US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR MAR 26

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

            USK    USM     TYK    TYM     FVK    TUM     EDJ     EDM

1:15       7.25%  7.59%   3.73%  3.86%   2.31%  2.42%   17.20%  13.80%

10:45      7.30%  7.58%   3.72%  3.85%   2.31%  2.42%   17.88%  13.71%

9:30       7.33%  7.68%   3.78%  3.65%   2.30%  2.41%   17.98%  13.71%

MON OPEN   7.41%  7.68%   3.75%  3.89%   2.32%  2.42%   18.34%  14.54%

FRI 3:00    N/A   7.46%    N/A   3.77%    N/A   2.44%   19.40%  16.28%

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

MAY18 10Y NOTE  122.00 C   86,942  +27,330   119.00 P   69,027 +11,841

JUN18 10Y NOTE  122.00 C   72,294   +2,638   108.50 P  113,574    UNCH

MAY18 5Y NOTE   116.00 C   33,534   +6,553   111.00 P   45,740  +2,300

JUN18 5Y NOTE   114.75 C   22,700  +15,641   105.50 P  156,003    UNCH

MAY18 2Y NOTE   106.75 C   83,333      +50   105.75 P   13,422    UNCH

JUN18 2Y NOTE   106.75 C   10,914     UNCH   106.12 P   30,005    UNCH

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

JUN18 EURODLR    98.00 C  360,673   +2,496    97.75 P  449,106    +115

JUN19 1Y-MIDC    97.50 C  245,671  -22,722    97.00 P  492,630 -17,599

JUN20 2Y-MIDC    97.87 C  128,203     UNCH    96.87 P  212,175  +4,200

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

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

MAY18 10Y NOTE  120.00 C   36,742      -51   120.00 P   48,874  +2,670

MAY18 10Y NOTE  120.50 C   53,884   +4,216   120.50 P   36,847  +6,532

JUN18 10Y NOTE  120.00 C   37,986   -1,208   120.00 P   53,187    +730

JUN18 10Y NOTE  120.50 C   26,492   +1,409   120.50 P   27,802  +3,090

MAY18 5Y NOTE   114.25 C   15,974   +2,342   114.25 P    6,782    +295

MAY18 5Y NOTE   114.50 C   24,683   +9,701   114.50 P   30,409    +776

JUN18 5Y NOTE   114.25 C   12,514   +1,275   114.25 P   13,123    +500

JUN18 5Y NOTE   114.50 C    7,690      -22   114.50 P   18,380    UNCH

MAY18 2Y NOTE   106.38 C      306       +1   106.38 P      313    UNCH

MAY18 2Y NOTE   106.50 C    5,892   +4,000   106.50 P       31    UNCH

JUN18 2Y NOTE   106.38 C    1,362     UNCH   106.38 P   30,000    UNCH

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

APR18 EURODLR    97.75 C  105,737   +4,761    97.75 P  131,419    UNCH

APR18 EURODLR    97.87 C  218,066  +38,946    97.87 P  245,278    UNCH

JUN18 EURODLR    97.75 C  189,954  +38,180    97.75 P  449,106    +115

JUN18 EURODLR    97.89 C  333,107   -1,585    97.87 P  388,550  -1,885

JUN19 1Y-MIDC    97.37 C   83,864     +973    97.37 P  326,488 -16,000

JUN19 1Y-MIDC    97.50 C  245,671  -22,722    97.50 P  121,010    UNCH

JUN20 2Y-MIDC    97.00 C   23,893     UNCH    97.00 P  128,995  +5,863

JUN20 2Y-MIDC    97.12 C   52,418     -975    97.12 P  150,545    -722

JUN21 3Y-MIDC    96.87 C      450     UNCH    96.87 P   39,281  -1,186

JUN21 3Y-MIDC    97.00 C   26,814     UNCH    97.00 P   69,524    UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

MAY18 10Y NOTE PUT/CALL RATIO   -- 0.52 (116,353 PUTS VS. 223,083 CALLS)

JUN18 10Y NOTE PUT/CALL RATIO   -- 1.09 (89,049 PUTS VS. 81,754 CALLS)

MAY18 5Y NOTE PUT/CALL RATIO    -- 0.61 (35,124 PUTS VS. 57,018 CALLS)

JUN18 5Y NOTE PUT/CALL RATIO    -- 1.04 (35,550 PUTS VS. 34,141 CALLS)

APR18 2Y NOTE PUT/CALL RATIO    -- 0.00 (8 PUTS VS. 5,108 CALLS)

JUN18 2Y NOTE PUT/CALL RATIO    -- 0.05 (11 PUTS VS. 193 CALLS)

APR18 EURODLRS PUT/CALL RATIO   -- 0.11 (11,737 PUTS VS. 103,300 CALLS)

JUN18 EURODLRS PUT/CALL RATIO   -- 0.15 (27,046 PUTS VS. 178,452 CALLS)

JUN19 1Y-MIDCRVE PUT/CALL RATIO -- 1.92 (198,673 PUTS VS. 103,850 CALLS)

JUN20 2Y-MIDCRVE PUT/CALL RATIO -- 18.5 (48,334 PUTS VS. 2,600 CALLS)

JUN21 3Y-MIDCRVE PUT/CALL RATIO -- 3.38 (8,877 PUTS VS. 2,650 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         49.95    60.26    61.37    62.63    70.79    74.22

10:45        49.87    60.19    61.17    62.40    70.64    74.15

9:30         49.88    60.58    61.23    62.44    70.68    74.23

Mon Open     50.29    60.51    61.47    62.71    70.85    74.30

Fri 3:00     49.40    58.81    60.53    61.68    70.60    74.14

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

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

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