US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR MAR 5

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

            USJ    USM     TYH    TYJ     FVH    TUJ     EDH     EDJ

1:30       9.03%  8:55%   4.99%  4.61%   3.26%  2.89%   16.88%  15.25%

12:00      8.89%  8:52%   4.95%  4.55%   3.08%  2.86%   17.00%  15.94%

10:45      8.82%  8:46%   4.83%  4.49%   3.13%  2.84%   17.40%  15.00%

9:15       8.86%  8:47%   4.84%  4.50%   3.15%  2.83%   16.57%  15.13%

MON OPEN   8.85%  8:49%   4.87%  4.49%   3.18%  2.84%   16.53%  15.37%

FRI 3:00   8.54%  8:42%   4.81%  4.54%   3.13%  2.87%   16.27%  14.75%

FRI OPEN   8.54%  8:31%   4.76%  4.45%   3.13%  2.83%   16.15%  15.12%

THU 3:00   8.36%  8:23%   4.78%  4.49%   3.01%  2.79%   16.70%  14.69%

THU OPEN   8.38%  8:31%   4.59%  4.39%   3.03%  2.81%   14.74%  14.58%

WED 3:00   8.31%  8:26%   4.57%  4.36%   2.97%  2.80%   15.43%  14.47%

WED OPEN   8.25%  8:09%   4.64%  4.28%   3.08%  2.79%   15.83%  13.45%

TUE 3:00   8.41%  8:21%   4.66%  4.35%   3.13%  2.79%   17.28%  16.25%

TUE OPEN   8.51%  8:16%   4.61%  4.32%   3.01%  2.75%   16.45%  16.10%

MON 3:00   8.54%  8:26%   4.62%  4.37%   3.02%  2.75%   16.70%  14.95%

MON OPEN   8.72%  8:26%   4.65%  4.33%   3.16%  2.79%   16.75%  15.60%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

APR18 10Y NOTE  122.50 C   99,786     +460   119.50 P  182,216 -16,011

JUN18 10Y NOTE  122.00 C   60,365     +648   108.50 P  112,042  +2,235

APR18 5Y NOTE   114.50 C   93,934  +11,563   113.50 P   52,069 +18,445

JUN18 5Y NOTE   116.00 C    8,709     -173   105.50 P  155,112 +11,312

APR18 2Y NOTE   106.62 C   18,890     -366   105.75 P    7,774    UNCH

JUN18 2Y NOTE   106.75 C   13,281     UNCH   106.12 P   31,000    UNCH

MAR18 EURODLR    98.50 C  479,662     UNCH    98.25 P  260,283  -7,837

APR18 EURODLR    98.37 C  235,881     UNCH    98.00 P  268,886    UNCH

MAR19 1Y-MIDC    98.25 C  217,995     UNCH    97.50 P  261,431  +1,500

MAR20 2Y-MIDC    97.37 C  155,089     -718    97.37 P  199,319    UNCH

MAR21 3Y-MIDC    97.50 C   97,311       -2    97.37 P   91,790    UNCH

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

APR18 10Y NOTE  120.00 C   41,605   +3,705   120.00 P  127,749 +50,053

APR18 10Y NOTE  120.50 C   94,264     -533   120.50 P   45,380  +1,905

JUN18 10Y NOTE  120.00 C   29,556   +2,085   120.00 P   39,421  +1,613

JUN18 10Y NOTE  120.50 C   13,250     +736   120.50 P   20,051    +740

APR18 5Y NOTE   114.25 C   25,072     +812   114.25 P   12,834  -1,050

APR18 5Y NOTE   114.50 C   93,934  +11,563   114.50 P   15,206  -7,915

JUN18 5Y NOTE   114.25 C    6,689     -264   114.25 P    6,725     -97

JUN18 5Y NOTE   114.50 C    6,243      -50   114.50 P   18,380    UNCH

APR18 2Y NOTE   106.38 C    1,627     -100   106.38 P    1,149    +300

APR18 2Y NOTE   106.50 C    9,057     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     +500   106.50 P    1,800    UNCH

