US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR MAY 11

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

            USM    USN     TYM    TYN     FVM    FVN     EDK     EDM

11:20      6.16%  6.37%   3.01%  3.25%   1.70%  1.97%    N/A    11.41%

FRI OPEN   6.34%  6.55%   3.14%  3.18%   1.71%  1.97%   48.52%  10.23%

THU 3:00   6.87%  6.81%   3.35%  3.36%   1.95%  2.03%   15.69%   8.14%

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  126,837     -328   119.00 P  164,194 -14,604

JUL18 10Y NOTE  120.00 C   84,578   +7,782   118.00 P   54,792 +18,476 

JUN18 5Y NOTE   113.50 C   39,533   +2,069   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    UNCH

JUL18 2Y NOTE   106.37 C  112,311     UNCH   105.50 P    6,012    UNCH

MAY18 EURODLR    97.87 C  136,198   -3,000    97.62 P  198,723  -3,215

JUN18 EURODLR    98.00 C  390,339   +3,511    97.50 P  582,035  +6,084

JUN19 1Y-MIDC    98.12 C  219,693     UNCH    97.12 P  509,557  +6,400

JUN20 2Y-MIDC    97.37 C  152,294     UNCH    96.75 P  175,686  -1,266

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   17,724      -16   119.00 P  164,194 -14,604

JUN18 10Y NOTE  119.50 C   45,140     +623   119.50 P   93,059  -6,270

JUL18 10Y NOTE  119.00 C   16,031   +3,315   119.00 P   21,659  +1,611

JUL18 10Y NOTE  119.50 C   21,429   +4,411   119.50 P    8,635      +2

JUN18 5Y NOTE   113.00 C    8,057     UNCH   113.00 P   50,491  -3,329

JUN18 5Y NOTE   113.50 C   39,533   +2,069   113.50 P   41,273  -1,581

JUL18 5Y NOTE   113.00 C    9,625      +80   113.00 P   22,541    +257

JUL18 5Y NOTE   113.50 C   15,779       +7   113.50 P    6,031      +3

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

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

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

JUL18 2Y NOTE   106.12 C    1,056   +1,056   106.12 P        1    UNCH

MAY18 EURODLR    97.75 C   59,192   -2,673    97.75 P   73,435  -3,000

MAY18 EURODLR    97.87 C  136,198   -3,000    97.87 P   11,111    UNCH

JUN18 EURODLR    97.75 C  354,911  -11,332    97.75 P  401,239  -3,600

JUN18 EURODLR    97.87 C  383,698   -2,841    97.87 P  371,767    UNCH 

JUN19 1Y-MIDC    97.37 C  169,296     -600    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   31,135   +5,800    97.00 P   97,329  +7,730

JUN20 2Y-MIDC    97.12 C   65,566   +1,500    97.12 P  103,894    UNCH

JUN21 3Y-MIDC    96.87 C   13,773     +200    96.87 P   56,063  +1,250

JUN21 3Y-MIDC    97.00 C   50,609   +2,060    97.00 P   69,397    -810

     PUT/CALL RATIO FOR VOLUME CLEARED:

     JUN18 10Y NOTE PUT/CALL RATIO  -- 2.36 (231,122 PUTS VS. 97,964 CALLS)

JUL18 10Y NOTE PUT/CALL RATIO  -- 1.70 (86,763 PUTS VS. 50,953 CALLS)

JUN18 5Y NOTE PUT/CALL RATIO   -- 0.93 (19,913 PUTS VS. 21,431 CALLS)

JUL18 5Y NOTE PUT/CALL RATIO   -- 1.36 (13,728 PUTS VS. 10,061 CALLS)

JUN18 2Y NOTE PUT/CALL RATIO   -- 0.01 (1 PUTS VS. 125 CALLS)

JUL18 2Y NOTE PUT/CALL RATIO   -- 0.59 (1,250 PUTS VS. 2,118 CALLS)

MAY18 EURODLRS PUT/CALL RATIO  -- 1.95 (22,525 PUTS VS. 11,525 CALLS)

JUN18 EURODLRS PUT/CALL RATIO  -- 0.91 (39,022 PUTS VS. 42,661 CALLS)

JUN19 1Y-MIDCRVE PUT/CALL RATIO-- 0.81 (12,350 PUTS VS. 15,200 CALLS)

JUN20 2Y-MIDCRVE PUT/CALL RATIO-- 1.96 (28,000 PUTS VS. 14,250 CALLS)

JUN21 3Y-MIDCRVE PUT/CALL RATIO-- 1.00 (1,300 PUTS VS. 1,300 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

11:20        39.68    53.19    52.66    57.25    67.63    72.50

FRI OPEN     39.64    53.62    52.70    57.36    67.61    72.42

THU 3:00     40.46    54.43    53.70    58.46    67.86    72.72

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$]