US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR MAR 19

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

            USJ    USM     TYH    TYJ     FVH    TUJ     EDJ     EDM

1:45      10.22%  7.97%   5.83%  4.18%   3.85%  2.70%   18.04%  16.21%

12:15      9.96%  7.98%   5.75%  4.18%   3.68%  2.66%   18.01%  16.20%

10:45      9.60%  7.80%   5.66%  4.13%   3.66%  2.65%   19.66%  15.00%

9:15       9.90%  7.73%   5.28%  4.07%   3.69%  2.63%   20.27%  16.11%

MON OPEN   9.85%  7.80%   5.34%  4.04%   3.69%  2.62%   20.28%  15.64%

FRI 3:00   7.72%  7.64%   4.03%  3.94%   2.79%  2.58%   19.84%   N/A

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

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

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

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

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

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

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

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

MON OPEN   8.51%  7.97%   4.65%  4.25%   2.91%  2.68%   16.62%   N/A

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

APR18 10Y NOTE  121.00 C   94,373   +2,210   120.00 P  137,801  -1,116

JUN18 10Y NOTE  122.00 C   64,104   +1,234   108.50 P  113,574    UNCH

APR18 5Y NOTE   114.50 C  134,667   +2,041   113.50 P   52,744    +204

JUN18 5Y NOTE   114.00 C   13,423     +822   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

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

JUN18 EURODLR    98.00 C  354,252     -675    97.75 P  488,926    -560

JUN19 1Y-MIDC    97.50 C  217,929   -1,800    97.12 P  519,812 +21,462

JUN20 2Y-MIDC    97.87 C  128,203     UNCH    97.37 P  161,761    UNCH

JUN21 3Y-MIDC    98.00 C  116,986     UNCH    97.25 P  144,669    UNCH

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

APR18 10Y NOTE  120.00 C   56,816     -371   120.00 P  137,801  -1,116

APR18 10Y NOTE  120.50 C   89,234   -3,331   120.50 P   36,258  -3,607

JUN18 10Y NOTE  120.00 C   33,236      -73   120.00 P   48,878    -265

JUN18 10Y NOTE  120.50 C   18,979   +2,315   120.50 P   24,437  +1,808

APR18 5Y NOTE   114.25 C   24,069      +65   114.25 P   21,476    UNCH

APR18 5Y NOTE   114.50 C  134,667   +2,041   114.50 P   15,166    UNCH

JUN18 5Y NOTE   114.25 C   10,100     -118   114.25 P   12,622     -18

JUN18 5Y NOTE   114.50 C    7,008     +125   114.50 P   18,380    UNCH

APR18 2Y NOTE   106.38 C    1,322     UNCH   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    1,373      +10   106.38 P   30,000    UNCH

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

APR18 EURODLR    97.75 C   62,482  +17,925    97.75 P  132,444  +1,199

APR18 EURODLR    97.87 C  119,189  -11,963    97.87 P  245,279    UNCH

JUN18 EURODLR    97.75 C  164,432   +9,050    97.75 P  488,926    -560

JUN18 EURODLR    97.89 C  345,457   +4,980    97.87 P  435,606    -277

JUN19 1Y-MIDC    97.37 C   52,910     -670    97.37 P  343,994  +7,902

JUN19 1Y-MIDC    97.50 C  217,929   -1,800    97.50 P  121,010    UNCH

JUN20 2Y-MIDC    97.00 C   18,576     UNCH    97.00 P  108,575    -600

JUN20 2Y-MIDC    97.12 C   47,386     -125    97.12 P  147,859    UNCH

JUN21 3Y-MIDC    96.87 C      250     UNCH    96.87 P   44,104    UNCH

JUN21 3Y-MIDC    97.00 C   24,635     UNCH    97.00 P   66,751    +650

PUT/CALL RATIO FOR VOLUME CLEARED:

APR18 10Y NOTE PUT/CALL RATIO   -- 0.80 (91,111 PUTS VS. 113,462 CALLS)

JUN18 10Y NOTE PUT/CALL RATIO   -- 0.91 (36,352 PUTS VS. 39,768 CALLS)

APR18 5Y NOTE PUT/CALL RATIO    -- 1.16 (34,766 PUTS VS. 29,743 CALLS)

JUN18 5Y NOTE PUT/CALL RATIO    -- 0.60 (6,630 PUTS VS. 10,965 CALLS)

APR18 2Y NOTE PUT/CALL RATIO    -- 5.00 (2,516 PUTS VS. 502 CALLS)

JUN18 2Y NOTE PUT/CALL RATIO    -- 0.16 (105 PUTS VS. 605 CALLS)

APR18 EURODLRS PUT/CALL RATIO   -- 1.86 (134,935 PUTS VS. 72,370 CALLS)

JUN18 EURODLRS PUT/CALL RATIO   -- 2.33 (245,687 PUTS VS. 105,162 CALLS)

JUN19 1Y-MIDCRVE PUT/CALL RATIO -- 9.09 (88,258 PUTS VS. 9,750 CALLS)

JUN20 2Y-MIDCRVE PUT/CALL RATIO -- 0.06 (650 PUTS VS. 10,000 CALLS)

JUN21 3Y-MIDCRVE PUT/CALL RATIO -- 1.23 (1,050 PUTS VS. 850 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

Mon 3:00     51.67    63.46    64.36    64.72    71.67    74.50

1:45         51.67    63.46    64.36    64.72    71.67    74.50

12:15        51.42    63.04    63.91    64.23    71.68    74.44

10:45        51.50    62.81    64.04    64.31    71.66    74.48

9:15         51.50    62.73    64.04    64.32    71.67    74.50

Mon Open     51.36    62.52    64.04    64.31    71.65    74.47

Fri 3:00     50.98    61.56    63.45    63.71    71.55    74.35

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

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

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