US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR MAR 21

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

            USJ    USM     TYH    TYJ     FVH    TUJ     EDJ     EDM

1:15        N/A   7.79%    N/A   4.04%    N/A   2.62%   19.78%  16.11%

10:45       N/A   7.94%    N/A   4.07%    N/A   2.62%   20.45%  16.13%

9:15        N/A   7.92%    N/A   4.11%    N/A   2.62%   19.89%  17.19%

WED OPEN    N/A   7.91%    N/A   4.14%    N/A   2.63%   20.10%  17.19%

TUE 3:00    N/A   7.90%    N/A   4.15%    N/A   2.66%   20.50%  17.18%

TUE OPEN    N/A   7.91%    N/A   4.11%    N/A   2.67%   18.05%  16.21%

MON 3:00  10.28%  8.03%   5.87%  4.19%   3.88%  2.72%   18.05%  16.21%

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

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

APR18 10Y NOTE  121.00 C   99,631  +10,457   120.00 P  135,682  -4,958

JUN18 10Y NOTE  122.00 C   63,212     -152   108.50 P  113,574    UNCH

APR18 5Y NOTE   114.50 C  135,055   +1,651   113.75 P   61,531  -2,113

JUN18 5Y NOTE   115.00 C   15,371     UNCH   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   11,413   -1,700   106.12 P   31,003      +3

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

JUN18 EURODLR    98.00 C  354,577     UNCH    97.75 P  445,757  -9,470

JUN19 1Y-MIDC    98.12 C  217,543     UNCH    97.00 P  518,686+118,000

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  149,865  +5,196

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

APR18 10Y NOTE  120.00 C   53,382   -3,902   120.00 P  135,682  -4,958

APR18 10Y NOTE  120.50 C   87,546     -773   120.50 P   35,443    -533

JUN18 10Y NOTE  120.00 C   34,255   +1,191   120.00 P   48,843     -54

JUN18 10Y NOTE  120.50 C   19,897     +125   120.50 P   25,075    -150

APR18 5Y NOTE   114.25 C   27,291   +2,289   114.25 P   19,997  -1,479

APR18 5Y NOTE   114.50 C  135,055   +1,651   114.50 P   15,166    UNCH

JUN18 5Y NOTE   114.25 C   11,330       +1   114.25 P   12,622    UNCH

JUN18 5Y NOTE   114.50 C    6,541      -26   114.50 P   18,380    UNCH

APR18 2Y NOTE   106.38 C    1,523     UNCH   106.38 P    1,149    UNCH

APR18 2Y NOTE   106.50 C    9,355     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

APR18 EURODLR    97.75 C   97,870  +32,683    97.75 P  132,644    UNCH

APR18 EURODLR    97.87 C  176,820  +48,005    97.87 P  245,279    UNCH

JUN18 EURODLR    97.75 C  154,074   -9,897    97.75 P  445,757  -9,470

JUN18 EURODLR    97.89 C  345,939   -1,268    97.87 P  395,776  -8,996

JUN19 1Y-MIDC    97.37 C   75,753  +22,243    97.37 P  343,494    UNCH

JUN19 1Y-MIDC    97.50 C  212,000   -5,929    97.50 P  121,010    UNCH

JUN20 2Y-MIDC    97.00 C   24,201   +5,500    97.00 P  119,169  +8,325

JUN20 2Y-MIDC    97.12 C   47,386     UNCH    97.12 P  148,779    +945

JUN21 3Y-MIDC    96.87 C      250     UNCH    96.87 P   42,516  -1,588

JUN21 3Y-MIDC    97.00 C   25,285     UNCH    97.00 P   70,442  +3,791

PUT/CALL RATIO FOR VOLUME CLEARED:

APR18 10Y NOTE PUT/CALL RATIO   -- 0.72 (106,716 PUTS VS. 147,326 CALLS)

JUN18 10Y NOTE PUT/CALL RATIO   -- 1.20 (19,507 PUTS VS. 16,232 CALLS)

APR18 5Y NOTE PUT/CALL RATIO    -- 0.69 (32,807 PUTS VS. 47,551 CALLS)

JUN18 5Y NOTE PUT/CALL RATIO    -- 1.00 (3,323 PUTS VS. 3,356 CALLS)

APR18 2Y NOTE PUT/CALL RATIO    -- 2.91 (764 PUTS VS. 262 CALLS)

JUN18 2Y NOTE PUT/CALL RATIO    -- 0.27 (1,790 PUTS VS. 6,567 CALLS)

APR18 EURODLRS PUT/CALL RATIO   -- 0.14 (41,971 PUTS VS. 291,252 CALLS)

JUN18 EURODLRS PUT/CALL RATIO   -- 0.86 (94,831 PUTS VS. 109,240 CALLS)

JUN19 1Y-MIDCRVE PUT/CALL RATIO -- 3.91 (380,589 PUTS VS. 97,642 CALLS)

JUN20 2Y-MIDCRVE PUT/CALL RATIO -- 7.75 (92,920 PUTS VS. 12,000 CALLS)

JUN21 3Y-MIDCRVE PUT/CALL RATIO -- 161.6 (40,315 PUTS VS. 250 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

1:15         51.92    62.24    64.13    64.31    71.71    74.68

10:45        51.90    62.28    64.13    64.30    71.68    74.65

9:15         51.87    62.51    64.13    64.33    71.66    74.66

Wed Open     51.84    63.52    64.14    64.40    71.70    74.67

Tue 3:00     51.73    63.56    64.15    64.49    71.76    74.60

Tue Open     51.81    63.52    64.47    64.83    71.77    74.56

Mon 3:00     51.69    63.41    64.34    64.69    71.64    74.48

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

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

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