US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR MAR 23

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

            USJ    USM     TYH    TYJ     FVH    TUJ     EDJ     EDM

1:45        N/A   7.52%    N/A   3.81%    N/A   2.43%   18.67%  15.87%

12:15       N/A   7.48%    N/A   3.81%    N/A   2.45%   18.57%  16.06%

10:30       N/A   7.48%    N/A   3.84%    N/A   2.43%   18.61%  15.96%

FRI OPEN    N/A   7.45%    N/A   3.82%    N/A   2.38%   17.89%  15.44%

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

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

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

APR18 10Y NOTE  121.00 C   93,897   -3,614   118.00 P  129,461     +20

JUN18 10Y NOTE  122.00 C   69,656     +840   108.50 P  113,574    UNCH

APR18 5Y NOTE   114.50 C  133,966     -599   113.50 P   49,483    -338

JUN18 5Y NOTE   115.00 C   15,372       +1   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   10,914      -99   106.12 P   30,005  -1,000

APR18 EURODLR    98.00 C  236,989     UNCH    98.00 P  268,886    UNCH

JUN18 EURODLR    98.00 C  358,177   +2,478    97.75 P  448,991  +4,000

JUN19 1Y-MIDC    97.50 C  268,393  +12,079    97.00 P  510,229  -4,818

JUN20 2Y-MIDC    97.87 C  128,203     UNCH    96.87 P  207,975 +71,452

JUN21 3Y-MIDC    98.00 C  116,986     UNCH    97.25 P  149,683     -98

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

APR18 10Y NOTE  120.00 C   46,445   -2,724   120.00 P  121,181  +1,689

APR18 10Y NOTE  120.50 C   76,168   -8,344   120.50 P   37,468  +1,132

JUN18 10Y NOTE  120.00 C   39,326     -131   120.00 P   52,457    +500

JUN18 10Y NOTE  120.50 C   25,083     -797   120.50 P   24,712    -520

APR18 5Y NOTE   114.25 C   27,048   -1,898   114.25 P   18,942  -1,062

APR18 5Y NOTE   114.50 C  133,966     -599   114.50 P   15,163      -3

JUN18 5Y NOTE   114.25 C   11,380     +272   114.25 P   12,623      +1

JUN18 5Y NOTE   114.50 C    7,712     +200   114.50 P   18,380    UNCH

APR18 2Y NOTE   106.38 C    1,513     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    1,362     UNCH   106.38 P   30,000    UNCH

JUN18 2Y NOTE   106.50 C      653      +11   106.50 P    1,300    -500

APR18 EURODLR    97.75 C  100,976     -800    97.75 P  131,419    +250

APR18 EURODLR    97.87 C  178,820   +2,000    97.87 P  245,278      -1

JUN18 EURODLR    97.75 C  151,774   +1,858    97.75 P  448,991  +4,000

JUN18 EURODLR    97.89 C  334,692     +186    97.87 P  390,435  -1,200

JUN19 1Y-MIDC    97.37 C   82,891   -1,917    97.37 P  342,488  -2,000

JUN19 1Y-MIDC    97.50 C  268,393  +12,079    97.50 P  121,010    UNCH

JUN20 2Y-MIDC    97.00 C   23,893     -308    97.00 P  123,159    -461

JUN20 2Y-MIDC    97.12 C   53,393   +1,357    97.12 P  151,267  +1,388

JUN21 3Y-MIDC    96.87 C      450     UNCH    96.87 P   40,467  -3,401

JUN21 3Y-MIDC    97.00 C   26,814   +1,525    97.00 P   69,524    -817

PUT/CALL RATIO FOR VOLUME CLEARED:

APR18 10Y NOTE PUT/CALL RATIO   -- 0.63 (128,595 PUTS VS. 203,591 CALLS)

JUN18 10Y NOTE PUT/CALL RATIO   -- 0.74 (41,445 PUTS VS. 55,964 CALLS)

APR18 5Y NOTE PUT/CALL RATIO    -- 1.19 (55,458 PUTS VS. 46,418 CALLS)

JUN18 5Y NOTE PUT/CALL RATIO    -- 3.22 (39,021 PUTS VS. 12,133 CALLS)

APR18 2Y NOTE PUT/CALL RATIO    -- 1.08 (274 PUTS VS. 256 CALLS)

JUN18 2Y NOTE PUT/CALL RATIO    -- 1.68 (5,403 PUTS VS. 3,197 CALLS)

APR18 EURODLRS PUT/CALL RATIO   -- 1.30 (11,536 PUTS VS. 8,844 CALLS)

JUN18 EURODLRS PUT/CALL RATIO   -- 0.69 (75,914 PUTS VS. 109,724 CALLS)

JUN19 1Y-MIDCRVE PUT/CALL RATIO -- 1.67 (218,336 PUTS VS. 130,300 CALLS)

JUN20 2Y-MIDCRVE PUT/CALL RATIO -- 51.9 (171,557 PUTS VS. 3,350 CALLS)

JUN21 3Y-MIDCRVE PUT/CALL RATIO -- 0.21 (9,083 PUTS VS. 42,150 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         49.38    58.89    60.55    61.70    70.61    74.15

12:15        49.33    58.85    60.58    61.71    70.55    74.10

10:30        49.34    58.85    60.60    61.72    70.63    74.16

Fri Open     49.66    59.01    61.33    62.01    70.72    74.15

Thu 3:00     49.93    59.48    61.76    62.41    70.77    74.16

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

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

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