US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR MAY 14

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

            USM    USN     TYM    TYN     FVM    FVN     EDM      EDN

MON OPEN   6.86%  6.58%   3.45%  3.22%   1.88%  2.01%   13.13%   10.67%

FRI 3:00   6.08%  6.40%   3.07%  3.26%   1.71%  1.95%   10.44%    N/A   

FRI OPEN   6.34%  6.55%   3.14%  3.18%   1.71%  1.97%   10.23%    N/A

THU 3:00   6.87%  6.81%   3.35%  3.36%   1.95%  2.03%    8.14%    N/A

THU OPEN   7.35%  6.58%   3.68%  3.50%   2.18%  2.14%    9.11%    N/A

WED 3:00   7.53%  6.93%   3.61%  3.42%   2.14%  2.13%    9.58%    N/A

WED OPEN   7.63%  7.23%   3.82%  3.60%   2.25%  2.20%   10.35%    N/A

TUE 3:00   7.29%  7.05%   3.50%  3.46%   2.13%  2.08%    9.84%    N/A 

TUE OPEN   6.91%  6.90%   3.37%  3.34%   2.01%  1.99%   10.20%    N/A

MON 3:00   7.00%  7.02%   3.40%  3.55%   2.06%  2.15%   10.58%    N/A

MON OPEN   6.96%  6.93%   3.43%  3.47%   1.98%  2.02%   10.54%    N/A

     LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

JUN18 10Y NOTE  120.00 C  128,154   +1,317   119.00 P  157,405  -6,789

JUL18 10Y NOTE  120.00 C   88,100   +3,522   118.00 P   54,635    -157 

JUN18 5Y NOTE   113.50 C   37,051   -2,502   105.50 P  156,003    UNCH

JUL18 5Y NOTE   113.50 C   15,934     +155   113.00 P   22,469     -72

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

JUN18 EURODLR    98.00 C  390,339     UNCH    97.50 P  577,083  -4,952

JUL18 EURODLR    97.75 C   88,783       +8    97.50 P  118,556     -50

JUN19 1Y-MIDC    98.12 C  219,693     UNCH    97.12 P  484,382 -25,175

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

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   17,708      -16   119.00 P  157,405  -6,789

JUN18 10Y NOTE  119.50 C   43,179   -1,961   119.50 P   90,228  -2,831

JUL18 10Y NOTE  119.00 C   19,094   +3,063   119.00 P   25,917  +4,258

JUL18 10Y NOTE  119.50 C   23,556   +2,127   119.50 P    8,694     +59

JUN18 5Y NOTE   113.00 C    8,056       -1   113.00 P   51,924  +1,433

JUN18 5Y NOTE   113.50 C   37,051   -2,502   113.50 P   41,403    +130

JUL18 5Y NOTE   113.00 C    9,625     UNCH   113.00 P   22,469     -72

JUL18 5Y NOTE   113.50 C   15,934     +155   113.50 P    6,031    UNCH

JUN18 2Y NOTE   106.00 C      958      +20   106.00 P    3,455    UNCH

JUN18 2Y NOTE   106.12 C    6,811   -1,431   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     UNCH   106.12 P        1    UNCH

JUN18 EURODLR    97.75 C  357,681   +2,770    97.75 P  398,272  -2,967

JUN18 EURODLR    97.87 C  382,148   -1,550    97.87 P  331,117 -40,650

JUL18 EURODLR    97.50 C   30,525   -2,500    97.50 P  118,556     -50

JUL18 EURODLR    97.62 C   40,842   +1,250    97.62 P   51,723    -404

JUN19 1Y-MIDC    97.37 C  164,438   -4,858    97.37 P  300,719    UNCH

JUN19 1Y-MIDC    97.50 C  197,654     -575    97.50 P  123,935    UNCH

JUN20 2Y-MIDC    97.00 C   31,835     +700    97.00 P   97,329    UNCH

JUN20 2Y-MIDC    97.12 C   66,566   +1,000    97.12 P  103,894    UNCH

JUN21 3Y-MIDC    96.87 C   13,679      -94    96.87 P   56,512    +449

JUN21 3Y-MIDC    97.00 C   50,709     +100    97.00 P   69,429     +32

     PUT/CALL RATIO FOR VOLUME CLEARED:

     JUN18 10Y NOTE PUT/CALL RATIO  -- 1.40 (88,260 PUTS VS. 63,011 CALLS)

JUL18 10Y NOTE PUT/CALL RATIO  -- 1.25 (90,275 PUTS VS. 72,507 CALLS)

JUN18 5Y NOTE PUT/CALL RATIO   -- 1.96 (18,124 PUTS VS. 9,256 CALLS)

JUL18 5Y NOTE PUT/CALL RATIO   -- 0.38 (2,475 PUTS VS. 6,466 CALLS)

JUN18 2Y NOTE PUT/CALL RATIO   -- 0.04 (254 PUTS VS. 6,764 CALLS)

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

JUN18 EURODLRS PUT/CALL RATIO  -- 0.63 (90,794 PUTS VS. 144,827 CALLS)

JUL18 EURODLRS PUT/CALL RATIO  -- 4.04 (21,875 PUTS VS. 5,410 CALLS)

JUN19 1Y-MIDCRVE PUT/CALL RATIO-- 1.74 (51,050 PUTS VS. 29,325 CALLS)

JUN20 2Y-MIDCRVE PUT/CALL RATIO-- 10.8 (32,500 PUTS VS. 3,000 CALLS)

JUN21 3Y-MIDCRVE PUT/CALL RATIO-- 0.00 (0 PUTS VS. 3,000 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

MON OPEN     39.60    53.09    52.53    57.14    67.47    72.29

FRI 3:00     39.74    53.16    52.69    57.18    67.63    72.57

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 

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

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