US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR MAR 9

OPEN INTEREST NOT UPDATED

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

            USJ    USM     TYH    TYJ     FVH    TUJ     EDH     EDJ

12:30      7.57%  7.84%   4.00%  4.17%   2.60%  2.66%   9.00%   15.10%

10:45      7.54%  7.90%   4.12%  4.17%   2.60%  2.67%   11.50%  15.85%

9:15       7.77%  7.90%   4.22%  4.17%   2.66%  2.68%   10.88%  15.07%

FRI OPEN   9.13%  8:23%   4.54%  4.35%   2.97%  2.78%   10.00%  16.74%

THU 3:00   8.29%  8:23%   4.54%  4.35%   2.97%  2.78%   10.09%  16.00%

THU OPEN   8.48%  8:31%   4.75%  4.50%   3.10%  2.83%   13.20%  16.55%

WED 3:00   8.55%  8:35%   4.83%  4.52%   3.13%  2.85%   15.70%  16.67%

WED 12:00  8.72%  8:44%   4.90%  4.54%   3.10%  2.89%   16.08%  16.18%

TUE 3:00   8.47%  8:32%   4.77%  4.48%   3.07%  2.84%   16.90%  17.30%

TUE OPEN   8.58%  8:45%   4.80%  4.51%   3.07%  2.85%   14.50%  15.80%

MON 3:00   8.76%  8:56%   4.81%  4.56%   3.14%  2.86%   16.60%  15.08%

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

APR18 10Y NOTE  122.50 C   96,800     UNCH   120.00 P  159,721    -206

JUN18 10Y NOTE  122.00 C   61,021   +1,023   108.50 P  112,110    UNCH

APR18 5Y NOTE   114.50 C   88,858     -412   113.50 P   50,631    -968

JUN18 5Y NOTE   116.00 C    8,709     UNCH   105.50 P  155,115      +3

APR18 2Y NOTE   106.62 C   18,890     UNCH   105.75 P    8,624    UNCH

JUN18 2Y NOTE   106.75 C   13,281     UNCH   106.12 P   31,006    UNCH

MAR18 EURODLR    98.50 C  479,662     UNCH    97.75 P  261,031  +3,500

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  261,324    UNCH

MAR20 2Y-MIDC    97.37 C  154,586     -500    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   54,049   +6,979   120.00 P  159,721    -206

APR18 10Y NOTE  120.50 C   90,733   +1,623   120.50 P   44,710  -2,569

JUN18 10Y NOTE  120.00 C   32,917   +2,211   120.00 P   43,307  +3,262

JUN18 10Y NOTE  120.50 C   11,842     -280   120.50 P   18,704    -693

APR18 5Y NOTE   114.25 C   24,839     -748   114.25 P   13,080     -27

APR18 5Y NOTE   114.50 C   88,858     -412   114.50 P   15,024    UNCH

JUN18 5Y NOTE   114.25 C    6,962     +253   114.25 P    9,455  +2,705

JUN18 5Y NOTE   114.50 C    6,172      -21   114.50 P   18,380    UNCH

APR18 2Y NOTE   106.38 C    1,627     UNCH   106.38 P    1,149    UNCH

APR18 2Y NOTE   106.50 C    9,055       -2   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

MAR18 EURODLR    97.87 C   33,896   +1,630    97.87 P  187,422 -25,064

MAR18 EURODLR    98.00 C   91,157     UNCH    98.00 P  188,463    -136

APR18 EURODLR    97.75 C   34,319   +5,000    97.75 P  144,171  -2,327

APR18 EURODLR    97.87 C  119,761     UNCH    97.87 P  244,877     +98

MAR19 1Y-MIDC    97.37 C   25,863   +1,300    97.37 P  198,917    -333

MAR19 1Y-MIDC    97.50 C  146,148       +2    97.50 P  261,324    UNCH

MAR20 2Y-MIDC    97.00 C    7,321     UNCH    97.00 P  162,204     -30

MAR20 2Y-MIDC    97.12 C   40,978     UNCH    97.12 P  105,738    +350

MAR21 3Y-MIDC    96.87 C    1,750     UNCH    96.87 P   40,851     -65

MAR21 3Y-MIDC    97.00 C   19,070     +145    97.00 P   62,821    -210

PUT/CALL RATIO FOR VOLUME CLEARED:

APR18 10Y NOTE PUT/CALL RATIO   -- 1.11 (143,006 PUTS VS. 128,405 CALLS)

JUN18 10Y NOTE PUT/CALL RATIO   -- 0.93 (40,626 PUTS VS. 43,630 CALLS)

APR18 5Y NOTE PUT/CALL RATIO    -- 0.92 (25,422 PUTS VS. 27,589 CALLS)

JUN18 5Y NOTE PUT/CALL RATIO    -- 11.5 (31,275 PUTS VS. 2,741 CALLS)

APR18 2Y NOTE PUT/CALL RATIO    -- 124. (620 PUTS VS. 5 CALLS)

JUN18 2Y NOTE PUT/CALL RATIO    -- 4.61 (9,700 PUTS VS. 2,166 CALLS)

MAR18 EURODLRS PUT/CALL RATIO   -- 9.75 (43,982 PUTS VS. 4,550 CALLS)

APR18 EURODLRS PUT/CALL RATIO   -- 0.16 (6,023 PUTS VS. 36,404 CALLS)

MAR19 1Y-MIDCRVE PUT/CALL RATIO -- 1.19 (8,000 PUTS VS. 6,750 CALLS)

MAR20 2Y-MIDCRVE PUT/CALL RATIO -- 0.81 (1,790 PUTS VS. 2,250 CALLS)

MAR21 3Y-MIDCRVE PUT/CALL RATIO -- 0.74 (5,872 PUTS VS. 7,800 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

12:30        52.47    62.48    65.46    67.04    72.83    74.78

10:45        52.36    62.70    65.78    67.38    72.94    74.78

9:15         52.57    64.51    66.46    67.79    73.17    74.82

Fri Open     52.80    67.25    67.30    68.85    73.31    74.85

Thu 3:00     52.82    67.35    67.34    68.86    73.32    74.86

Thu Open     53.29    68.72    68.48    69.67    73.57    74.97

Wed 3:00     53.23    68.90    68.43    69.75    73.48    74.75

Wed 12:00    53.44    69.03    68.65    69.87    73.39    74.53

Tue 3:00     53.15    70.60    68.54    69.77    73.22    74.47

Tue Open     53.27    70.83    68.63    70.00    72.90    74.39

Mon 3:00     53.15    69.89    68.99    69.52    72.74    74.27

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

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

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