US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR MAY 15

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

            USM    USN     TYM    TYN     FVM    FVN     EDM      EDN

3:00       7.75%  7.44%   3.66%  3.67%   2.32%  2.31%   13.09%   10.13%

11:00      7.54%  7.04%   3.55%  3.53%   2.18%  2.18%   13.39%   10.12%

TUE OPEN   7.52%  7.04%   3.64%  3.51%   2.12%  2.12%   13.19%    9.89%

MON 3:00   6.61%  6.60%   3.31%  3.28%   1.91%  1.99%   13.06%   11.03% 

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

     LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

JUN18 10Y NOTE  120.00 C  122,619   -5,535   119.00 P  173,778 +16,373

JUL18 10Y NOTE  120.00 C   90,005   +1,905   118.00 P   56,658  +2,023 

JUN18 5Y NOTE   113.50 C   37,029      -22   105.50 P  156,003    UNCH

JUL18 5Y NOTE   113.50 C   17,305   +1,371   113.00 P   22,860    +391

JUN18 2Y NOTE   106.80 C   58,101     UNCH   106.12 P   30,010    -200

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

JUN18 EURODLR    98.00 C  386,262   -4,077    97.50 P  566,863 -10,220

JUL18 EURODLR    97.75 C   84,740   +5,957    97.50 P  111,206  -7,350

JUN19 1Y-MIDC    98.12 C  219,693     UNCH    97.12 P  477,472  -6,910

JUN20 2Y-MIDC    97.37 C  152,294     UNCH    97.37 P  164,602    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   17,729      +21   119.00 P  173,778 +16,373

JUN18 10Y NOTE  119.50 C   42,299     -880   119.50 P   89,347    -881

JUL18 10Y NOTE  119.00 C   20,253   +1,159   119.00 P   26,365    +448

JUL18 10Y NOTE  119.50 C   25,040   +1,484   119.50 P    8,696      +2

JUN18 5Y NOTE   113.00 C    8,065       +9   113.00 P   45,898  -6,026

JUN18 5Y NOTE   113.50 C   37,029      -22   113.50 P   40,893    -510

JUL18 5Y NOTE   113.00 C   12,001   +2,376   113.00 P   22,860    +391

JUL18 5Y NOTE   113.50 C   17,305   +1,371   113.50 P    6,027      -4

JUN18 2Y NOTE   106.00 C      959       +1   106.00 P    3,254    -201

JUN18 2Y NOTE   106.12 C    6,811     UNCH   106.12 P   30,010    -200

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

JUL18 2Y NOTE   106.12 C    1,556     +500   106.12 P        1    UNCH

JUN18 EURODLR    97.75 C  350,433   -7,248    97.75 P  389,141  -9,131

JUN18 EURODLR    97.87 C  377,268   -4,880    97.87 P  328,680  -2,437

JUL18 EURODLR    97.50 C   30,525     UNCH    97.50 P  111,206  -7,350

JUL18 EURODLR    97.62 C   57,696  +16,854    97.62 P   50,114  -1,609

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

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

JUN20 2Y-MIDC    97.00 C   31,735     -100    97.00 P   95,329  -2,000

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

JUN21 3Y-MIDC    96.87 C   13,579     -100    96.87 P   57,262    +750

JUN21 3Y-MIDC    97.00 C   52,209   +1,500    97.00 P   69,429    UNCH

     PUT/CALL RATIO FOR VOLUME CLEARED:

     JUN18 10Y NOTE PUT/CALL RATIO  -- 2.33 (123,101 PUTS VS. 52,861 CALLS)

JUL18 10Y NOTE PUT/CALL RATIO  -- 1.17 (31,206 PUTS VS. 26,716 CALLS)

JUN18 5Y NOTE PUT/CALL RATIO   -- 8.23 (46,852 PUTS VS. 5,696 CALLS)

JUL18 5Y NOTE PUT/CALL RATIO   -- 0.45 (9,063 PUTS VS. 20,075 CALLS)

JUN18 2Y NOTE PUT/CALL RATIO   -- 116.8 (701 PUTS VS. 6 CALLS)

JUL18 2Y NOTE PUT/CALL RATIO   -- 0.11 (130 PUTS VS. 1,192 CALLS)

JUN18 EURODLRS PUT/CALL RATIO  -- 0.79 (129,285 PUTS VS. 163,948 CALLS)

JUL18 EURODLRS PUT/CALL RATIO  -- 0.13 (19,620 PUTS VS. 154,368 CALLS)

JUN19 1Y-MIDCRVE PUT/CALL RATIO-- 18.2 (18,150 PUTS VS. 1,000 CALLS)

JUN20 2Y-MIDCRVE PUT/CALL RATIO-- 361.0 (36,100 PUTS VS. 100 CALLS)

JUN21 3Y-MIDCRVE PUT/CALL RATIO-- 0.29 (600 PUTS VS. 2,100 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         41.50    61.25    55.05    59.64    68.61    73.15

11:00        41.05    57.18    54.69    59.57    69.36    73.04

TUE OPEN     40.74    55.68    53.34    58.08    67.97    72.94

MON 3:00     39.79    54.23    52.71    57.14    67.67    72.63

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

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

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