62    51.33    60.97     67.20

Wed Open    43.33    48.79    51.41    51.15    61.08     67.32

Tue 3:00    43.02    49.20    51.17    50.69    61.03     67.33

Tue Open    43.37    49.35    51.89    51.67    61.85     68.33

Mon 3:00    43.52    49.50    52.23    52.06    62.24     68.67

Mon Open    44.23    49.47    52.72    52.57    62.71     69.19

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

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