US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR MAY 1

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

            USM    USN     TYM    TYN     FVM    FVN     EDK     EDM

3:00       7.17%   7.02%  3.71%   3.62%  2.26%  2.18%   12.54%  11.65%

11:00      7.30%   7.12%  3.75%   3.62%  2.30%  2.13%   13.43%  11.66%

TUE OPEN   7.10%   7.29%  3.63%   3.60%  2.27%  2.08%   12.07%  11.19%

MON 3:00   7.20%   6.72%  3.55%   3.77%  2.25%  2.38%   11.37%  11.20%

MON OPEN   7.29%   7.15%  3.74%   3.80%  2.31%  2.34%   12.78%  11.89%

FRI 3:00   6.97%   6.94%  3.56%   3.62%  2.18%  2.44%   10.66%  10.34%

FRI OPEN   7.19%   7.37%  3.66%   3.74%  2.26%  2.52%   10.93%  12.58% 

THU 3:00   10.80%  8.44%  4.03%   3.93%  2.38%  2.22%   10.24%  11.12%

THU OPEN   7.75%   7.42%  3.83%   3.88%  2.36%  2.38%   12.25%  11.44%

WED 3:00   7.88%   7.94%  4.05%   4.18%  2.44%  2.18%   10.26%  10.85%

WED OPEN   7.67%   7.57%  4.01%   3.96%  2.50%  2.04%   10.17%  10.48%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

JUN18 10Y NOTE  120.00 C  118,876   +4,115   119.00 P  149,163  +2,969

JUL18 10Y NOTE  120.00 C   31,247   +6,483   118.00 P   36,440    +292 

JUN18 5Y NOTE   114.00 C   39,913     UNCH   105.50 P  156,003    UNCH

JUL18 5Y NOTE   114.25 C   10,678     +213   113.00 P   15,542  +2,740

JUN18 2Y NOTE   106.80 C   58,101     UNCH   106.12 P   30,223     -12

JUL18 2Y NOTE   106.60 C   42,050     UNCH   105.50 P    6,012    UNCH

MAY18 EURODLR    97.87 C  140,344     UNCH    97.62 P  201,185 +26,968

JUN18 EURODLR    98.00 C  392,822     UNCH    97.50 P  587,929 +30,679

JUN19 1Y-MIDC    98.12 C  219,693     UNCH    97.12 P  630,214  -3,950

JUN20 2Y-MIDC    97.37 C  144,694   +3,500    96.75 P  221,769    -796

JUN21 3Y-MIDC    97.25 C  195,788     UNCH    96.62 P  149,551    UNCH

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

JUN18 10Y NOTE  119.00 C   17,680       +5   119.00 P  149,163  +2,969

JUN18 10Y NOTE  119.50 C   32,928     -176   119.50 P   93,353    -282

JUL18 10Y NOTE  119.00 C    9,327     UNCH   119.00 P   13,263     +70

JUL18 10Y NOTE  119.50 C    6,305     +347   119.50 P    3,573    +121

JUN18 5Y NOTE   113.00 C      157      -59   113.00 P   46,062    -325

JUN18 5Y NOTE   113.50 C   32,721     -100   113.50 P   41,484     +16

JUL18 5Y NOTE   113.00 C    7,749     UNCH   113.00 P   15,542  +2,740

JUL18 5Y NOTE   113.50 C    6,917     UNCH   113.50 P    4,927    UNCH

JUN18 2Y NOTE   106.00 C      914       -5   106.00 P    4,290  -3,063

JUN18 2Y NOTE   106.12 C    8,249      -39   106.12 P   30,223     -12

JUL18 2Y NOTE   106.00 C      253     UNCH   106.00 P       60    UNCH

JUL18 2Y NOTE   106.12 C        0     UNCH   106.12 P        1    UNCH

MAY18 EURODLR    97.75 C   64,219     UNCH    97.75 P   82,561    UNCH

MAY18 EURODLR    97.87 C  140,344     UNCH    97.87 P   13,107    UNCH

JUN18 EURODLR    97.75 C  350,232   +4,790    97.75 P  403,349    UNCH

JUN18 EURODLR    97.87 C  392,780   -1,875    97.87 P  371,867    UNCH 

JUN19 1Y-MIDC    97.37 C  139,393   -3,943    97.37 P  335,469    UNCH

JUN19 1Y-MIDC    97.50 C  195,917   +7,972    97.50 P  123,935    UNCH

JUN20 2Y-MIDC    97.00 C   25,478      +20    97.00 P  106,134    UNCH

JUN20 2Y-MIDC    97.12 C   59,202   +1,100    97.12 P  106,798    UNCH

JUN21 3Y-MIDC    96.87 C   13,284     UNCH    96.87 P   53,096  +3,998

JUN21 3Y-MIDC    97.00 C  109,646     -300    97.00 P   75,339    -100

PUT/CALL RATIO FOR VOLUME CLEARED:

JUN18 10Y NOTE PUT/CALL RATIO   -- 0.98 (74,628 PUTS VS. 76,003 CALLS)

JUL18 10Y NOTE PUT/CALL RATIO   -- 1.13 (15,035 PUTS VS. 13,314 CALLS)

JUN18 5Y NOTE PUT/CALL RATIO    -- 1.84 (23,061 PUTS VS. 12,530 CALLS)

JUL18 5Y NOTE PUT/CALL RATIO    -- 1.37 (6,055 PUTS VS. 4,406 CALLS)

JUN18 2Y NOTE PUT/CALL RATIO    -- 17.1 (8,838 PUTS VS. 517 CALLS)

JUL18 2Y NOTE PUT/CALL RATIO    -- 0.00 (0 PUTS VS. 1,005 CALLS)

MAY18 EURODLRS PUT/CALL RATIO   -- 6.23 (38,000 PUTS VS. 6,100 CALLS)

JUN18 EURODLRS PUT/CALL RATIO   -- 5.18 (114,853 PUTS VS. 22,161 CALLS)

JUN19 1Y-MIDCRVE PUT/CALL RATIO -- 0.32 (3,000 PUTS VS. 9,500 CALLS)

JUN20 2Y-MIDCRVE PUT/CALL RATIO -- 1.15 (52,500 PUTS VS. 45,600 CALLS)

JUN21 3Y-MIDCRVE PUT/CALL RATIO -- 1.11 (5,150 PUTS VS. 4,650 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

3:00         42.53    58.38    54.50    59.51    68.91    73.29

11:00        42.62    58.24    54.43    59.37    68.73    73.17

TUE OPEN     42.50    57.82    54.37    59.35    68.64    73.03

MON 3:00     42.49    57.32    54.24    59.12    68.61    72.99

MON OPEN     43.29    57.12    55.10    59.88    68.96    73.34

FRI 3:00     44.14    58.37    56.11    60.76    69.19    73.46

FRI OPEN     44.55    60.43    57.60    61.84    69.74    73.89

THU 3:00     45.08    60.36    58.20    62.10    69.88    73.87

THU OPEN     46.70    62.42    59.48    63.38    70.34    74.22

WED 3:00     46.99    63.54    59.36    63.00    70.27    74.23

WED OPEN     46.50    61.60    58.58    62.02    69.86    73.93

--MNI Chicago Bureau; +1 630-698-0154; email: ryan.martin@marketnews.com

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