MAR18 EURODLR    97.87 C   19,006      -20    97.87 P  209,496  -7,032

MAR18 EURODLR    98.00 C   87,494     -293    98.00 P  188,529 -46,590

APR18 EURODLR    97.75 C   24,954     UNCH    97.75 P  136,242    +452

APR18 EURODLR    97.87 C  120,761   +1,098    97.87 P  244,782    UNCH

MAR19 1Y-MIDC    97.37 C   23,763     UNCH    97.37 P  202,980    -342

MAR19 1Y-MIDC    97.50 C  144,506   +2,901    97.50 P  261,431  +1,500

MAR20 2Y-MIDC    97.00 C    7,321     UNCH    97.00 P  162,815    -890

MAR20 2Y-MIDC    97.12 C   41,228     +200    97.12 P  113,325    -426

MAR21 3Y-MIDC    96.87 C    1,750     UNCH    96.87 P   43,840     -26

MAR21 3Y-MIDC    97.00 C   18,925     UNCH    97.00 P   66,974    -322

PUT/CALL RATIO FOR VOLUME CLEARED:

APR18 10Y NOTE PUT/CALL RATIO   -- 3.61 (432,110 PUTS VS. 120,642 CALLS)

JUN18 10Y NOTE PUT/CALL RATIO   -- 1.89 (82,281 PUTS VS. 43,554 CALLS)

APR18 5Y NOTE PUT/CALL RATIO    -- 1.04 (79,643 PUTS VS. 76,369 CALLS)

JUN18 5Y NOTE PUT/CALL RATIO    -- 7.48 (56,117 PUTS VS. 7,575 CALLS)

APR18 2Y NOTE PUT/CALL RATIO    -- 0.24 (491 PUTS VS. 2,016 CALLS)

JUN18 2Y NOTE PUT/CALL RATIO    -- 0.20 (205 PUTS VS. 1,004 CALLS)

MAR18 EURODLRS PUT/CALL RATIO   -- 14.2 (136,475 PUTS VS. 9,610 CALLS)

APR18 EURODLRS PUT/CALL RATIO   -- 0.67 (17,163 PUTS VS. 25,494 CALLS)

MAR19 1Y-MIDCRVE PUT/CALL RATIO -- 1.24 (17,836 PUTS VS. 14,300 CALLS)

MAR20 2Y-MIDCRVE PUT/CALL RATIO -- 1.36 (44,898 PUTS VS. 32,950 CALLS)

MAR21 3Y-MIDCRVE PUT/CALL RATIO -- 0.54 (7,042 PUTS VS. 12,950 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

1:30         53.13    69.80    68.59    69.45    72.69    74.25

12:00        53.06    69.66    68.39    69.21    72.50    74.15

10:45        52.96    69.97    68.42    69.17    72.41    74.06

9:15         52.90    69.93    68.34    69.10    72.32    73.86

Mon Open     52.55    69.55    68.16    68.81    72.34    73.89

Fri 3:00     51.46    69.38    66.74    68.51    72.45    73.83

Fri Open     51.12    69.17    65.94    67.58    71.82    73.46

Thu 3:00     51.01    67.27    65.81    67.60    71.82    73.37

Thu Open     50.66    66.96    64.95    67.11    71.66    73.33

Wed 3:00     50.80    68.76    65.51    67.54    71.80    73.34

Wed Open     50.83    68.74    65.24    67.47    71.77    73.29

Tue 3:00     51.01    70.20    65.32    67.74    71.76    73.43

Tue Open     50.25    69.93    64.38    67.15    71.34    73.20

Mon 3:00     50.23    69.73    64.02    66.94    71.18    73.10

Mon Open     50.20    69.98    64.33    66.98    71.00    73.19

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

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