US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR MAR 22

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

            USJ    USM     TYH    TYJ     FVH    TUJ     EDJ     EDM

THU 3:00    N/A   7.40%    N/A   3.82%    N/A   2.38%   17.06%  14.28%

1:15        N/A   7.43%    N/A   3.78%    N/A   2.40%   19.20%  14.70%

12:00       N/A   7.46%    N/A   3.79%    N/A   2.42%   19.91%  15.12%

10:45       N/A   7.46%    N/A   3.88%    N/A   2.44%   18.52%  15.72%

9:30        N/A   7.46%    N/A   3.81%    N/A   2.44%   17.09%  14.85%

THU OPEN    N/A   7.27%    N/A   3.73%    N/A   2.38%   16.91%  15.24%

WED 3:00    N/A   7.57%    N/A   3.92%    N/A   2.47%   17.87%  14.81%

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

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

APR18 10Y NOTE  121.00 C   97,511   -2,120   118.00 P  129,441    -912

JUN18 10Y NOTE  122.00 C   68,816   +5,604   108.50 P  113,574    UNCH

APR18 5Y NOTE   114.50 C  134,565     -490   113.50 P   49,821  -1,245

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   11,013     -400   106.12 P   31,005      +2

APR18 EURODLR    98.00 C  236,989   +2,000    98.00 P  268,886    UNCH

JUN18 EURODLR    98.00 C  355,699   +1,112    97.75 P  444,991    -766

JUN19 1Y-MIDC    97.50 C  256,314  +44,314    97.00 P  515,047  -3,639

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  149,781     -84

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

APR18 10Y NOTE  120.00 C   49,169   -4,213   120.00 P  119,492 -16,190

APR18 10Y NOTE  120.50 C   84,512   -3,034   120.50 P   36,336    +893

JUN18 10Y NOTE  120.00 C   39,457   +5,202   120.00 P   51,957  +3,114

JUN18 10Y NOTE  120.50 C   25,880   +5,983   120.50 P   25,232    +157

APR18 5Y NOTE   114.25 C   30,796   +3,505   114.25 P   20,004      +7

APR18 5Y NOTE   114.50 C  134,565     -490   114.50 P   15,166    UNCH

JUN18 5Y NOTE   114.25 C   11,108     -222   114.25 P   12,622    UNCH

JUN18 5Y NOTE   114.50 C    7,512     +971   114.50 P   18,380    UNCH

APR18 2Y NOTE   106.38 C    1,513      -10   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    1,362       -1   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  101,776   +3,906    97.75 P  131,169  -1,475

APR18 EURODLR    97.87 C  178,820   +2,000    97.87 P  245,279    UNCH

JUN18 EURODLR    97.75 C  149,916   -4,158    97.75 P  444,991    -766

JUN18 EURODLR    97.89 C  334,506  -11,433    97.87 P  391,635  -4,141

JUN19 1Y-MIDC    97.37 C   84,808  +11,055    97.37 P  344,488      -6

JUN19 1Y-MIDC    97.50 C  256,314  +44,314    97.50 P  121,010    UNCH

JUN20 2Y-MIDC    97.00 C   24,201     UNCH    97.00 P  123,620  +4,451

JUN20 2Y-MIDC    97.12 C   52,036   +4,200    97.12 P  149,879  +1,100

JUN21 3Y-MIDC    96.87 C      450     +200    96.87 P   43,868  +1,352

JUN21 3Y-MIDC    97.00 C   25,289       +4    97.00 P   70,341    -101

PUT/CALL RATIO FOR VOLUME CLEARED:

APR18 10Y NOTE PUT/CALL RATIO   -- 1.43 (168,861 PUTS VS. 117,499 CALLS)

JUN18 10Y NOTE PUT/CALL RATIO   -- 0.66 (40,053 PUTS VS. 60,120 CALLS)

APR18 5Y NOTE PUT/CALL RATIO    -- 1.19 (80,535 PUTS VS. 67,207 CALLS)

JUN18 5Y NOTE PUT/CALL RATIO    -- 3.01 (31,443 PUTS VS. 10,403 CALLS)

APR18 2Y NOTE PUT/CALL RATIO    -- 21.0 (2,100 PUTS VS. 10 CALLS)

JUN18 2Y NOTE PUT/CALL RATIO    -- 0.17 (1,563 PUTS VS. 8,789 CALLS)

APR18 EURODLRS PUT/CALL RATIO   -- 2.99 (102,480 PUTS VS. 34,260 CALLS)

JUN18 EURODLRS PUT/CALL RATIO   -- 1.47 (114,551 PUTS VS. 77,462 CALLS)

JUN19 1Y-MIDCRVE PUT/CALL RATIO -- 2.86 (292,011 PUTS VS. 102,750 CALLS)

JUN20 2Y-MIDCRVE PUT/CALL RATIO -- 2.78 (59,824 PUTS VS. 21,500 CALLS)

JUN21 3Y-MIDCRVE PUT/CALL RATIO -- 2.92 (15,181 PUTS VS. 5,250 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

Thu 3:00     49.93    59.48    61.76    62.41    70.77    74.16

1:15         50.09    60.42    62.15    62.68    70.78    74.17

12:00        50.03    59.85    61.86    62.50    70.61    73.99

10:45        49.99    59.51    61.98    62.63    70.64    74.02

9:30         49.88    59.28    61.67    62.23    70.58    73.93

Thu Open     49.86    58.77    61.68    62.20    70.85    74.12

Wed 3:00     51.87    61.70    63.95    64.19    71.74    74.76

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

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

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