US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR MAY 10

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

            USM    USN     TYM    TYN     FVM    FVN     EDK     EDM

11:30      6.99%  6.80%   3.45%  3.46%   1.98%  2.10%   15.02%   8.55%

THU OPEN   7.35%  6.58%   3.68%  3.50%   2.18%  2.14%   18.94%   9.11%

WED 3:00   7.53%  6.93%   3.61%  3.42%   2.14%  2.13%   12.26%   9.58%

WED OPEN   7.63%  7.23%   3.82%  3.60%   2.25%  2.20%   11.46%  10.35%

TUE 3:00   7.29%  7.05%   3.50%  3.46%   2.13%  2.08%   12.96%   9.84%

TUE OPEN   6.91%  6.90%   3.37%  3.34%   2.01%  1.99%   13.83%  10.20%

MON 3:00   7.00%  7.02%   3.40%  3.55%   2.06%  2.15%   12.60%  10.58%

MON OPEN   6.96%  6.93%   3.43%  3.47%   1.98%  2.02%   12.21%  10.54%

FRI 3:00   6.59%  6.73%   3.26%  3.43%   1.98%  2.10%   11.01%  10.74%

FRI OPEN   6.86%  6.88%   3.45%  3.40%   2.09%  2.17%   10.62%  10.75%

THU 3:00   6.80%  6.88%   3.40%  3.49%   2.11%  2.18%    7.52%   9.27%

THU OPEN   6.74%  6.70%   3.45%  3.45%   2.09%  2.13%   12.30%  11.15%

     LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

JUN18 10Y NOTE  120.00 C  127,165   -2,416   119.00 P  178,798  +1,567

JUL18 10Y NOTE  120.00 C   76,826  +23,578   118.00 P   52,526  +3,487 

JUN18 5Y NOTE   113.50 C   37,484   -1,217   105.50 P  156,003    UNCH

JUL18 5Y NOTE   113.50 C   15,772     -679   113.00 P   22,284    +400

JUN18 2Y NOTE   106.80 C   58,101     UNCH   106.12 P   30,210      -5

JUL18 2Y NOTE   106.25 C  112,900   +5,500   105.50 P    8,262  +2,250

MAY18 EURODLR    97.87 C  139,198     UNCH    97.62 P  201,938    -995

JUN18 EURODLR    98.00 C  386,828     UNCH    97.50 P  575,951  +1,559

JUN19 1Y-MIDC    98.12 C  219,693     UNCH    97.12 P  503,157    -750

JUN20 2Y-MIDC    97.37 C  152,294     UNCH    96.75 P  176,952  -1,000

JUN21 3Y-MIDC    98.00 C  138,150     UNCH    97.25 P  145,831    UNCH

     NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

JUN18 10Y NOTE  119.00 C   17,740      -90   119.00 P  178,798  +1,567

JUN18 10Y NOTE  119.50 C   44,517   +8,453   119.50 P   99,329    -231

JUL18 10Y NOTE  119.00 C   12,716   +1,306   119.00 P   20,048    +906

JUL18 10Y NOTE  119.50 C   17,018     +492   119.50 P    8,633      -2

JUN18 5Y NOTE   113.00 C    8,057     UNCH   113.00 P   53,820  -3,975

JUN18 5Y NOTE   113.50 C   37,484   -1,217   113.50 P   42,854  -2,545

JUL18 5Y NOTE   113.00 C    9,545     +115   113.00 P   22,284    +400

JUL18 5Y NOTE   113.50 C   15,772     -679   113.50 P    6,028     -62

JUN18 2Y NOTE   106.00 C      938     UNCH   106.00 P    3,455     +50

JUN18 2Y NOTE   106.12 C    8,242     UNCH   106.12 P   30,210      -5

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   61,865     -437    97.75 P   76,435  -4,124

MAY18 EURODLR    97.87 C  139,198     UNCH    97.87 P   11,111    -111

JUN18 EURODLR    97.75 C  366,243   +5,040    97.75 P  404,839    -860

JUN18 EURODLR    97.87 C  386,539     UNCH    97.87 P  371,767    UNCH 

JUN19 1Y-MIDC    97.37 C  169,896  +11,078    97.37 P  300,719    UNCH

JUN19 1Y-MIDC    97.50 C  198,229     -250    97.50 P  123,935    UNCH

JUN20 2Y-MIDC    97.00 C   25,335     +250    97.00 P   89,599    +697

JUN20 2Y-MIDC    97.12 C   64,066     UNCH    97.12 P  103,894    UNCH

JUN21 3Y-MIDC    96.87 C   13,573     UNCH    96.87 P   54,813    UNCH

JUN21 3Y-MIDC    97.00 C   48,549     +500    97.00 P   70,207    UNCH

     PUT/CALL RATIO FOR VOLUME CLEARED:

     JUN18 10Y NOTE PUT/CALL RATIO  -- 2.77 (191,423 PUTS VS. 73,587 CALLS)

JUL18 10Y NOTE PUT/CALL RATIO  -- 1.22 (37,844 PUTS VS. 50,514 CALLS)

JUN18 5Y NOTE PUT/CALL RATIO   -- 1.42 (36,287 PUTS VS. 23,782 CALLS)

JUL18 5Y NOTE PUT/CALL RATIO   -- 0.42 (7,303 PUTS VS. 8,777 CALLS)

JUN18 2Y NOTE PUT/CALL RATIO   -- 0.19 (55 PUTS VS. 445 CALLS)

JUL18 2Y NOTE PUT/CALL RATIO   -- 0.00 (0 PUTS VS. 11,020 CALLS)

MAY18 EURODLRS PUT/CALL RATIO  -- 1.93 (15,597 PUTS VS. 16,577 CALLS)

JUN18 EURODLRS PUT/CALL RATIO  -- 2.47 (33,429 PUTS VS. 24,630 CALLS)

JUN19 1Y-MIDCRVE PUT/CALL RATIO-- 174.3 (12,000 PUTS VS. 23,250 CALLS)

JUN20 2Y-MIDCRVE PUT/CALL RATIO-- 0.47 (2,400 PUTS VS. 2,350 CALLS)

JUN21 3Y-MIDCRVE PUT/CALL RATIO-- 3.78 (1,500 PUTS VS. 0 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

11:30        40.51    54.60    53.78    58.39    67.85    72.79

THU OPEN     41.12    55.95    54.92    59.36    68.21    73.05

WED 3:00     40.88    55.96    54.41    58.81    68.19    73.04

WED OPEN     41.28    56.61    55.03    59.39    68.33    73.23

TUE 3:00     40.81    56.46    54.31    58.45    67.93    72.92

Tue Open     40.80    55.66    53.92    58.21    67.70    72.95

Mon 3:00     40.73    55.27    53.65    58.19    67.78    72.82

MON OPEN     41.11    54.70    53.84    58.42    67.93    73.01 

FRI 3:00     40.86    54.45    53.60    58.18    67.94    72.74

FRI OPEN     40.99    55.69    53.82    58.54    68.01    73.09

THU 3:00     41.41    55.90    54.22    59.00    68.17    73.15

THU OPEN     41.45    56.10    54.21    59.12    68.26    73.12

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

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